Efek Momentum di Pasar Saham Indonesia

This paper studies the momentum effect in Jakarta Composite Index stocks during 1994-2014. We use long-short portofolio analysis to examine momentum and contrarian performance across macroeconomic cycle and observe long term return. Furthermore, we employ specified F-test to analyze pricing model performances in explaining stock return. Our result support Hong et al. (2000) and Fama and French (2012) research, momentum is stronger in small stocks signaling investor’s avoidance to arbitrage due illiquidity and volatility contrast. We also strengthen Kowanda and Pasaribu (2012) finding that in general, momentum strategy produce no significant return. CAPM, Fama-French 3 factor, and Carhart 4 factor model do well in explaining Indonesian stock market returns.