A Study on short momentum phenomenon

Murhadi, Werner Ria and Abriyanto, Dita Y.P. (2019) A Study on short momentum phenomenon. In: Proceedings of the 16th International Symposium on Management (INSYMA 2019), 4-6 March 2019, Manado.

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Abstract

This study aimed at examining the phenomenon of short-term momentum in the Southeast Asian capital market. The sample capital markets were Singapore, Thailand, and Indonesia, with years of observation over the 2014 to 2016 period. Tests were carried out using the one-sample t-test to test whether there are abnormal returns on the winner and loser stock portfolios. The results of the study show that winner stock portfolios listed in the LQ45 (Indonesia), STI (Singapore), and SET50 (Thailand) indexes have positive and significant abnormal return results. While the testing of loser stock portfolios has a negative and significant average abnormal return.

Item Type:	Conference or Workshop Item (Paper)
Uncontrolled Keywords:	abnormal return, short momentum, winner stock, loser stock
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Werner R. Murhadi 31124
Date Deposited:	13 May 2022 06:56
Last Modified:	13 May 2022 06:56
URI:	http://repository.ubaya.ac.id/id/eprint/41847

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