STRATEGI MOMENTUM DAN STRATEGI VOLATILITAS MOMENTUM PADA SAHAM INDEKS LQ 45

Penelitian ini mencoba untuk melihat return dari strategi momentum dan strategi volatilitas momentum pada saham yang terdaftar di Indeks LQ 45 periode 2010-2019. penelitian ini mengunakan Metode Jagedeesh dan Titmant (1993) serta Malin dan Borhold (2011). Portofolio winner dibentuk dengan membeli saham dengan kinerja return terbaik di masa lalu dan menjual saham dengan return buruk dimasa lalu untuk strategi momentum. Sedangkan portofolio loser dibentuk dengan membeli saham kinerja return buruk dimasa lalu dan menjual saham dengan return baik dimasa lalu. Dua kali sortir dengan momentum dan volatilitas digunakan dalam membentuk portofolio winner dan loser untuk strategi volatilitas momentum. Formasi dan observasi yang digunakan 3,6 dan 12 bulan. Return momentum ketika loser minus winner positif. Signifikan momentum ditentukan dengan uji one-sample t-test menggunakan SPSS 21. Penelitian tidak menemukan return dari semua strategi momentum yang signifikan secara statistik pada saham yang Indeks LQ 45 untuk periode 2010-2019.

Pembuktian Return Momentum dan Kontarian pada Saham Syariah

The purpose of this paper are to examine and analyse returns of momentum and contarian portofolio on Islamic stocks listed on the Jakarta Islamic Index 30 (JII 30) for the period 2010-2018. The method used in this study is Jagedeesh and Titmant (1993). Winner portfolio is formed by buying stocks with the best return performance in the past and selling stocks with bad returns in the past. Whereas a loser portfolio is formed by buying shares of poor return performance in the past and selling stocks with good returns in the past. Formations and observations used 1,3,6 and 12 months. With portfolio weighting based on equal-weighted and value-weighted. Return of momentum portofolio when winner minus loser positive. Return of contarian portofolio when loser minus winner positive. Significant contours are determined by a one-sample t-test using SPSS 25. The study did not find any return on the Islamic stocks listed on JII 30 for the period 2010-2018. But investors can still use this strategy to increase investment returns on Islamic stocks. Because this strategy still provides positive returns.

Does The Uptick Rule Inflate Stock Prices?

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none;" class="MsoNormal"><span style="color: black; font-size: 10pt; mso-themecolor: text1;"><span style="font-family: Times New Roman;">Does the uptick rule inflate stock prices? Miller (1977) hypothesizes that short sale constraints lead to stock overvaluation.<span style="mso-spacerun: yes;"> </span>In this paper I test this hypothesis in a power setting in which the Security and Exchange Commission (SEC) suspended the uptick rule for a pre-chosen set of stocks (pilot stocks) in 2005.<span style="mso-spacerun: yes;"> </span>The results suggest that on the NYSE the suspension of the uptick rule mitigates stock overvaluation and brings stock prices closer to their fundamental values.<span style="mso-spacerun: yes;"> </span>On the NASDAQ, however, lifting the uptick rule goes beyond correcting stock overvaluation; it leads to stock undervaluation. The results are robust after controlling for other factors, such as firm size, book-to-market ratio, stock return momentum, and availability of exchange-traded-options. </span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>