Strategi Momentum dan Strategi Volatilitas Momentum pada Saham Indeks LQ 45


  • Nanda Nanda Universitas Andalas, Universitas Baiturrahmah



loser portfolio, momentum strategy, momentum volatility strategy, volatility, winner portfolio


This study looks at the return of the momentum strategy and the momentum volatility strategy of stocks listed on the LQ 45 Index for the 2010-2019 period. The method used in this research is the method of Jagedeesh and Titmant (1993) and Malin and Borhold (2011). Winning portfolios are formed by buying stocks with the best past return performance and selling stocks with past poor returns for a momentum strategy. Meanwhile, the loser portfolio is created by buying stocks with bad returns and selling stocks with good returns in the past. A momentum and volatility type is used in forming a portfolio of winners and losers for a momentum volatility strategy. Formations and observations were used 3,6 and 12 months—return momentum when the loser minus an optimistic winner. Significant momentum is determined by a one-sample t-test using SPSS 21. The study did not find returns from all momentum strategies statistically significant on stocks with LQ 45 Index for the 2010-2019 period. This result explains that the LQ 45 index is already in a weak form of efficient market condition. Investors cannot use this strategy to obtain excess returns when transacting on the LQ 45 index.

Author Biography

Nanda Nanda, Universitas Andalas, Universitas Baiturrahmah

Fakultas Ekonomi


Arfianto, D., & Maharani, E. (2017). Analisis Pengaruh Momentum , Trading Volume dan Size Terhadap Disposition Effect dan Return Aplikasi Cross Sectional Regresion. Diponegoro Journal Of Management. 6 (1), 139-153

Barroso, P., & Santa-Clara, P. (2015). Momentum has its Moments. Journal of Financial Economic, 116 (1), 111-120.

Blitz, D., Huij, J., & Martens, M. (2011). Residual Momentum. Journal of Empirical Finance. 18, (3), 506-521

Bhootra, A.(2018), "Gross Profitability and Momentum" Managerial Finance, 44(8), 992-1011.

Carhart, M. M. (1997). On persistence in Mutual Fund Performance. The Journal of finance, 52(1), 57-82.

Chopra, N., Lakonishok, J., & Ritter, J. (1992). Measuring Abnormal Performance: Do Stocks Overreact? Journal of Financial Economics, 31(2), 235-268.

Dewi, R. M., & Sasmikadewi, A. I. (2017). Perbandingan Kinerja Portofolio Saham Winner – Loser Berdasarkan Strategi Investasi Momentum. E-Jurnal Manajemen Unud. 6(2), 857-888

Dhankar, S, R. (2017). Momentum Anomaly: Evidence From The Indian Stock Market. Journal of Advances in Management Research. 14 (1), 3-22

Du, Ding. (2012). Momentum and Behavioral Finance. Managerial Finance. 38(4). 364 - 379

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417.

Fama, F. E., & French, R. K. (1993). Common Risk Factor in The Returns on Stock and Bonds. Journal of Financial Economics. 33, 3-56.

Gutierrez, R. C., & Prinsky, C. A. (2007). Momentum, Reversal, and The Trading Behaviors of Institutions. Journal of Financial Markets 10, 48–75.

Grundi., & Martin, S. J. (2001). Understanding The Nature of The Risk and The Source of The Reward to Momentum Investing. The Review Of Financial Studies. 14(1), 29-78.

PT Bursa Efek Indonesia.2021. Indeks. (, diakses pada 35 Maret 2021)

Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance. 48(1), 65–91.

Jiang, Y., Hua, X., & Chen, Q. (2015). Contrarian strategy and herding behaviour in the Chinese stock market. The European Journal ofFinance. 24(16), 1552-1568

Lakonishok, J., Jegadeesh, N., & Chan, L. K. C. (1996). Momentum Strategies. Journal of Finance, 51(5),1681-1713.

Leung, K, W., Fung, g., & Yu, L. (2019). Momentum or Contrarian Trading Strategy: Which one works Better in the Chinese Stock Market. International Review of Economics and Finance. 62(c), 87–105.

Maio, P., Detzel, A., & Barroso, P. (2016). Managing the Risk of The Low-risk Anomaly. SSRN Electronic Journal. DOI:10.2139/ssrn.2876450

Malin, M., & Bornholt, G. (2011). Using Volatility to Enhance Momentum Strategies. JASSA The Finsia Journal Of Applied Finance. 2, 16-21

Malkiel, G, B., & Xu, y. (2003). Investigating the Behavior of Idiosyncratic Volatility. The Journal of Business. 76 (4), 613-645

Moreira, A., & Muir, T. (2017). Volatility-Managed Portfolios. The Journal of Finance. 72 (4), 1611-1643

Moskowitz, J. T., & Daniel, K. (2016). Momentum Crash. Journal of Financial Economic, 122, 221-247.

Nanda., & Adrianto. (2019). Abnormal Return Momentum pada Saham Syariah di Jakarta Islamic Indeks. Jurnal Ilmiah Mahasiswa Ekonomi Manajemen. 4 (4), 773-785.

Nugroho, Y. B. (2008). Profitabilitas Strategi Momentum di Bursa Efek Indonesia (Periode Januari 2003 – Desember 2007). Jurnal Siasat Bisnis. 12(3), 175 – 186.

Rhee, G. H., Nakano, S., & Chang. (2018). Residual Momentum in Japan. Journal of Empirical Finance 45, 283-299.

Saputro, N., & Badjra, B. (2016). Kinerja Portofolio Saham Berdasarkan Strategi Investasi Momentum pada Industri Manufaktur. E-Jurnal Manajemen Unud, 5(1), 623-649

Scrimgeor, F., Locke, S., & Gupta, K. (2013). Profitability of Momentum Returns Under Alternative Approaches. International Journal of Managerial Finance, 9(3), 219- 246.

Tanna, S., & Nnadi, M. (2017). Accounting analyses of momentum and contrarian strategies in emerging markets. Asia-Pacific Journal of Accounting & Economics.26 (4), 457-477.

Wiastuti, S, R., & Maharani, S. (2015). Fenomena Market Overreaction di Bursa Efek Indonesia. Management Analisys Journal.4 (1), 30-38.

Wibowo, S, S., & Mosii, L, R. (2019). The Profitability of Momentum Strategies: A Study Of Indonesian Stock Exchange. Indonesian Capital Market Review.11,15-29.

Yavuz., & Conrad. (2016). Momentum and Reversal: Does What Goes Up Always Come Down? Review of Finance, 21(2), 555-581. 10.1093/rof/rfw006




How to Cite

Nanda, N. . (2021). Strategi Momentum dan Strategi Volatilitas Momentum pada Saham Indeks LQ 45. Jurnal Ilmu Manajemen, 9(4), 1308–1318.



Abstract View: 142