Winner-Loser Saham di Bursa Efek Jakarta: pengujian Contrarian Strategy

Wulandari, Ika, I Wayan Nuka Lantara, SE., M.Si.

2008 | Tesis | S2 Management

N.A.

The research aims to analyze the occurrence of return reversal in stock market at BEJ money market. The research also seeks to examine whether or not there is a return difference in loser and winner portfolio so that investor can apply contrarian strategy to gain advantage. The research also observes whether or not risk and size affect the return difference between loser and winner portfolio. The samples of the research tekes from companies in Jakarta Stock Exchange in 2000-2005 periods. The research result reveals that there is an occurrence of return reversal at BEJ. It is a weak result, however, since the arithmetic methods reports that significant return reversal occurs only in loser portfolio. Whereas, in winner portfolio, return reversal of less significance occurs during one month observation only. In buy-and-hold method, loser share undergoes significant reversal during one month observation only while winner portfolio undergoes return reversal which is insignificant. The occurrence of return differences may rovide chances for investors to gain advantage. The result shows that significant return difference between loser and winner portfolio takes place during one month observation period. Thus it can be concluded that there is a contrarian advantage in one month period. The result of the examination on risk shows that there is a risk difference between loser and winner portfolio or, in other words, risk difference can explicate return difference between loser and winner portfolio during examination period. Meanwhile, size examination reveals that return difference is unaffected by size effect. Key word : return reversal, winner-loser anomaly, contrarian strategy, risk, size effect

Kata Kunci : Bursa Saham; BEJ; Contrarian Strategy