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All Journal Jurnal Kajian Manajemen Bisnis Jurnal Widya Manajemen & Akuntansi Journal of Economic, Bussines and Accounting (COSTING) JOURNAL OF APPLIED ACCOUNTING AND TAXATION J-MAS (Jurnal Manajemen dan Sains) Owner : Riset dan Jurnal Akuntansi Procuratio : Jurnal Ilmiah Manajemen Jurnal Informatika Ekonomi Bisnis Jurnal Manajemen Universitas Bung Hatta Enrichment : Journal of Management Jurnal Ekonomika Dan Bisnis Journal of Accounting and Finance Management (JAFM) Maqdis: Jurnal Kajian Ekonomi Islam Jurnal Informatika Ekonomi Bisnis Atestasi : Jurnal Ilmiah Akuntansi
Tafdil Husni
Universitas Andalas
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Journal : Jurnal Widya Manajemen

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MOMENTUM STRATEGIES AND TRADING VOLUME TURNOVER IN MALAYSIAN STOCK EXCHANGE Husni, Tafdil
Jurnal Widya Manajemen & Akuntansi Vol 6, No 1 (2006)
Publisher : Fakutas Ekonomi Unika Widya Mandala Surabaya

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Abstract

Using daily data on the Main Board of the Malaysian stock market from January 1988 to October 2002 and employing the strategy quite similar to Jegadeesh and Titman (1993) with some modifications, this study provides evidence on momentum strategy. That is strategy of buying stocks with high returns (winners) over the previous two and three months and selling stocks with low returns (losers) over the same period. The average differences between winner portfolios and loser portfolios in test period are 2.1% and 4.65 % in favor of winners, respectively. The result of this study is consistent with prediction of the under reaction hypothesis. This study also analyzes the relationship between momentum strategies and trading volume turnover (number of shares traded divided by the number of shares outstanding). The study reveals that momentum profits are more pronounced among high trading volume turnover stocks.
Co-Authors Abel Tasman Adiandra Wiransyah Adrianto, Fajri Alfarisi, Fany Alfarisi, M. Fany Alfarisi, Mohamad Fany Almaidah Ana Oktavia Besri Aprayuda, Riyadi Besri, Almaidah Ana Oktavia Ciseta Yoda, Tilawatil D, RIZKI FADHEL Dimas Tristiyono Eka Rosalina Elvira Luthan Fajri Adrianto Fani Elfarisy Fany Alfarisi Frima, Rini Gustina Gustina Hadya, Rizka Husni, Sari Fatul M. Fany Alfarisi M. FANY ALFARISI Mardiani, Sari Masyhuri Hamidi, Masyhuri Miranda Nuraini Miranda Sjofian, Devina Mohamad Fany Alfarisi Nidia Anggreni Das Nova Begawati Rahmahtika, Rahmahtika Rida Rahim RIYADI APRAYUDA Rizki Fadhel Rizquha, Yaktiha Sari Mardiani Syukri Lukman Yanti Yanti