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All Journal Jurnal Ilmu Manajemen (JIM) Jurnal Ilmiah Mahasiswa Ekonomi Manajemen Jurnal Menara Ekonomi : Penelitian dan Kajian Ilmiah Bidang Ekonomi
Nanda Nanda
Universitas Andalas, Universitas Baiturrahmah
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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STRATEGI MOMENTUM DAN STRATEGI VOLATILITAS MOMENTUM PADA SAHAM INDEKS LQ 45 Nanda Nanda
Jurnal Ilmu Manajemen Vol 9 No 4 (2021)
Publisher : UNESA In Collaboration With APSMBI (Aliansi Program Studi dan Bisnis Indonesia)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (867.362 KB) | DOI: 10.26740/jim.v9n4.p1308-1318

Abstract

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.
ABNORMAL RETURN MOMENTUM PADA SAHAM SYARIAH DI JAKARTA ISLAMIC INDEKS Nanda Nanda; Fajri Adrianto
Jurnal Ilmiah Mahasiswa Ekonomi Manajemen Vol 4, No 4 (2019): November
Publisher : Departemen Manajemen

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24815/jimen.v4i4.13011

Abstract

The purpose of this paper are to examine and analyse abnormal returns of momentum 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. Abnormal return of momentum portofolio when winner minus loser positive. Significant contours are determined by a one-sample t-test using SPSS 25. The study did not find any abnormal 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 abnormal returns
ANALISIS KEAKURATAN MACD DAN BOLLINGER BAND DALAM MENENTUKAN, SINYAL MEMBELI DAN MENJUAL SAHAM YANG TERDAFTAR INDEKS 30 SUB SEKTOR PERTAMBANGAN PER 2016-2021 Darman Darman; Nanda Nanda; Popy Hutri Ningsih
Jurnal Menara Ekonomi : Penelitian dan Kajian Ilmiah Bidang Ekonomi Vol 9, No 2 (2023): VOLUME IX NO 2 APRIL 2023
Publisher : Jurnal Menara Ekonomi : Pelatihan dan Kajian Ilmiah Bidang Ekonomi

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31869/me.v9i2.4298

Abstract

Penelitian ini bertujuan untuk menganalisis keakuratan metode Moving Average Convergence Divergence (MACD) dan Bollinger Band (BB) dalam menentukan sinyal membeli dan menjual. Sinyal membeli dan menjual didapatkan dari perpotongan garis MACD dan Bollinger Band dengan format standar. Konsep pada penelitian ini adalah : 1) membandingkan rata-rata return antara MACD dan BHAR per sub periode. 2) membandingkan rata-rata return antara BB dan BHAR. 3) membandingkan kinerja antara MACD dan BHAR mana yang lebih akurat. Populasi dalam penelitian ini adalah 30 perusahaan indeks 30 sektor pertambangan yang terdaftar di Bursa Efek Indonesia (BEI). Teknik pengumpulan sampel ini menggunakan purposive Sampling, berdasarkan kriteria-kriteria seperti : 1) perusahaan yang terdaftar indeks 30 Bursa Efek Indonesia (BEI) periode 2016-2021, 2) perusahaan pertambangan yang menghasilkan fundamental terbaik (yang terdaftar indeks 30), 3) Perusahaan pertambangan yang tetap berada di indeks 30, 4) datanya dapat diakses menggunakan aplikasi investing.com. Diperoleh 5 perusahaan yang dapat dijadikan sampel yaitu ADRO, ANTM, PGAS, PTBA dan UNTR. Teknik analisis data menggunakan analisis deskriptif, normalitas, Independent sample Test dan uji Homogenitas. Hasil penelitian menunjukkan disaat pasar sedang stabil sebaiknya kita berinvestasi atau BHAR, sebaliknya jika disaat pasar sedang krisis sebaiknya menggunakan analisis teknikal Bollinger BandKata Kunci :Analisis Teknikal, Moving Average Convergence Divergence, Bollinger Band, Buy And Hold Strategy, Sinyal membeli dan menjual
Co-Authors DARMAN - Fajri Adrianto Popy Hutri Ningsih