Pembuktian Return Momentum dan Kontarian pada Saham Syariah

  • Nanda Nanda Magister Manajemen Fakultas Ekonomi Universitas Andalas
  • Fajri Adrianto Department of Management, Faculty of Economics, Universitas Andalas
Keywords: winner portofolio, loser portofolio, momentum, contarian


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.


Aart, F., & Lehnert, T. (2006). “On style momentum strategies”, Applied Economics Letters, 12, 795-799.

Arfianto, D. E., & Maharani, E. (2016). “Analisis pengaruh momentum, trading volume dan size terhadap disposition effect dan return aplikasi cross sectional regression (studi pada indeks saham kompas 100 tahun 2012-2015)”. Diponegoro Journal of Management. Vol. 6, No 1, Th 2016, Hal 1-15 ISSN.

Badjra, B., & Saputro, N. (2016). “Kinerja portofolio saham berdasarkan strategi investasi momentum pada industri manufaktur”. E-Jurnal Manajemen Unud, Vol. 5, No.1, 2016: 623-649

Barroso, P., & Santa-Clara, P. (2015). “Momentum has its moments”. Journal of Financial Economics, 116(1), 111–120.

Bhootra, A. (2018). “Gross profitability and momentum”. Emerald Insight.

Bougie, R., & Sekaran, U. (2017). Research methods for business (7 rd ed). WILEY.

Brandao, E., Martins, V., & Martin, J,. (2016). “Momentum: Strategies, Size, and Risk Factor”. Working Papers. ISSN: 0870-8541.

Bursa Efek Indonesia. (n.d.).

Chen, Q., Hua, X., & Jiang, Y. (2015). “Contrarian strategy and herding behaviour in the Chinese stock market”. The European Journal of Finance.

Conrad, J., & Yavuz, D. M. (2017). “Momentum and reversal: Does what goes up always come down?” Review of Finance, 21(2), 555–581.

Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). “Psychology and Security Market Under- and Overreactions”. The Journal of Finance, 53(6), 1839–1885.

De Bondt, M. F. W., & Thaler, R. (1985). “Does the Stock Market Overreact?”. The Journal of Finance.

Dewi, R. M., & Sasmikadewi, A. I,. (2017). P”ebandingan kinerja portofolio saham winner-loser berdasarkan strategi investasi momentum”. E-Jurnal Manajemen Unud, Vol. 6, No. 2, 2017: 857-888. ISSN: 2302-8912.

Dhankar, R. S., & Maheshwari, S,. (2017). “Momentum Anomaly : Evidence from the Indian Stock Market”. Journal of Advances in Management Research, Vol. 14 Iss 1 pp.-. Emerald Insight.

Dhankar, R. S., & Maheshwari, S,. (2016). “Momentum and Contrarian Profitability: Insights from the Indian Stock Market under Alternative Approaches”. Asian Journal of Humanities and Social Sciences (AJHSS) Volume 4, Issue—1, May, 2016.

Doan, M. P., & Brooks, R. (2014). “Concurrent momentum and contrarian strategies in the Australian stock market”. Australia Journal of Management,1-30.

Du Ding. (2012). “Momentum and behavioral finance”. Managerial Finance, Vol. 38 Iss 4 pp. 364 – 379. Emerald Insight

French, K. R., & Fama, E. F. (1993). “Common risk factors in the returns on stocks and bonds”. Journal of Financial Economics, 33(1), 3–56.

Galariotis, C. E. (2014). “Contrarian and momentum trading : a review of the literature”. Review of Behavioral Finance, Vol. 6 Iss 1 pp. 63-82. Emerald Insight.

Gunasekarage, A., & Kot, W. H,. (2007). “Article information :Return-based investment strategies in the New Zealand stock market: momentum wins”. Pacific Accounting Review, Vol. 19 Iss 2 pp. 108-124. Emerald Insight.

Jegadeesh, N., & Titman, S. (1993). “Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”. The Journal of Finance. Vol. 48, No. 1 pp. 65-91.

Jones, P. C. (2010). Investments Principles and Concepts (11 rd ed). John Wiley & Sons.

Kaul, G., & Conrad, J. (1998). “An Anatomy of Trading Strategies”. Review of Financial Studies, 11(3), 489–519.

Khairunnisa, Rikumahu, B., & Valentina, E,. (2017). “Analisis price reversal di Bursa Efek Indonesia: Studi kasus indeks bisnis 27 periode Januari 2015 – Desember 2016”. E-Proceeding of Management : Vol. 4, No. 1 April 2017. ISSN : 2355-9357.

Kryzanowski, L., & He, Z. (2006). “A reformulated asset pricing model based on contrarian strategies. Studies In Economics and Finance”, Vol. 23 Iss 3 pp. 185-201. Emerald Insight.

Leung, K. W., Fung, G. H., & Yu L. (2019). “Momentum and contrarian trading strategy: Which one works better in Chinese stock market”. International Review of Economics and Finance 62 (2019) 87-105. ELSEVIER.

Liao, C. C. (2017). “Momentum Trading, Contrarian Trading and Smart Money Manipulation”. International Business Research; Vol. 10, No. 2; 2017. ISSN 1913-9004.

Marcus, J. A., Kane, A., & Bodie, Z. (2011). Investments and Portofolio Management (9rd ed). McGraw-Hill.

Mengoli, S. (2004). “On the source of contrarian and momentum strategies in the Italian equity market”. International Review of Financial Analysis, 13(3), 301–331.

Moskowitz, J. T., & Daniel, K,. (2016). “Momentum crashes. Journal of Financial Economics” 122 (2016) 221-247. ELSEVIER.

Nugroho, Y. B,. (2008). “Profitabilitas strategi momentum di Bursa Efek Indonesia”. Jurnal Siasat Bisnis Vol. 12 No. 3. Hal: 175-186.

Otoritas Jasa Keuangan (n.d.).

Scrimgeor, F., Locke, S., & Gupta, K,. (2013). “Profitability of momentum returns under alternative approaches”. International Journal of Managerial Finance, Vol. 9 Iss 3 pp. 219-246.

Singal, V., & Qin, N. (2018). “Equal-Weighting versus Value-Weighting: Theory and Practice”. SSRN. ELSEVIER.

Stork, A. P,. (2013). “The intertemporal mechanics of European stock price momentum. Studies in Economics and Finance”, Vol. 28 Iss 3 pp. 217-232. Emerald Insight.

Tanna, S. & Nnadi, M. (2017). “Accounting analyses of momentum and contrarian strategies in emerging markets”. Asia-Pacifik Journal of Accounting & Economics. ISSN: 1608-1625.

Vilkov, G., Uppal, R., & Plyakha, Y,. (2014). “Equal or Value Weighting? Implications for Asset-Pricing Tests”. Working Paper EDHEC-Risk Institute.

Witiastuti, S., & Maharani, S. (2015). “Fenomena market overreaction di Bursa Efek Indonesia”. Management Analysis Journal 4 (1) (2015).

How to Cite
Nanda, N. and Adrianto, F. (2020) “Pembuktian Return Momentum dan Kontarian pada Saham Syariah”, AMAR (Andalas Management Review), 4(1), pp. 18-39. doi: 10.25077/amar.4.1.18-39.2020.