Pembuktian Return Momentum dan Kontarian pada Saham Syariah

  • Nanda Nanda Department of Magister Management Faculty of Economic Universitas Andalas, Padang West Sumatra Indonesia
  • Fajri Adrianto Department of Management, Faculty of Economics, Universitas Andalas, Padang West Sumatra Indonesia
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.


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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.