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)
Abstract: Momentum and
disposition effect in modern stock markets are distractions against the
Efficient Market Hypothesis. The effect might be elaborated by disposition
effect model in which momentum is explored through behavioral bias. The aim of
this research was to analyze the propensity of previously winning-stock to
perform better than losing-stock as a strategy of momentum attributable to
disposition effect. The study case incorporated Stock Index of Kompas 100 in
Indonesia Stock Exchange during the period of 2012–2015 by employing cross sectional
regression.
Weekly stock data from 79 companies were taken as sample--comprising of
volume and outstanding share. The variables consist of momentum in the
sort-term, medium-term, and long term; consecutively taken from past-return
week-1, past-return week 5 to 52, past return week 52 to 156. Additionally, to
examine the size, trading volume variables were used consisting of average
trading volume in the sort-term, medium-term, and long term; consecutively
taken from week 1 to 4, 5 to 52, and 53 to 156.
Capital gains overhang were used as a proxy of disposition effect. The
results revealed that momentum exists on Indonesia Stock Exchange; furthermore,
capital gains overhang is sufficient to be a proxy of disposition effect. In
other words, disposition effect is driven by momentum. Up to the point od this
study, Indeks Stock Kompas 100 has experienced a capital losses; implicating an
inclination to remain perform satisfactorily ahead.
Keywords: Capital gain
overhang, cross sectional regression, disposition effect, momentum
Penulis: Ema Maharani, Erman
Denny Arfianto
Kode Jurnal: jpmanajemendd170863
