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THE RETURN OF CONTRARIAN STRATEGIES, MOMENTUM STRATEGIES AND THE TRADING VOLUME IN INDONESIA STOCK EXCHANGE

paper-details
 
Author Name: Anna Maria Dewi Astuti, Fitri Ismiyanti and Windijarto
Research Area: Business Research
Volume: 06
Issue: 02
Page No: 26-30
Emailed: 0
Total Downloads: 73
Country: Indonesia
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The level of literacy and inclusion of Indonesia Stock Exchange and capital market was lower than other financial institution therefore need to be develop by increasing the volume of stock trading. This research analyzes the influence of contrarian strategies return and momentum strategies return with the stock trading volume for the last eight years during 2008 to 2015. The data cross section only four shares, while time series data was longer because was taken from daily data collected using Random Effect Model of the long panel data.  Result of this research were the contrarian strategies  return and momentum strategies return were co-integrated and  had an effect on stock trading volume which momentum return contributed more to stock trading volume, with the equation:  The volume of stock trading = 16.04805 + 0.273825 contrarian strategies return + 0.435627 momentum strategies return. The return of both contrarian strategies and momentum strategies return would be positively correlated, which meant the return of the contrarian strategies and the return of the momentum strategies had the same direction movement.