Title: How does momentum exist? The case of the Indonesian stock market

Authors: Sudarso Kaderi Wiryono; Sinta Aryani; Mandra Lazuardi Kitri; Umi Kulsum

Addresses: School of Business and Management, Institut Teknologi Bandung, 40132, Indonesia ' School of Business and Management, Institut Teknologi Bandung, 40132, Indonesia; School of Industrial Engineering, Universitas Telkom, 40257, Indonesia ' School of Business and Management, Institut Teknologi Bandung, 40132, Indonesia ' School of Business and Management, Institut Teknologi Bandung, 40132, Indonesia

Abstract: The study of the Carhart model of market return, the value of the firm, market capitalisation, and momentum is interested because every market has its own characteristics. Since this model only represents the fundamental of the firms, the macroeconomic conditions should be investigated. This study investigates the effects of the macroeconomic in the Carhart model. In addition to the fundamental factors i.e., market return, the value of the firm, market capitalisation, and momentum, the study further investigates the effects of export, import, and exchange rate in the model. The model uses different holding periods and different economic conditions. The finding of this study is that momentum does exist in the Indonesian market, however, in very limited condition i.e., in crisis and normal economic conditions of Indonesia. Momentum does not show in the uptrend economic condition. More interestingly, in overall economic conditions during the observation, momentum does exist.

Keywords: momentum; export; import; exchange rate; Indonesia.

DOI: 10.1504/IJMEF.2018.097191

International Journal of Monetary Economics and Finance, 2018 Vol.11 No.6, pp.543 - 566

Received: 01 Sep 2017
Accepted: 08 Mar 2018
Published online: 02 Jan 2019 *

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