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

Sudarso Kaderi Wiryono, Sinta Aryani, Mandra Lazuardi Kitri and Umi Kulsum

International Journal of Monetary Economics and Finance, 2018, vol. 11, issue 6, 543-566

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. (search for similar items in EconPapers)
Date: 2018
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