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"This thesis wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different methods in measuring the performance. The point of momentum or contrarian strategy is selecting winner (stocks with highest gain) or loser stock (stocks with highest loss) and then buy or sell it depend on the research result. This research using three methods in measuring performance used to select winner and loser stock. The first method is using cross section relative return, the second method is using cross section relative return plus risk component (return divided by standard deviation), and the third method is using historical relative return instead of cross section. The result is that, all of those three methods prove that momentum strategy is effectively applicable for winner stock, so in the next period winner stock will continue to make profit, while for loser stock, it is more effective to use contrarian strategy because in the next period, loser stock will rebound and make profit after suffering from high loss."

"Tujuan penelitian ini adalah untuk mengetahui ada tidaknya pola otokorelasi return pada portofolio industri, profitabilitas strategi momentum dan hubungan antara pola otokorelasi return dan profitabilitas strategi momentum di Bursa Efek Jakarta periode Januari 2001 sampai dengan Desember 2004.Metode analisis dipakai dekomposisi profit dari Lo and MacKinlay (1990) dengan menguji otokorelasi return portofolio industri berdasarkan data indeks harga saham sektoral mingguan dengan periode lag k = 1, 2, 4, 12 dan 26 minggu. Uji one sample t test untuk mengetahui profitabilitas strategi momentum pada tiap-tiap periode lag. Untuk mengetahui keeratan hubungan antara otokorelasi return dan profitabilitas strategi momentum dipakai uji korelasi Pearson.Hasil penelitian menunjukkan adanya otokorelasi return pada tiap-tiap portofolio industri yang signifikan pada lag k=2, 4, 12, dan 26 minggu. Otokorelasi return juga memberikar kontribusi yang besar bagi terbentuknya momentum profit. Strategi momentum berdasarkan portofolio industri menghasilkan keuntungan yang signifikan pada periode lag k = 12 minggu, tetapi tidak menunjukkan adanya keuntungan pada periode lag yang lebih kecil. Strategi kontrarian berdasarkan portofolio industri memberikan keuntungan pada periode lag k = 26 minggu.

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The aim of this research is to reveal the existence of return autocorrelation in industry portfolio, profitability of momentum strategies and the pattern of return autocorrelation in the Jakarta Stock Exchange in the period of January 2001 to December 2004.

Analysis method implemented in this research is the profit decomposition Lo and MacKinlay (1990) by examining the return autocorrelation in the portfolio industry based on weekly industrial index with lag k = 1,2,4,12 and 26 weeks. One sample of t test is conducted to explore the profitability of momentum strategy in each lag period. To explore how closed the correlation between return autocorrelation and profitability of momentum strategy is author utilize Pearson's correlation test.

Research show the existence of return autocorrelation in each industry portfolio is significant on lag k = 2, 4, 12 and 26 weeks. Return outocorrelation also shares significant contribution in constructing the profit momentum. Momentum strategy based on industry portfolio yield significant profit in lag period of k = 12 weeks, but show no gain profit in smaller lag period. Contrarian strategy based on industry portfolio is proved also to yield profit in lice lag period of k = 26 weeks."

"Penelitian ini bertujuan untuk menganalisis penggunaan strategi momentum dengan menggunakan pendekatan harga tertinggi 52 minggu terakhir dan pendekatan lainnya untuk menilai kinerja saham sehingga dapat dikelompokkan kedalam saham winner (saham dengan kinerja yang baik) atau losser (saham dengan kinerja yang buruk). Pendekatan untuk menilai kinerja saham yang digunakan pada penelitian ini adalah menggunakan tingkat return saham, tingkat return industri, rasio harga dengan harga tertinggi 52 minggu terakhir dan jangka waktu terjadinya harga tertinggi 52 minggu terakhir. Selain itu, dilakukan pula kombinasi atas pendekatan jangka waktu terjadinya harga tertinggi 52 minggu terakhir dengan ketiga strategi lainnya. Penelitian ini menggunakan sampel yaitu saham-saham pada Bursa Efek Indonesia periode 2005-2012. Hasil yang didapat adalah strategi momentum dimana membeli saham winner dan menjual saham losser hanya dapat dilakukan pada pendekatan menggunakan tingkat return industri.

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This research aims to analyze the use of momentum strategies using 52-weeks high price method and other methods to assess the performance of stocks that can be grouped into winner stocks (stocks with good performance) or losser stocks (stocks with poor performance). Methods to assess the performance of stocks used in this study is to use the level of stock return, industry return, the ratio of 52-weeks high price with recent prrice and the timing of 52-weeks high price. The combination also conducted over the timing of 52-weeks high price with 3 other methods. This research used a sample of the stocks on the Indonesia Stock Exchange period 2005-2012. The result is momentum strategy where buying winner stocks and selling losser stocks can be done using industry return method."