Determinants of Momentum Strategy and Return in Short Time Horizon: Case in Indonesian Stock Market

Abstract

This research examined momentum profitability over a various time horizon and its sources in Indonesian stock market. The results show that the profitability of momentum return was inversely related to its holding period. The average return for 60 days strategy was significantly higher than buy-and-hold, while the return for 10 days strategy was significantly lower from buy-and-hold. In the section of momentum return sources, it is found that sector rotation is significant in explaining momentum returns in both winner and loser portfolio for all time horizons, while other variables have mixed influence.