Repository Universitas Pakuan

Detail Karya Ilmiah Dosen

Yudhia Mulya, Sri Hartini, Chaerudin Manaf

Judul : The Effective Trading Strategy for High Dividend Stocks on Jakarta Stock Exchange

Abstrak :
Companies with the ability to consistently share dividends would be an attractive investment to most investors. The Jakarta Stock Exchange released a new, high dividend index in the middle year of 2018. This study examines the most appropriate trading strategy for high dividend yield stocks, by comparing equally weighted Dogs and Dows (DoD) and minimum variance optimal portfolio strategies. The result of ANOVA testing shows that the DoD strategy provides significantly higher returns and risks in all periods of investment. Semi-annual portfolio rebalancing provides significant differences in performance among investment periods, in terms of the Sharpe ratio. It implies that dividend information allows investors to receive higher returns, which does not support the semi-strong form of the efficient market hypothesis.

Tahun : 2020 Media Publikasi : Jurnal Internasional

Kategori : Jurnal No/Vol/Tahun : 9 / 12 / 2020

ISSN/ISBN : 2201-1323

PTN/S : Universitas Pakuan Program Studi : MANAJEMEN

Bibliography :
REFERENCES

Abramov, A., Radygin, A., & Chernova, M. (2015). Long-term Portfolio Investmens: New Insight into Return and Risk. Russian Journal of Economics , 1, 273-293.

Ahmad, N., Ghouse, S. M., & Salamuddin, N. (2017). Empirical Analysis od the Dogs of the Dow (DoD) Trading Strategy in Developed and Developing Asian Markets. Pertanika Journals Social Sciences & Humanities , 25, 75-84.

Bakke, A. (2014). How Good is the Out-of-Sample Performance of Optimized Portfolios? An Empirical Comparison of Optimal Versus Naive Diversification. University of Agder School of Business and Law.

Black, F., & Scholes, M. (1974). The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns. Journal of Financial Economics , 1-22.

Brigham, E. F., & Ehrhardt, M. C. (2005). Financial Management Theory and Practice. Thomson-Southwestern.

Choi, B. P., & Mukherji, S. (2010). Optimal Portfolios For Different Holding Periods. Journal of Business & Economics Research , 8 (No. 10), 1-6.

Chong, T. T.-L., & Luk, K. K. (2010). Does the “Dogs of the Dow” Strategy Work Better in Blue Chips? Applied Economics Letters , 17 (12), 1173-1175.

Daryanani, G. (2008). Opportunistic Rebalancing: A New Paradigm for Wealth Managers. Journal of Financial Planning , 48-61.

Dayanandan, A., & Lam, M. (2015). Portfolio Balancing - Hype or Hope? The Journal of Business Inquiry , 14 (2), 79-92.

DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? The Review of Financial Studies , 22 (9), 1915-1953.

Estrada, J. (2013). Stocks, Bonds, Risk, anf the Holding Period: an International Perspective. The Journal of Wealth Management , 25-44.

Fugazza, C., Guidolin, M., & Nicodano, G. (2010, December). 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus. Carlo Alberto Notebooks , pp. 1-44.

Kapur, R., & Suryavanshi, S. (2002). Dividend Yield Strategies: Dogs of The Dow and Hounds of The Bay. Simon Fraser University.

Kim, D.-K. (2019). The Dogs of the Dow Theory - Is It Valid? International Journal of Economics and Finance , 11 (No. 5), 43-49.

Li, B., Liu, B., F Fin, R. B., & Su, J. J. (2012). Stock Return and Holding Periods. The Finsia Journal of Applied Finance (2), 43-48.

Lin, E. C. (2017). Investment Performance of the “Dogs of the Dow” Strategies: The Latest Evidence. International Journal of Trade, Economics and Finance , 8 (No. 15), 231-234.

Qiu, M., Song, Y., & Hasama, M. (2013). Empirical Analysis of The Dogs of The Dow Strategy: Japanese Evidence. International Journal of Innovative, Computing, Information, and Control , Vol. 3 No. 3 (ISSN 349-198), 3677-3684.

Stewart, S. D., Piros, C. D., & Heisler, J. C. (2019). Portfolio Management Theory and Practice. Wiley.

Tissayakorn, K., Song, Y., & Akagi, F. (2013). A Study on Performance Evaluation of The “Dogs of The Dow” Investment Strategy for The Thai Stock Market. European Modeling and Simulation Symposium.

Wang, C., Larsen, J. E., Ainina, M., Akhbari, M. L., & Gressis, N. (2011). The Dogs of the Dow in China. International Journal of Business and Social Sciences , 2 (18), 70-80.

Yan, H., Song, Y., Qiu, M., & Akagi, F. (2015). An Empirical Analysis of the Dog of the Dow Strategy for The Taiwan Stock Market. Journal of Economics, Business and Management , 2 No. 4, 435-439.

Zilbering, Y., Jaconetti, C. M., & Kinniry, F. M. (2015). Best Practices for Portfolio Rebalancing. Vanguard Research.

Zvi, B., Kane, A., Marcus, A. J., & Jain, R. (2014). Investment. McGraw Hill.

URL : https://www.ijicc.net/index.php/volume-12-2020/175-vol-12-iss-9

Document

back

@official_unpak	@unpak
@unpak	UNPAK TV

Welcome Repository Universitas Pakuan

Student's Achievments

Unggul, Mandiri & Berkarakter

Detail Karya Ilmiah Dosen

Yudhia Mulya, Sri Hartini, Chaerudin Manaf

Judul	:	The Effective Trading Strategy for High Dividend Stocks on Jakarta Stock Exchange
Abstrak	:	Companies with the ability to consistently share dividends would be an attractive investment to most investors. The Jakarta Stock Exchange released a new, high dividend index in the middle year of 2018. This study examines the most appropriate trading strategy for high dividend yield stocks, by comparing equally weighted Dogs and Dows (DoD) and minimum variance optimal portfolio strategies. The result of ANOVA testing shows that the DoD strategy provides significantly higher returns and risks in all periods of investment. Semi-annual portfolio rebalancing provides significant differences in performance among investment periods, in terms of the Sharpe ratio. It implies that dividend information allows investors to receive higher returns, which does not support the semi-strong form of the efficient market hypothesis.
Tahun	:	2020	Media Publikasi	:	Jurnal Internasional
Kategori	:	Jurnal	No/Vol/Tahun	:	9 / 12 / 2020
ISSN/ISBN	:	2201-1323
PTN/S	:	Universitas Pakuan	Program Studi	:	MANAJEMEN
Bibliography	:	REFERENCES Abramov, A., Radygin, A., & Chernova, M. (2015). Long-term Portfolio Investmens: New Insight into Return and Risk. Russian Journal of Economics , 1, 273-293. Ahmad, N., Ghouse, S. M., & Salamuddin, N. (2017). Empirical Analysis od the Dogs of the Dow (DoD) Trading Strategy in Developed and Developing Asian Markets. Pertanika Journals Social Sciences & Humanities , 25, 75-84. Bakke, A. (2014). How Good is the Out-of-Sample Performance of Optimized Portfolios? An Empirical Comparison of Optimal Versus Naive Diversification. University of Agder School of Business and Law. Black, F., & Scholes, M. (1974). The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns. Journal of Financial Economics , 1-22. Brigham, E. F., & Ehrhardt, M. C. (2005). Financial Management Theory and Practice. Thomson-Southwestern. Choi, B. P., & Mukherji, S. (2010). Optimal Portfolios For Different Holding Periods. Journal of Business & Economics Research , 8 (No. 10), 1-6. Chong, T. T.-L., & Luk, K. K. (2010). Does the “Dogs of the Dow” Strategy Work Better in Blue Chips? Applied Economics Letters , 17 (12), 1173-1175. Daryanani, G. (2008). Opportunistic Rebalancing: A New Paradigm for Wealth Managers. Journal of Financial Planning , 48-61. Dayanandan, A., & Lam, M. (2015). Portfolio Balancing - Hype or Hope? The Journal of Business Inquiry , 14 (2), 79-92. DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? The Review of Financial Studies , 22 (9), 1915-1953. Estrada, J. (2013). Stocks, Bonds, Risk, anf the Holding Period: an International Perspective. The Journal of Wealth Management , 25-44. Fugazza, C., Guidolin, M., & Nicodano, G. (2010, December). 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus. Carlo Alberto Notebooks , pp. 1-44. Kapur, R., & Suryavanshi, S. (2002). Dividend Yield Strategies: Dogs of The Dow and Hounds of The Bay. Simon Fraser University. Kim, D.-K. (2019). The Dogs of the Dow Theory - Is It Valid? International Journal of Economics and Finance , 11 (No. 5), 43-49. Li, B., Liu, B., F Fin, R. B., & Su, J. J. (2012). Stock Return and Holding Periods. The Finsia Journal of Applied Finance (2), 43-48. Lin, E. C. (2017). Investment Performance of the “Dogs of the Dow” Strategies: The Latest Evidence. International Journal of Trade, Economics and Finance , 8 (No. 15), 231-234. Qiu, M., Song, Y., & Hasama, M. (2013). Empirical Analysis of The Dogs of The Dow Strategy: Japanese Evidence. International Journal of Innovative, Computing, Information, and Control , Vol. 3 No. 3 (ISSN 349-198), 3677-3684. Stewart, S. D., Piros, C. D., & Heisler, J. C. (2019). Portfolio Management Theory and Practice. Wiley. Tissayakorn, K., Song, Y., & Akagi, F. (2013). A Study on Performance Evaluation of The “Dogs of The Dow” Investment Strategy for The Thai Stock Market. European Modeling and Simulation Symposium. Wang, C., Larsen, J. E., Ainina, M., Akhbari, M. L., & Gressis, N. (2011). The Dogs of the Dow in China. International Journal of Business and Social Sciences , 2 (18), 70-80. Yan, H., Song, Y., Qiu, M., & Akagi, F. (2015). An Empirical Analysis of the Dog of the Dow Strategy for The Taiwan Stock Market. Journal of Economics, Business and Management , 2 No. 4, 435-439. Zilbering, Y., Jaconetti, C. M., & Kinniry, F. M. (2015). Best Practices for Portfolio Rebalancing. Vanguard Research. Zvi, B., Kane, A., Marcus, A. J., & Jain, R. (2014). Investment. McGraw Hill.
URL	:	https://www.ijicc.net/index.php/volume-12-2020/175-vol-12-iss-9