Since 2016, the IDX has been the largest capital market in ASEAN and has the second-largest Composite Index in Asia with a market capitalization growth of 22.95%, up from 5, 565.92 trillion in 2015 to 5, 639.37 trillion in 2016. It turned out that small foreign investors performed a momentum strategy on non-government and a contrarian strategy on government.īefore the Covid-19 outbreak, the Indonesia Stock Exchange (IDX) was among the best performing stock markets.

However, re-testing was done by separating government and non-government shares.

This study found that small foreign investors carried out momentum strategies on stocks listed on the LQ-45 Index. The data analysis method used was paired t-test with SPSS to analyze cumulative abnormal returns in the formulation and test periods. All data was then squeezed and grouped into small, medium, and large trade transaction orders. The number of observations from the 35 companies was 8,686,030 observations where the government companies recorded 2,751, 545 and the non-government companies 1,387,016 observations. The number of companies with available data is 35 companies, consisting of 23 non-government stocks and 12 government stocks. This study applied a quantitative method approach using intraday transaction data of companies listed on the LQ-45 Index for March, April, and May 2017, obtained from the Indonesia Capital Market Institute (TICMI) which is a subsidiary of the Indonesia Stock Exchange (IDX). This research aimed to analyze the momentum strategy of foreign investors with the smallest trading transactions in the Indonesian stock market.

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