Text
Predictability, price bubbles, and efficiency in the Indonesian Stock Market
I examine the return predictability of the Indonesian stock-market during 1984?2016, in rolling windows, using an automatic portmanteau test and an automatic variance ratio. I find that the market's efficiency and predictability vary over time?consistent with the adaptive market hypothesis?with returns being less predictable in recent periods, a sign of improving efficiency. I also find that a simple buy-and-hold investment strategy outperforms several technical trading rules, even after adjusting for risk. Furthermore, I find evidence of explosive behaviour in Indonesian stock prices and detect multiple bubbles, using sequential right-tailed unit-root tests..
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 |
| Penerbit | : Bulletin of Indonesian Economic Studies 2018 |
|---|---|
| Edisi | - |
| Subjek | Market efficiency Stock market Market timing Market hypothesis |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |