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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 NumberLocationAvailable
PSB lt.2 - Karya Akhir1
Penerbit Bulletin of Indonesian Economic Studies.,
Edisi -
Subjek Market efficiency
Stock market
Market timing
Market hypothesis
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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