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A study of Indonesia?s stock market : how predictable is it?
Using monthly data from January 1995 to December 2017, this paper tests whether Indonesian stock index returns are predictable. In particular, we use eight macro variables to predict the Indonesian composite and six sectoral index returns using the feasible generalized least squares estimator. Our results suggest that the Indonesian stock index returns are predictable. However, the predictability depends not only on the macro predictor used but also on the indexes examined. Second, we find that the most popular predictor is the exchange rate, followed by the interest rate. Finally, our main findings hold for a number of robustness tests.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 |
| Penerbit | : Bulletin of Monetary Economics and Banking 2019 |
|---|---|
| Edisi | - |
| Subjek | Stock Returns predictability Macro predictors Investor utility |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |