Susan Sunila Sharma and Paresh Kumar Narayan and KannanThuraisamy and Nisful Laila (2019) Is Indonesia's stock market different when it comes to predictability? Emerging Markets Review, 40 (-). pp. 1-11. ISSN 1566-0141, E-ISSN: 1873-6173

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Abstract

We construct a unique dataset consisting of 342 firms aimed at stock return predictability. Using seven predictors, we show that unlike in conventional markets, it is capital expenditure that is the most successful predictor of returns. However, the overall evidence of out-of-sample predictability when using other conventional return predictors is weak. Capital expenditure-based forecasting models do lead to profits also although these are small. This tends to imply that for markets that are at the nascent stages of development, such as Indonesia, capital expenditure might have a role to play in shaping the market. Our results are in sharp contrast to the literature on emerging markets.

Item Type:	Article
Uncontrolled Keywords:	Indonesia, Stock market, Returns, Predictability
Subjects:	H Social Sciences H Social Sciences > HG Finance > HG1-9999 Finance H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions:	04. Fakultas Ekonomi dan Bisnis > Ekonomi Syariah
Creators:	Creators NIM Susan Sunila Sharma UNSPECIFIED Paresh Kumar Narayan UNSPECIFIED KannanThuraisamy UNSPECIFIED Nisful Laila NIDN0007117101
Depositing User:	Tn Sugeng Riyanto
Date Deposited:	13 Aug 2020 02:37
Last Modified:	02 Feb 2021 05:05
URI:	http://repository.unair.ac.id/id/eprint/96488
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