Is Indonesia's stock market different when it comes to predictability?
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 w...
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2019
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Online Access: | http://repository.unair.ac.id/96488/6/NisfulLaila_Karil05.pdf http://repository.unair.ac.id/96488/2/Nisful%20Laila_Peer%20Review%20005.pdf http://repository.unair.ac.id/96488/7/NisfulLaila_Similarity05.pdf http://repository.unair.ac.id/96488/ https://www.sciencedirect.com/science/article/pii/S156601411930113X https://doi.org/10.1016/j.ememar.2019.100623 |
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id-langga.964882021-02-02T05:05:04Z http://repository.unair.ac.id/96488/ Is Indonesia's stock market different when it comes to predictability? Susan Sunila Sharma, - Paresh Kumar Narayan, - KannanThuraisamy, - Nisful Laila, - H Social Sciences HG1-9999 Finance HG4551-4598 Stock exchanges 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. Elsevier 2019 Article PeerReviewed text en http://repository.unair.ac.id/96488/6/NisfulLaila_Karil05.pdf text id http://repository.unair.ac.id/96488/2/Nisful%20Laila_Peer%20Review%20005.pdf text en http://repository.unair.ac.id/96488/7/NisfulLaila_Similarity05.pdf 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 https://www.sciencedirect.com/science/article/pii/S156601411930113X https://doi.org/10.1016/j.ememar.2019.100623 |
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H Social Sciences HG1-9999 Finance HG4551-4598 Stock exchanges Susan Sunila Sharma, - Paresh Kumar Narayan, - KannanThuraisamy, - Nisful Laila, - Is Indonesia's stock market different when it comes to predictability? |
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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. |
format |
Article PeerReviewed |
author |
Susan Sunila Sharma, - Paresh Kumar Narayan, - KannanThuraisamy, - Nisful Laila, - |
author_facet |
Susan Sunila Sharma, - Paresh Kumar Narayan, - KannanThuraisamy, - Nisful Laila, - |
author_sort |
Susan Sunila Sharma, - |
title |
Is Indonesia's stock market different when it comes to predictability? |
title_short |
Is Indonesia's stock market different when it comes to predictability? |
title_full |
Is Indonesia's stock market different when it comes to predictability? |
title_fullStr |
Is Indonesia's stock market different when it comes to predictability? |
title_full_unstemmed |
Is Indonesia's stock market different when it comes to predictability? |
title_sort |
is indonesia's stock market different when it comes to predictability? |
publisher |
Elsevier |
publishDate |
2019 |
url |
http://repository.unair.ac.id/96488/6/NisfulLaila_Karil05.pdf http://repository.unair.ac.id/96488/2/Nisful%20Laila_Peer%20Review%20005.pdf http://repository.unair.ac.id/96488/7/NisfulLaila_Similarity05.pdf http://repository.unair.ac.id/96488/ https://www.sciencedirect.com/science/article/pii/S156601411930113X https://doi.org/10.1016/j.ememar.2019.100623 |
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1690631597976453120 |