The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity
نویسندگان
چکیده
منابع مشابه
Nonlinearity and structural breaks in monetary policy rules with stock prices
a r t i c l e i n f o JEL classification: E31 E44 E52 Keywords: Monetary policy rule Nonlinear model Stock market Structural break Time-varying coefficient This paper introduces nonlinearity and a structural break to the US forward-looking Taylor rule with a stock price gap, thereby alleviating the robustness problem that the linear Taylor rule is sensitive to minor changes of the sample period...
متن کاملLong Memory and Structural Breaks in the Spanish Stock Market Index
It is well known that the Spanish stock market index (IBEX 35) exhibits unit roots. However, the implications of possible structural breaks in this series have not been deeply investigated. In this paper, we show that, when including a break at the beginning of 1998, the order of integration of the series becomes slightly smaller, strengthening the evidence of mean-reverting behaviour. When the...
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility
In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970-2001. We find weak evidence of long memory in volatility once structural change is accounted for and a twofold linkage between stock market and macroeconomic volatility: macroeconomic volatility explains the persitent dynamics in stock market volatility, while stock ma...
متن کاملNovel Stories About Forecasting International Stock Market Returns: Structural Breaks and Theory-Induced Restrictions
We take up the challenge of forecasting out-of-sample monthly returns on stock market indices. Recent contributions show that a wide range of popular predictors poorly forecast the US equity premium when the performance is compared to the average predictor. We revisit these findings focusing on three aspects. First, we report results for four major stock markets: US, UK, Germany and Japan. We f...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Gadjah Mada International Journal of Business
سال: 2011
ISSN: 2338-7238,1411-1128
DOI: 10.22146/gamaijb.5480