Long Memory in the Indonesia Stock Exchange

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

analysing long run memory in tehran stock exchange

in this paper, we have estimated the memory of thetehran stock exchange indices. the estimation of fractional differencing parameter is carried out by various methods such as mle, nls, hurst exponent, gph, lo, whittle and wavelet. the estimation results of whittle, wavelet, hurst, and lo methods allow us to conclude that the returns on stock indices (tepix, tedpix, tedix, financial index and in...

متن کامل

Long Memory in Stock Returns: A Study of Emerging Markets

The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to ...

متن کامل

The Dynamics of Competitiveness in Creative and Manufacturing Industries in the Indonesia Stock Exchange (IDX) of Pre and Post Crisis

This study presents an empirical evidence concerning the comparison of  the dynamics of competitiveness in the creative and manufacturing industries. It investigated the impact of the economic crisis in the behavior of the competitiveness of those industries. The samples were 42 firms taken from 3 sub-sectors of the creative industries and 3 sub-sectors of the manufacturing industries listed in...

متن کامل

Long Memory in Stock Trading

Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades, we show that the underlying point process is essentially nonMarkovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period J...

متن کامل

A Long-term Casual Nexus between Stock Price and Dividends: Empirical Evidence from the Accepted Firms in Tehran Stock Exchange

this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. One of the methods to study the designed causal relationshipsobjectively is Granger causality test. This paper aims to investigate the longtermcausal relationship between the stock price and dividends. The statisticalpopulation includes 180 active companies in Stock Exchange of Tehran ...

متن کامل

ذخیره 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: Indonesian Capital Market Review

سال: 2019

ISSN: 2356-3818,1979-8997

DOI: 10.21002/icmr.v10i2.10826