Published July 1995
| public
Journal Article
An empirical survey of Indonesian equities 1985–1992
- Creators
- Roll, Richard
Abstract
Using a new data base of equities listed on the Jakarta Exchange, historical returns were documented for the 1985–1992 period. Jakarta stocks had high volatility relative to other countries, and startling short-term price movements, such as several hundred percent during December 1988. A new model of microstructure suitable for markets with infrequent trading was developed and applied to Jakarta. It disclosed substantial non-random price fluctuations. Indonesian equity returns were weakly but significantly related to returns in other countries. Jakarta's value stocks (those with low market/book value ratios) performed much better than growth stocks.
Additional Information
© 1995 Published by Elsevier. Many thanks to the PACAP Research Center of the University of Rhode Island, Professor S. Ghon Rhee, and William K. Yap for providing the data used in this study, to Choonkee Lim for assistance, and to Warren Bailey and Walter Torous for their constructive comments and suggestions. The paper was originally presented as a Keynote Address at the Sixth Annual PACAP Finance Conference in Jakarta, July 7, 1994.Additional details
- Eprint ID
- 95048
- Resolver ID
- CaltechAUTHORS:20190426-145911188
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2019-04-29Created from EPrint's datestamp field
- Updated
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2021-11-16Created from EPrint's last_modified field