Higher order moment of IDXNONCYC on stock return PT Nippon Indosari Corpindo Tbk predictability

Dimensions

Iman, Lubis and Syamruddin, Syamruddin and Andi, Sopandi (2022) Higher order moment of IDXNONCYC on stock return PT Nippon Indosari Corpindo Tbk predictability. Indonesia Financial Review, 2 (1): 1. pp. 1-14. ISSN 2807-3886

Preview

Text
2807-3886_2_1_2022-1.pdf - Published Version
Available under License Creative Commons Attribution.
Download (413kB) | Preview

Official URL: https://ypppal-amsi.or.id/penelitian/index.php

Abstract

This study predicts the stock return's of PT Nippon Indosari Tbk with higher order moment of IDXNONCYC. The research method used is time series. Data used are ratios. The tool used is GARCH (1,1). The results are the IDXNONCYC coskewness and cokurtosis lag 1 are significant predicting the stock return’s PT Nippon Indosari Corporindo Tbk. However, IDXNONCYC risk premium lag 1 short fall to predict .

Item Type:	Article
Uncontrolled Keywords:	IDXNONCYC, Co-skewness, Co-kurtosis, GARCH (1,1), Stock return
Subjects:	Economics and Business Economics and Business > Banking & Finance
Depositing User:	Den Rizzal Rosiyan
Date Deposited:	19 Feb 2024 08:01
Last Modified:	19 Feb 2024 08:01
URI:	https://karya.brin.go.id/id/eprint/32574

Actions (login required)

: View Item