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Predictability,Price Bubbles,and Efficiency in the Indonesian Stock-Market
Authors:Fahad Almudhaf
Institution:Kuwait University
Abstract:I examine the return predictability of the Indonesian stock-market during 1984–2016, in rolling windows, using an automatic portmanteau test and an automatic variance ratio. I find that the market’s efficiency and predictability vary over time—consistent with the adaptive market hypothesis—with returns being less predictable in recent periods, a sign of improving efficiency. I also find that a simple buy-and-hold investment strategy outperforms several technical trading rules, even after adjusting for risk. Furthermore, I find evidence of explosive behaviour in Indonesian stock prices and detect multiple bubbles, using sequential right-tailed unit-root tests.
Keywords:adaptive market hypothesis  market efficiency  market timing  return predictability
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