Using monthly data from January 1995 to December 2017, this paper tests whetherIndonesian stock index returns are predictable. In particular, we use eight macrovariables to predict the Indonesian composite and six sectoral index returns using thefeasible generalized least squares estimator. Our results suggest that the Indonesianstock index returns are predictable. However, the predictability depends not only onthe macro predictor used but also on the indexes examined. Second, we find that themost popular predictor is the exchange rate, followed by the interest rate. Finally, ourmain findings hold for a number of robustness tests.
Phan, Dinh Hoang Bach; Nguyen, Thi Thao Nguyen; and Nguyen, Dat Thanh
"A STUDY OF INDONESIA’S STOCK MARKET: HOW PREDICTABLE IS IT?,"
Bulletin of Monetary Economics and Banking: Vol. 21:
0, Article 4.
Available at: https://bulletin.bmeb-bi.org/bmeb/vol21/iss0/4