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Lead-lag effects in stock returns: evidence from Indonesia
Rusmanto, T1, Waworuntu, S. R2, Nugraheny, H3.
The main purpose of this research is to determine the existence of lead-lag effects in stock
returns in the Indonesia Stock Exchange. Fifty-eight companies were taken as samples,
selected through industrial classification and selection criteria of leader and follower
stocks. The data is analysed using Vector Auto Regression method to extrapolate and
investigate the existence of lead-lag effects in Indonesian capital market. This study finds
that returns to stocks with relatively high market capitalizations lead returns to stocks
with relatively low market capitalizations in Indonesian industry portfolios. However,
out of ten industries, there are only six who contribute significant result. This research
concludes that lead-lag effects do exist in certain industries and it may assist investors
in managing the trading strategy. Indonesian capital market is not efficient since lead-lag
effects is one of the phenomenon, which against the EMH.
Affiliation:
- Bina Nusantara University, Indonesia
- Bina Nusantara University, Indonesia
- Bina Nusantara University, Indonesia
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Indexation |
Indexed by |
MyJurnal (2019) |
H-Index
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0 |
Immediacy Index
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0.000 |
Rank |
0 |
Indexed by |
Scopus (SCImago Journal Rankings 2016) |
Impact Factor
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- |
Rank |
Q2 (Arts and Humanities (miscellaneous)) Q2 (Business, Management and Accounting (miscellaneous)) Q2 (Economics, Econometrics and Finance (miscellaneous)) Q2 (Social Sciences (miscellaneous)) |
Additional Information |
0.333 (SJR) |
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