The behavior of Indonesian stock market: structural breaks and nonlinearity

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The behavior of Indonesian stock market: structural breaks and nonlinearity

This study empirically examines the behaviour of Indonesian stock market under the efficient market hypothesis framework by emphasizing on the random walk behaviour and nonlinearity over the period of April 1983 - December 2010. In the first step, the standard linear unit root test, namely the augme...

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Bibliographic Details
Main Authors:	Rahmat Heru Setianto, Rahmat Heru, Abdul Manap, Turkhan Ali
Format:	Proceeding Paper
Language:	English
Published:	2011
Subjects:	H Social Sciences (General) HA Statistics HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/13306/ http://irep.iium.edu.my/13306/7/FMI_Indonesia.pdf

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