Chinese Stock Market Return Predictability: Adaptive Complete Subset Regressions

2016 ◽  
Vol 45 (5) ◽  
pp. 779-804 ◽  
Author(s):  
Keqi Chen ◽  
Rui Chen ◽  
Xueyong Zhang ◽  
Min Zhu
Keyword(s):  
Stock Market ◽  
Return Predictability ◽  
Chinese Stock Market ◽  
Market Return ◽  
Stock Market Return

scholarly journals Stock market return predictability: Google pessimistic sentiments versus fear gauge

2017 ◽  
Vol 5 (1) ◽  
pp. 1390897 ◽  
Author(s):  
Ume Habibah ◽  
Suresh Rajput ◽  
Ranjeeta Sadhwani ◽  
David McMillan
Keyword(s):  
Stock Market ◽  
Return Predictability ◽  
Market Return ◽  
Stock Market Return

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

Sign in / Sign up

Export Citation Format

Share Document