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All Journal International Journal of Business, Economics, and Social Development Indonesian Financial Review
Syamruddin Syamruddin
Pamulang University
Humanities Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Social Sciences

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Journal : Indonesian Financial Review

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Higher Order Moment of IDXNONCYC on Stock Return PT Nippon Indosari Corpindo Tbk Predictability Iman Lubis; Syamruddin Syamruddin; Andi Sopandi
Indonesian Financial Review Vol. 2 No. 1 (2022)
Publisher : YPPP AL-AMSI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55538/ifr.v2i1.11

Abstract

This study predicts the stock return's of PT Nippon Indosari Tbk with higher order moment of IDXNONCYC. The research method used is time series. Data used are ratios. The tool used is GARCH (1,1). The results are the IDXNONCYC coskewness and cokurtosis lag 1 are significant predicting the stock return’s PT Nippon Indosari Corporindo Tbk. However, IDXNONCYC risk premium lag 1 short fall to predict .
Co-Authors Andi Sopandi Iman Lubis Iman Lubis Irwansyah Irwansyah