Indonesian Financial Review
Vol. 2 No. 1 (2022)

Higher Order Moment of IDXNONCYC on Stock Return PT Nippon Indosari Corpindo Tbk Predictability

Iman Lubis (Pamulang University)
Syamruddin Syamruddin (Pamulang University)
Andi Sopandi (Pamulang University)

Article Info

Publish Date
04 Sep 2022

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 .

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Journal Info
Indonesian Financial Review
Website

Abbrev

IFR

Publisher

YAYASAN PENDIDIKAN PENELITIAN DAN PENGABDIAN AL AMSI

Subject

Economics, Econometrics & Finance

Description

The intent of the Editors of The Indonesia Financial Review is to discuss, explore, and disseminate the latest issues and developments in Empirical Financial Economics (JEL classification: G), particularly those related to financial frictions in the Emerging Markets. The others are accepted such as ...