Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

Examining the islamic stock market efficiency: evidence from nonlinear estar unit root tests / Rahmat Heru Setianto, Turkhan Ali Abdul Manap

Rahmat Heru Setianto; Turkhan Ali Abdul Manap (Universitas Airlangga, 2015)

 Abstrak

This paper empirically examines the efficient market hypothesis (EMH) in the Islamic stock market
namely Jakarta Islamic Index by emphasizing on the random walk behavior and nonlinearity. In
the first step, we employ Brock et al. (1996) test to examine the presence of nonlinear behavior in
Jakarta Islamic Index. The evidence of nonlinear behavior in the indices, motivate us to use nonlinear
ESTAR unit root test procedure recently developed by Kapetanios et al. (2003) and Kruse (2011).
The nonlinear unit root test procedure fail to rejects the null hypothesis of unit root for the indices,
suggesting that Jakarta Islamic Index characterized by random walk process supporting the theory
of efficient market hypothesis. In addition, Lumsdaine and Papel (LP) test identified significant structural
breaks in the index series.

 Metadata

Jenis Koleksi : Artikel Jurnal
No. Panggil : PDF
Entri utama-Nama orang :
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Penerbitan : [Place of publication not identified]: Universitas Airlangga, 2015
Sumber Pengatalogan : LibUI eng rda
ISSN : 23563818
Majalah/Jurnal : Indonesian Capital Market Review
Volume : Vol 7 No 1 January 2015
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Akses Elektronik : http://journal.ui.ac.id/index.php/icmr/article/view/4355
Institusi Pemilik : Universitas Indonesia
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