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)
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| This paper empirically examines the efficient market hypothesis (EMH) in the Islamic stock marketnamely Jakarta Islamic Index by emphasizing on the random walk behavior and nonlinearity. Inthe first step, we employ Brock et al. (1996) test to examine the presence of nonlinear behavior inJakarta Islamic Index. The evidence of nonlinear behavior in the indices, motivate us to use nonlinearESTAR 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 theoryof efficient market hypothesis. In addition, Lumsdaine and Papel (LP) test identified significant structuralbreaks in the index series. |
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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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