Journal of Indonesian Economy and Business
Vol 22, No 4 (2007): October

PERSISTENSI SKEWNESS RETURN POSITIF ANTAR PERIODA RETURN: SAHAM INDIVIDUAL DAN PORTOFOLIO (BURSA EFEK JAKARTA, 2001-2006)

Sumiyana, Sumiyana ( Universitas Gadjah Mada )



Article Info

Publish Date
17 Jun 2015

Abstract

This research investigates stock returns to be consistently positively skewed. Thefrequency of positive skewness is found to be relatively stable over varying time periods.Controversially, in regards to others empirical research, past positively-skewed returns donot predict future positively-skewed returns. This research used daily and weekly data inJSX (Jakarta Stock Exchange). Samples of the data are the firms ever listed in LQ 45indexes for the year of 2001-2006.The positively-skewed returns of individual stocks are relatively rare (small proportion).Furthermore, the positively-skewed returns are likely occured incidentally only.Sequentially, this research conducted to control using 100 portfolios that composed withfive stocks and 20 stocks in each portfolio. Having controlled, this research concludedequivalent results with individual stock before. This research also suggests that pastpositively-skewed returns do not predict future positively-skewed returns. Finally, theskewness of individual stocks and portfolios does not persist across different periods. Thisresearch inffered that investors in JSX face uncertainty.Keywords: skewness persistence, consistently, mean (first-moment), variance (secondmoment), skewness (third-moment), random portfolios, distribution of stock returns, multiperiod case.

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Journal Info

Abbrev

Publisher

Subject

Economics, Econometrics & Finance

Description

Journal of Indonesian Economy and Business (JIEB) is open access, peer-reviewed journal whose objectives is to publish original research papers related to the Indonesian economy and business issues. This journal is also dedicated to disseminating the published articles freely for international ...