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An empirical survey of Indonesian equities 1985–1992

Roll, Richard (1995) An empirical survey of Indonesian equities 1985–1992. Pacific-Basin Finance Journal, 3 (2-3). pp. 159-192. ISSN 0927-538X. doi:10.1016/0927-538x(95)00009-a.

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Using a new data base of equities listed on the Jakarta Exchange, historical returns were documented for the 1985–1992 period. Jakarta stocks had high volatility relative to other countries, and startling short-term price movements, such as several hundred percent during December 1988. A new model of microstructure suitable for markets with infrequent trading was developed and applied to Jakarta. It disclosed substantial non-random price fluctuations. Indonesian equity returns were weakly but significantly related to returns in other countries. Jakarta's value stocks (those with low market/book value ratios) performed much better than growth stocks.

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Additional Information:© 1995 Published by Elsevier. Many thanks to the PACAP Research Center of the University of Rhode Island, Professor S. Ghon Rhee, and William K. Yap for providing the data used in this study, to Choonkee Lim for assistance, and to Warren Bailey and Walter Torous for their constructive comments and suggestions. The paper was originally presented as a Keynote Address at the Sixth Annual PACAP Finance Conference in Jakarta, July 7, 1994.
Subject Keywords:International markets; Market structure; Stock returns
Issue or Number:2-3
Classification Code:JEL classification: G14; G15
Record Number:CaltechAUTHORS:20190426-145911188
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Official Citation:Richard Roll, An empirical survey of Indonesian equities 1985–1992, Pacific-Basin Finance Journal, Volume 3, Issues 2–3, 1995, Pages 159-192, ISSN 0927-538X, (
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:95048
Deposited By: George Porter
Deposited On:29 Apr 2019 20:36
Last Modified:16 Nov 2021 17:09

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