Mean Reversion in the Indonesian Stock Market and the Asian Crisis

Authors

  • Samer A. Al-Rjoub Hashemite University

DOI:

https://doi.org/10.34120/ajas.v13i3.637

Keywords:

Mean Reversion , Asian Crisis

Abstract

This paper examines the long-run mean reversing behavior in the Indonesian stock market. Indonesia is one of the major countries in East Asia that witnessed an economic collapse and severe deprecation of their currency (rupiah) losing 80 percent of its value during 1997-1998. Indonesia has been in crisis longer than any other Asian stock market and the Indonesian stock market is yet to recover from its pre-crisis peak levels which happened in 1990. The bootstrap results show strong mean reverting behavior in Indonesia's index returns. The results remain robust after accounting for the financial crisis of East Asia which took place from 1997 to 1998.

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Author Biography

Samer A. Al-Rjoub, Hashemite University

Ph.D., in Financial Economics, University of New Orleans, New Orleans, LA, 2002. Associate Professor of Finance, Department of Banking and Finance, 2002, Hashemite University, Zarqa, Jordan. His Research Interests Include Risk Management and Derivatives, Macroeconometric Modeling, System Dynamics in Economic and Financial Models, Asset Pricing Models, Simulation-Based Econometric Methods.

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Published

2006

How to Cite

Al-Rjoub, S. A. (2006). Mean Reversion in the Indonesian Stock Market and the Asian Crisis. Arab Journal of Administrative Sciences, 13(3), 401–416. https://doi.org/10.34120/ajas.v13i3.637

Issue

Vol. 13 No. 3 (2006)

Section

Finance