Is There Bull and Bear Markets in the Indonesia Stock Exchange?
Keywords:Stock, regime-switching, maximum likelihood, retail investors.
AbstractEmerging participants in the Indonesia Stock Exchange (ISE) are the group of local retail players, characterized by small, frequent, and short-term trading activities that rely on market phases. Hence it is important for brokerage houses as well as the local retail players to enter the market at the appropriate moments. The goal of this paper, therefore, is to use regime-switching model using the weekly ISE index data to identify periods where the market is in a volatile period. Results from the calculation shows that the market is divided into two regimes: stable and volatile. Average length of period for each regime is 16 weeks and 10 weeks.
Authors who publish with this journal agree to the following terms:
- Authors retain the copyright and publishing right, and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) followingthe publication of the article, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).<a href="http://creativecommons.org/lice