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Volume :13 Issue : 3 2006      Add To Cart                                                                    Download

Mean Reversion in the Indonesian Stock Market and the Asian Crisis

Auther : Samer A. Al-Rjoub

This paper examines the long-run mean reverting behavior in the Indonesian stock market. Indonesia is one of the major countries in East Asia that witnessed an economic collapse and severe depreciation 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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