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Rahmat Heru Setianto
Examining the islamic stock market efficiency: evidence from nonlinear estar unit root tests / Rahmat Heru Setianto, Turkhan Ali Abdul Manap
" This paper empirically examines the efficient market hypothesis (EMH) in the Islamic stock market namely Jakarta Islamic Index by emphasizing on the random walk behavior and nonlinearity. In the first step, we employ Brock et al. (1996) test to examine the presence of nonlinear behavior in Jakarta Islamic Index. The evidence of nonlinear behavior in the indices, motivate us to use nonlinear ESTAR unit root test procedure recently developed by Kapetanios et al. (2003) and Kruse (2011). The nonlinear unit ... "
Universitas Airlangga, 2015
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Artikel Jurnal  Universitas Indonesia Library