Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Idiosyncratic tail risk and stock return in Indonesia
Dublin Core
Title
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Idiosyncratic tail risk and stock return in Indonesia
Idiosyncratic tail risk and stock return in Indonesia
Subject
Asset pricing, Generalized Extreme Value Distribution, Idiosyncratic tail risk
Description
Idiosyncratic tail risk explains the financial crisis which happened due to idiosyncratic risk. It could also be used as a factor for asset pricing, making it necessary to be further studied since it could help protect investors from extreme incidents that could bring loss. We investigate the effect of idiosyncratic tail risk to the stock return in Indonesia. The data of daily stock price of 662 public companies in Indonesia that was registered in Indonesia stock exchange (IDX) are used during the period of 2006-
2018. We include the firms that have at least 10 trading days in a month for providing enough observation to determine tail index to get idiosyncratic tail risk. First of all we using portfolio approach to find the effect of tail risks to the stock return is used. The results show that idiosyncratic tail risk has negative effects on the stock return in
portfolio level. However, idiosyncratic tail risk does not have effects on stock return in individual firm level.
2018. We include the firms that have at least 10 trading days in a month for providing enough observation to determine tail index to get idiosyncratic tail risk. First of all we using portfolio approach to find the effect of tail risks to the stock return is used. The results show that idiosyncratic tail risk has negative effects on the stock return in
portfolio level. However, idiosyncratic tail risk does not have effects on stock return in individual firm level.
Creator
Iyvon Herliawan, Sung Suk Kim , Kie Van Ivanky Saputra, Ferry Vincenttius Ferdinand
Source
http://jurnal.unmer.ac.id/index.php/jkdp
Publisher
Universitas Merdeka Malang
Date
April 2020
Contributor
Sri Wahyuni
Rights
ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)
Format
PDF
Language
English
Type
Text
Coverage
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Files
Collection
Citation
Iyvon Herliawan, Sung Suk Kim , Kie Van Ivanky Saputra, Ferry Vincenttius Ferdinand , “Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Idiosyncratic tail risk and stock return in Indonesia,” Repository Horizon University Indonesia, accessed February 5, 2025, https://repository.horizon.ac.id/items/show/4735.
Idiosyncratic tail risk and stock return in Indonesia,” Repository Horizon University Indonesia, accessed February 5, 2025, https://repository.horizon.ac.id/items/show/4735.