An empirical survey of Indonesian equities 1985–1992

Abstract

Using a new data base of equities listed on the Jakarta Exchange, historical returns were documented for the 1985–1992 period. Jakarta stocks had high volatility relative to other countries, and startling short-term price movements, such as several hundred percent during December 1988. A new model of microstructure suitable for markets with infrequent trading was developed and applied to Jakarta. It disclosed substantial non-random price fluctuations. Indonesian equity returns were weakly but significantly related to returns in other countries. Jakarta's value stocks (those with low market/book value ratios) performed much better than growth stocks.