Purpose: This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach: Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual...

Purpose: The purpose of this study is to examine the fiscal sustainability issue by dividing the fiscal deficit into high and low regimes using the quarterly data from 1997: Q1 to 2013: Q3. Further, we obtain the optimum level of public debt at which fiscal sustainability can be achieved....

Purpose: Filter trading is a technical trading rule that has been used extensively to test the efficient market hypothesis in the context of long-term trading. In this paper, the authors adopt the rule to analyze intraday trading, in which an open position is not left overnight. This paper aims...

Purpose: The main aim of this paper is to examine the mechanism of determining the exchange rate of the US dollar against the Indonesian rupiah (USD/IDR) by market players to manage the USD/IDR exchange rate stability. Thus, this study is expected to provide a better understanding of the...

Purpose: The purpose of this paper is to construct indices on Indonesia’s economic infrastructure. The components of infrastructure include transportation, communications and electricity. In constructing the indices, the authors use the longest available data covering the period 1970-2015....

Purpose: Extant literature suggests that the difficulty associated with the interpretation of macroeconomic news announcements by the market in general in different economic environments, might be the reason why most studies do not find any significant relationship between real-sector...

Purpose: The purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Design/methodology/approach: Using principal...

Purpose: The purpose of this paper is to expand the peer effect analysis to investments in the stock market, where neither direct competition nor interaction with other investors exists. Design/methodology/approach: A total of 772 subjects dwelling in six countries completed a questionnaire...

Purpose: This paper aims to model the asset portfolio rebalancing decisions of Australian households experiencing a severe life event shock. Design/methodology/approach: The paper uses household longitudinal data from the Household, Income, and Labour Dynamics in Australia (HILDA) survey since...

Purpose: This paper aims to examine market inefficiencies in the National Football League (NFL) betting market from the 2003 season to the 2016 season. Design/methodology/approach: The author examines the impact that division rivals and previously known determinants of inefficiencies have on...