According to portfolio theory, diversifying investment to several stocks with negative correlations may reduce portfolio risk. In contrast, combining stocks with similar movement (co-movement) has no impact on portfolio risk reduction. This study aims to examine state-owned enterprise stock...

This study investigates the application of orthogonal generalized auto-regressive conditional heteroscedasticity (OGARCH) in predicting the co-movement of banking sector stocks in Indonesia. All state-owned banking sector stocks in Indonesia were studied using daily data from January 2013 to...

Seasonality phenomenon based on superstitions and beliefs is still an interesting topic to investigate. Other belief which may become interesting topic to investigate is Chinese Zodiac. Chinese Zodiac Effect is based on a myth that each year circumstance will be affected by every underlying year...