Abstract:This study investigates the predictability of sample skewness on Indonesian stock market returns as represented by the JCI, LQ45, and JCI. The sample period starts from January 2001 to December 2022, with a prediction period from July 2009 to December 2022 that accommodates the COVID-19 pandemic crisis. The results showed that sample skewness was able to predict market excess returns one month in advance. This ability emerged, especially when the COVID-19 pandemic crisis hit. This finding indicates that invest… Show more
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