Risk Factors in the Indonesian Stock Market

This website serves as a repository for comprehensive data pertaining to the Indonesian stock market, with a specific focus on characteristic-based long-short portfolios and associated risk factor analyses.

Our investigation into the distinctive characteristics of the Indonesian stock market is articulated in the paper titled Risk Factors in the Indonesian Stock Market, which can be accessed here. Furthermore, we present a four-factor model designed to effectively capture the systematic risks prevalent within the Indonesian stock market, details of which are available here.

For the co-auther team: The three authors are all from School of Accounting and Finance, Hong Kong Polytechnic University. Chishen Wei is an Associate Professor at Hong Kong Polytechnic University. Linti Zhang is a Research Assistant Professor. Nanqi Li is a 5th year PhD student in Finance.

If you are interested in any aspect of our paper, please feel free to contact us. You can reach with the email addresses below:
Linti Zhang: linti1002.zhang@polyu.edu.hk
Nanqi Li: nanqi.li@connect.polyu.hk
Chishen Wei: chishen.wei@polyu.edu.hk