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...

We examine how information disclosures from private firms affect analysts’ public firm earnings forecasts. On one hand, private firm disclosures allow analysts to better understand industry-wide business conditions, enabling them to forecast the peer public firm earnings more accurately. On...