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Short-run Dynamics Between Foreign Currency and Jakarta Composite Index During Indonesian Presidential Election Indonesian Capital Market Review Pub Date : 2021-09-10 Muhamad Fahri Ridwan,Wee-Yeap Lau
This study investigates the dynamics of information flow between foreign currencies and the Jakarta Composite Index (JKSE) in the pre-, during and post-2014 Indonesian Presidential elections. Based on a systematic analytical framework, the study provides a clearer picture to link the foreign currencies of trade partners to Jakarta Stock Exchange. Using the VAR model with daily data from 2 January 2013
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What Information Needed to Present in a Fundraising Campaign through Equity Crowdfunding Indonesian Capital Market Review Pub Date : 2021-09-10 Chika Fajarini,Zuliani Dalimunthe,Shalahuddin Haikal
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Monetary Policy and Corporate Risk-Taking: Evidence From an Emerging Market Indonesian Capital Market Review Pub Date : 2021-09-10 Quoc Trung Tran,Thi Thuy Trang Truong
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Determinants in Investment Behaviour During The COVID-19 Pandemic Indonesian Capital Market Review Pub Date : 2021-09-10 Angelin S. Kiruba,S. Vasantha
This study investigated the psychological behaviour of investors in the stock market during the period of COVID-19. The survey was conducted between April and June 2020, following the lockdown announcement of the Indian Government on 25th March. There were 400 respondents. This paper has attempted to identify the impact on psychological behaviour during the initial stage of COVID-19 in India. The collected
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The Influence of Banking Risk on Share Price and the Moderating Role of Inflation Rate Indonesian Capital Market Review Pub Date : 2021-09-10 Meliza Meliza
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Determinant Factors of Liquidity Risk Premium on Indonesian Government Bonds Indonesian Capital Market Review Pub Date : 2021-01-13 Eka Rathmanty Merry Hartini,Dewi Hanggraeni
This paper aims to find the determinant factors of the liquidity risk premium on the Indonesian government bonds. There are two liquidity risk premium proxies to be used, the difference of the yield to maturity and the theoretical-yield of the bonds, and the average bid-ask spread of the bonds. The research used the Random Effect panel-data to define the determinant factors of the liquidity risk premium
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Gold Price, Inflation, and Dollar Exchange Rate: The Case of Gold Investment in Indonesia Indonesian Capital Market Review Pub Date : 2021-01-13 Ilyas Chaidir Rahmansyah,Lina Nugraha Rani
This paper aims to investigate the relationship between gold price, inflation and the dollar exchange rate on gold stock price of PT Aneka Tambang Indonesia. The ARDL time series model is used in the study involving PT Aneka Tambang Indonesia from December 2016 to November 2019. The findings show the price of gold doesn’t have a significant effect on the gold stock price while dollar exchange rate
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Are Foreign Investors Afraid Of State Ownership? Indonesian Capital Market Review Pub Date : 2021-01-13 Quynh Nga Nguyen Thi,Quoc Trung Tran
State ownership may help firms have better access to credit and lower financing costs but it also results in “double agency” problem. This paper investigates whether foreign investors are afraid of investing in firms with state ownership. Our research sample includes 4,079 firm-years from 567 firms listed in Vietnamese stock markets during the period 2008-2017. We employ probit and tobit models to
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Optimal level, Partial Speed of Adjustment and Determinants of Corporate Cash Holding: Evidence from MENA Countries Indonesian Capital Market Review Pub Date : 2021-01-13 Abdessamad Raghibi,Cuong Nguyen Thanh,Lahsen Oubdi
This paper investigates the existence of an optimal cash level, speed of adjustment, and cash holding determinants. The threshold regression and dynamic model were used in this study on four MENA countries from 2007 to 2018. The findings show there is a nonlinear relationship between cash level and firm’s value which is consistent with the trade-off theory. Furthermore, our study confirms that firms
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Impact of Earnings Management Practices on Stock Return Indonesian Capital Market Review Pub Date : 2021-01-13 Sahar Kanwal,Niaz Ahmed Bhutto,Muhammad Shaique,Anjlee Matlani,Hafsa Zahid
This paper investigates the impact of earnings management (real and accrual) on stock returns of Pakistan stock exchange (PSX) listed companies. The study is done by testing a separate relationship of accrual and real earnings management and their collective relationship with the stock return. The study is conducted on 3900 firm-year observations from the non-financial PSX listed companies for the
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Examining Causality Effects On Stock Returns, Foreign Equity Inflow, and Investor Sentiment: Evidence From Indonesian Islamic Stocks Indonesian Capital Market Review Pub Date : 2020-07-23 Rizal Ansari,Rizqi Umar Al Hashfi,Bowo Setiyono
Our study aims to examine the relation of stock return, foreign equity inflow, and investor sentiment in Indonesian Islamic stocks. We use monthly data from 2012 to 2018 and 109 firms with 9,156 total observations. Considering heterogeneity and endogeneity assumption, our models are estimated by the system generalized method of moment. Our research found a positive bi-directional effect between stock
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Inter-relation between Indonesian Islamic Capital Market Index and the World Market Indices: Period of January 2009 – December 2017 Indonesian Capital Market Review Pub Date : 2020-07-23 Dwi Pramaya Bhakti,Hidajat Sofyan Widjaja
The purpose of this study is to investigate the relationship between the Jakarta Islamic Index and the Shariah World Indices within period of January 2009 to December 2017. This study is conducted using vector autoregressive (VAR) method and tawhidi string relationship (TSR) method. The key finding is the conventional Sharia Migration to Sharia in Indonesia through several channel and must be followed
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How Corporate Political Strategies Are Related to Cost of Debt? Indonesian Capital Market Review Pub Date : 2020-07-23 Farhan Ahmed,Aamir Amanat,Ahmed Imran Hunjra
There are many factors, which play a vital role in the financing decisions of firms, and one of the important factors is corporate political strategies. This study examines the impact of corporate political strategies on the cost of debt of non-financial firms listed in the Pakistan Stock Exchange (PSX). Corporate political strategies are measured through political connections. We use panel data of
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Impact of Founder on the IPO Flipping Activity during Pre and Post-Global Financial Crisis Indonesian Capital Market Review Pub Date : 2020-07-23 Wee-Yeap Lau,Hon-Wei Leow
This study examines the impact of the founder on the IPO flipping activity in the Malaysian stock market, especially the Main and ACE Market, across the Global Financial Crisis (GFC) period from January 2006 to December 2016. Multiple regression models have been used to evaluate the interaction of the founder and other independent variables. Using three sub-periods, namely pre- GFC, GFC, and Post-GFC
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Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index Indonesian Capital Market Review Pub Date : 2020-06-11 Sukmawati Sukamulja,Stevanius Stevanius
The profit from international diversification to eliminate risks has caused investors to spread their capital to different international stock exchanges. The dynamic relations among stock exchanges indicate the presence of one or two-way relations among the stock exchanges. This happens because of the interdependence and integration that takes place among stock exchanges, such as interdependence among
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Determinants and Prediction Accuracy of Price Multiples for South East Asia: Conventional and Machine Learning Analysis Indonesian Capital Market Review Pub Date : 2020-06-11 Himanshu Joshi,Rajneesh Chauha
The present study evaluates determinants of price multiples and their prediction accuracy using ordinary least square (OLS) regression and machine learning-based shrinkage methods for the South East Asian markets. Price multiples examined in the research are price to earnings (P/Es), price to book (P/B), and price to sales (P/S). Data has been collected from Thomson Reuters Eikon. The study recommends
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Volatility Forecasts Jakarta Composite Index (JCI) and Index Stock Volatility Sector with Estimated Time Series Indonesian Capital Market Review Pub Date : 2020-06-11 Muhammad Rifki Bahtiar
This study aims to explore the comparative ability of forecasting models and the time series volatility of capital markets in Indonesia using JCI daily index data and sectoral indices from January 2010 to December 2014. The use of ARCH-family ARCH model (1.1) and GARCH (1.1) used to capture symmetrical effects, while TGARCH (1.1), EGARCH (1.1), APGARCH (1.1) on asymmetric effects. The results show
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Capital Market and Financial Development on Growth: A Panel ARDL Analysis Indonesian Capital Market Review Pub Date : 2020-06-11 Michael Appiah,Derrick Yaw Idan Frowne,Derrick Tetteh
This study evaluates the influence of capital market development and financial development on growth in the three West African countries. Data used for the research is from the World Bank and Pen World Table (PWT). This research uses the Panel ARDL test to examine the long-term relationship, as well as the error correction model to analyze the existence of a short-term relationship. The results show
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The Effect of Family Ownership and Control on Dividend Policy of Publicly Listed Firms in Indonesia and Malaysia Indonesian Capital Market Review Pub Date : 2020-06-11 Viverita Viverita,Laras Ayu
The purpose of this study is to determine the influence of family ownership and family control on a firm’s dividend policy of publicly listed firms in Indonesia and Malaysia. This study applied the generalized least square panel data over 2003-2016 and considering the period of global financial crisis 2008-2010. The results show that a firm with a higher percentage of family ownership pays more dividend
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Stock Market Reaction to the Tax Amnesty Announcement Indonesian Capital Market Review Pub Date : 2020-05-17 Muhammad Satriyo Wibowo, Puji Sucia Sukmaningrum
The Indonesian Government has put in place policies that are quite bold and that highly impact on both companies and the economy. This includes the endorsement tax amnesty policy in 2016. This study aims to investigate the reaction of the stock market against the policy. The dataset of this research was 100 companies listed on the Indonesian Islamic Stock Index (ISSI). Research methods used the event
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Dynamic Linkages between US Dollar-Ringgit spot, forward and NDF during QE and Post-QE Exit Indonesian Capital Market Review Pub Date : 2020-05-17 Wee Yeap Lau, Tien Ming Yip, You How Go
This study investigates the information flow between U.S. Dollar-Ringgit spot, forward and Nondeliverable Forward (NDF) exchange rates during the pre and post-U. S. Quantitative Easing (QE) exit. Our results show: First, there is a robust unidirectional causality from NDF to spot and NDF to forward in the post-QE period; Second, Malaysian Government Securities (MGS) has a vital role during the QE period
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Capital Structure and Adjustment Speed: Evidence From Listed Manufacturing Firms in Indonesia and Malaysia Indonesian Capital Market Review Pub Date : 2020-05-17 Pervaiz Ahmed Memon, Mir Muhammad Shah Syed, Niaz Hussain Ghumro, Rohani Md Rus
This paper identifies factors determining capital structure and estimates the speed at which firms adjust to optimal debt in Malaysian and Indonesian manufacturing firms. It uses the difference Generalized Method of Moments (GMM) estimator and the partial adjustment model in a sample of 141 Malaysian and 96 Indonesian firms, which include many of the major manufacture companies in these economies.
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Corporate Financial Flexibility, Investment Activities, And Cash Holding: Evidence From Indonesia Indonesian Capital Market Review Pub Date : 2019-08-29 Rahmat Heru Setianto, Addenver Kusumaputra
This paper examines empirically the impact of financial flexibility on investment activities. Furthermore, we also investigate how financial flexibility determines the sensitivity of investment activities to cash flow. Using annual data of Indonesian manufacturing firms spanning five years, our analyses reveal that financial flexibility enhances investment ability and decreases sensitivity of investment
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The Effect of Competition Levels and Banking Concentration on Systemic Risks: Indonesia’s Case Indonesian Capital Market Review Pub Date : 2019-08-29 Buddi Wibowo, I. G. B. Erri Wibowo
Normal 0 false false false EN-US X-NONE X-NONE This article analyzes the relationship between Indonesian banking competition, concentration, and systemic risk, using the characteristics of individual banks and state variables as control variables. This article uses the Panzar–Rosse Model and Concentration Ratio to measure banking competition and concentration, while measuring systemic risk by applying
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On the Robustness of The Extended Fama-French Three Factor Model Indonesian Capital Market Review Pub Date : 2019-08-29 Zaafri Ananto Husodo, Intan Nur Awwaliyah
The aim of this paper is to examine the validity of the four-factor asset pricing as a comparison the standard Fama-French three factor model using U.S. monthly stock return data from period January 1963 to December 2010. Monthly stock return are constructed into 25 portfolio while the four-factor model includes the market factor ( beta ), the size factor (SMB), the book-to-market factor (HML), and
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Concurrent Momentum and Contrarian Strategies: Evidence from Indonesia Indonesian Capital Market Review Pub Date : 2019-08-29 Abdur Rafik, Syifa Primaratri Marizka
This study aims to test the relative performance of contrarian and momentum strategies for middle-term and long-term horizons in the Indonesian capital market. The test is performed for constituents of the Kompas 100 index for the period 2009–2014. The results reveal that the superior performance of the momentum strategy in the intermediate term is sensitive to formation horizons. In the long term
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Towards A Sustainable Islamic Banking System: Re-embedding Murabaha Mode of Financing Indonesian Capital Market Review Pub Date : 2019-08-29 Wahyu Jatmiko
This study is an attempt at solving the chronic problems of banking murabaha, notably the ribawi benchmark rate problem. To this end, the first stage of this study examines whether the recent solution for banking murabaha, namely Islamic Interbank Benchmark Rate (IIBR), is a sustainable solution to solve the problem. The Johansen cointegration test between IIBR and LIBOR, as an international benchmark
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Bowman’s Paradox: Prospect-Theory-Based Risk-Return Relationship (Some Recent Evidence in Indonesia) Indonesian Capital Market Review Pub Date : 2019-08-28 Asri Marwan, Rikko Sajjad Nuir
There is extensive evidence indicating a negative risk–return relation when a firm’s performance is measured based on accounting measures, such as its Return on Assets (ROA) and Return on Equity (ROE). Previous studies show that the risk-return paradox can be explained by the prospect theory, which predicts that managers’ risk attitudes are different for firms with differing performance. This study will
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High-Frequency Trading Activities and Brokerage Firms Effect : Empirical Evidence From the Indonesia Stock Exchange Indonesian Capital Market Review Pub Date : 2019-08-28 Mamduh Mahmadah Hanafi, Redik Brasiano, Usman Arief
This research studies the trading activity of type of traders through their brokers. Order imbalance is believed to be a better proxy for explaining trading activity. This paper presents some empirical test that on brokerage level analysis exhibit information paradigm in Indonesia which market makers and specialist are not available. We divide imbalances into groups of samples (all stocks and most
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Domestic and Foreign Investor Dynamics in Indonesian Stock Exchange : Evidence from 10 Years High-Frequency Data Indonesian Capital Market Review Pub Date : 2019-08-28 Abdurrahman Arroisi, Deddy Priatmodjo Koesrindartoto
This study analyses price impact, herding behaviour, and feedback trading of domestic and foreign investors in Indonesia Stock Exchange (IDX) by employing vector autoregressive models using high-frequency transaction data in the period of 2008 – 2017. We find that domestic investors impact return negatively whereas foreign investors have no impact to return. In terms of herding behavior, domestic and
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The Profitability of Momentum Strategies : A Study of Indonesian Stock Exchange Indonesian Capital Market Review Pub Date : 2019-08-28 Rakhmat Luthfiansyah Mosii, Sigit Sulistiyo Wibowo
We investigate the profitability of style and price momentum strategy in the Indonesian stock market from the year 2000 to 2015. We find the style momentum strategy yields significant positive returns while the price momentum strategy tends to produce negative returns. This result confirms the findings of Lewellen (2002) that style momentum returns are generally stronger than the conventional momentum
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Trading Frequency in KSE – 100 Index Using Pastor and Stambaugh Model Indonesian Capital Market Review Pub Date : 2019-08-28 Mudassir Ali, Farhan Ahmed, Muhammad Raza, Muhammad Sibghat Ullah
The study aims to asses Pastor & Stambaugh model on Pakistan Stock Exchange (KSE-100 Index) from 2007 to 2017. Four commonly asset pricing factors are tested including market risk, size, value and liquidity premium. Except for the value premium, all factors are statistically found significant. Pertinent to mention that liquidity factor is initially found insignificant since annual returns are calculated
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Financial development and total factors productivity channel: Evidence from Africa Indonesian Capital Market Review Pub Date : 2019-04-04 Elhadj EZZAHID, Zakaria ELOUAOURTI
We explore the links between financial development and economic growth through Total Factors Productivity canal in African economies. First, we use a composite index to gauge the levels of financial development in 40 African economies during the period 2004-2014. Second, we study the Finance-Total Factors Productivity (TFP) relationship in a panel of 22 economies classified by their income level. The
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Investigating the Impact of Oil Price and Exchange Rate Uncertainty on Stock Return using Whitening Linear Transformation and Vector Autoregressive Model Indonesian Capital Market Review Pub Date : 2019-04-04 Alireza Heidarzadeh Hanzaee, Mohammad Farahani
This study aims at investigating the impact of oil price and exchange rate uncertainty on stock returns in Tehran Securities Exchange (TSE). To this end, "oil price uncertainty" and "exchange rate uncertainty" are considered as independent variables and "return on stocks" as the dependent variable. Daily data on the price of heavy oil, official exchange rate and Tehran Exchange Price Index (TEPIX)
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The Extended Fama-French Three Factor Model : Revisited Indonesian Capital Market Review Pub Date : 2019-04-04 Zaafri Ananto Husodo, Intan Nurul Awwaliyah
This paper is aimed to validate the four-factor asset pricing model as an improvement towards the standard Fama-French three-factor model. Using U.S. monthly stock returns data from period January 1963 to December 2010 , we construct 25 portfolios and t he four-factor model includes the market factor (beta), the size factor (SMB), the book-to-market factor (HML), and the ‘momentum' factor (MOM). Similar
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Effects of Corporate Governance and Capital Structure on Firms’ Performance: Evidence from Major Sectors of Pakistan Indonesian Capital Market Review Pub Date : 2019-04-04 Farhan Ahmed, Suman Talreja, Muhammad Kashif
This study aims to examine the effects of corporate governance and capital structure on firm’s performance. Panel pooled regression method were applied on annual data of two major sectors: automobile & fertilizers from 2006 to 2016. Findings show that board size have positive relationship & audit committee has negative relationship with profitability of automobile sector and vice versa for fertilizers
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Long Memory in the Indonesia Stock Exchange Indonesian Capital Market Review Pub Date : 2019-04-04 Martin P.H. Panggabean
The aim of this study is to investigate the existence of long-memory process in the Indonesia stock market. This study provides two major contributions and one anomaly. First, this is the first study on long-memory conducted on the Indonesia Stock Exchange at individual stocks. Second, this study uses the method of Detrended Fluctuation Analysis (DFA), supplemented by empirical confidence interval
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Cost of Financial Distress and Firm Performance Indonesian Capital Market Review Pub Date : 2019-04-04 Estu Widarwati, Dewi Sartika
The business performance become an important thing to be main goal of firm activities to get the competitive advantage, but it is contrary with the recession may bring a probability of firm’s decreasing and liquidation. The uncertainty of global economy provides the importance in developing model to monitor, identify and asses potential risks which can threat business sustainability. Cost of Financial
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The High-Low Intraday Performance of Initial Public Offerings during Global Financial Crisis : Evidence from Malaysian Stock Market Indonesian Capital Market Review Pub Date : 2018-03-21 Wee-Yeap Lau,Hon-Wei Leow
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Trading Friction and Spread Decomposition in Indonesian Stock Exchange Indonesian Capital Market Review Pub Date : 2018-03-21 Immas Nurhayati, Irwan Adi Ekaputra, Zaäfri Ananto Husodo
We examine the intraday trading and price change for frequently traded stocks in Indonesian Stock Exchange. Using bid and ask price, trade price, number of trade, trade volume, we estimate trading friction and spread decomposition. The objective of the estimation is to infer what is the biggest component of trading friction. The result of 50 most frequently traded stocks in the Indonesian Stock Exchange
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DCC-GARCH Application in Formulating Dynamic Portfolio between Stocks in the Indonesia Stock Exchange with Gold Indonesian Capital Market Review Pub Date : 2018-03-21 Robiyanto Robiyanto
T his study tries to form a portfolio by using a method which may accommodate the dynamic of assets correlation and the abnormality of stock return distribution namely DCC-GARCH. Th e objective of th is study is to combine individual stocks with gold, so retail investor can also apply this method. This study us ing data from January 200 9 –December 201 7 period. Samples in this study were nine stocks
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Do Firms Approach the Target Working Capital Requirement? A Case of Pakistan Indonesian Capital Market Review Pub Date : 2018-03-21 Ruqia Shaikh, Pervaiz Memon, Muhammad Shaique, Ehsan Ul Hassan
The study investigates the dynamism of working capital requirement (WCR) in non-financial firms listed on Pakistan Stock Exchange from the period of 2007 to 2013. The purpose of this research is to analyze whether firms follow the target WCR, to estimate the speed with which firms adjust towards its target WCR and to investigate the firm specific and macroeconomic determinants of WCR. Difference GMM
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Sensitivity of Liquidity, Investment Decision, and Financial Constraints Indonesian Capital Market Review Pub Date : 2018-03-21 Riskin Hidayat, Sugeng Wahyudi, Harjum Muharam
This research aims to test the sensitivity level of liquidity and investment opportunity to investment decision between non-financially and financially constrained firms. The sampleon this research is the firms of Jakarta Islamic Index listed on Indonesia Stock Exchange from period 2011 to 2015. There are 13 sample firms obtained with 65 observations. This research uses moderating regresssion analysis
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The Dual-Beta Model: Evidence from the Malaysian Stock Market Indonesian Capital Market Review Pub Date : 2017-01-31 Wee-Yeap Lau, Kim-Sin Teh
The study analyzes the beta-return characteristic, considering the asymmetric beta behavior in the up market versus the down market for the Bursa Malaysia (BM). This study uses a sample period from 2001-2015 with two dual-beta models, the capital asset pricing model (CAPM), and the Fama-French, three-factor (FF3F) model, to examine 60 stocks listed on the bourse. The estimated return and beta indicate
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The Objectives, Strategies and Characteristics of Individual Investors in the Tehran Stock Exchange Indonesian Capital Market Review Pub Date : 2017-01-31 Fereydon Rahnamay Roodposhti, Shahmansuri- Esfandyar, Nikoumaram- Hashem, Vakilifard-Hamid Reza
The present study aims to investigate and classify individual investors' objectives and strategies in the Tehran Stock Exchange. This study used two sets of data, investors' questionnaire and real data in TSE to comparing individual investors' strategies versus market strategies and used T-test, ANOVA and (LSD) to test hypotheses. Investment objectives are classified into five groups: building a financial
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The relationship between Malaysia’s residential property price index and residential properties loan supply Indonesian Capital Market Review Pub Date : 2017-01-31 Chee-Hong Law, Ghee-Thean Lim
This paper examines the linkages between residential property prices and residential property loans in Malaysia from 1999 to 2015. Even though residential properties are a basic necessity, there are few studies that estimate the long-run and short-run relationships between loans and price levels in residential properties in Malaysia. The estimations are divided into two parts: the detection of long-run
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CEO Turnover and Firm Performance In Indonesia Indonesian Capital Market Review Pub Date : 2017-01-31 Doddy Setiawan, Lian Kee Phua, Hong Kok Chee, Irwan Trinugroho
We investigated the effect of changes in CEO position on subsequent firm performance by studying 91 CEO turnovers in Indonesia. Our results show that firm performance decreases during the turnover year. Moreover, the incoming CEO does not increase firm performance in subsequent years. Indeed, there is evidence that firm performance decreases after such turnovers. We ultimately conclude that CEO turnovers
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Stock Returns and Inflation: Evidence from Emerging Markets in Asia Indonesian Capital Market Review Pub Date : 2017-01-31 Dony Abdul Chalid, Melati Laksmindra Isnandari
This study examines the capability of stock from various industries to act as an inflation-hedge instrument, specifically in eight emerging-market Asian countries. By using monthly data for the period from 2001 to 2014, this study focuses on the relation between stock returns and inflation. The results of this study indicate that stocks from some non-cyclical industries have the capability to act as
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Are The ASEAN-5 Foreign Exchange Market Efficient? Evidence From Indonesia, Thailand, Malaysia, Singapore, and Philippines: Post-Global Economic Crisis 2008 Indonesian Capital Market Review Pub Date : 2016-07-30 Aditya Andika Putra,Hanny Lindawati,Sarah Fitri Sari
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Jakarta Interbank Spot Dollar Rate (JISDOR) as The Reference Rate: Is It Effective? Indonesian Capital Market Review Pub Date : 2016-07-30 Rofikoh Rokhim, Marwadi Marwadi
This study analyze the influence of non-deliverable forward (NDF) and the spot rate of USD/IDR against Bank Indonesia reference rate, Jakarta Interbank Spot Dollar Rate (JISDOR). NDF which came earlier than JISDOR is used by the market participant as the reference rate. The simple method of NDF determination had a great impact on the volatility of the rupiah currency, pushing the Bank Indonesia to
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Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE) Indonesian Capital Market Review Pub Date : 2016-07-30 Kiarash Mehrani, Fereydoon Rahnamay Roodposhti, Hashem Nekomaram, Ali Saeedi
In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation
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Is ASEAN Ready for Banking Integration? Evidence from Interest Rate Convergence Indonesian Capital Market Review Pub Date : 2016-07-30 Fazelina Sahul Hamid
Convergence in prices or returns of assets with similar characteristics indicates that the financial market is integrated with regional markets. This paper is the first that test of the movements of interest rates in ASEAN banking sector for the period 1990 - 2012. The empirical analysis is based on a yearly panel of commercial bank interest rate data from 5 ASEAN countries, namely, Indonesia, Malaysia
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Deposit Insurance and Bank Liquidity: Does Ownership Structure Matter? Indonesian Capital Market Review Pub Date : 2016-07-30 Irwan Trinugroho, Muthmainah Muthmainah, Mochammad Doddy Ariefianto, Sutaryo Sutaryo, Agung Nur Probohudono
We examine how the level deposit insurance coverage affects bank liquidity. We also test the role of ownership in the relationship between deposit insurance coverage and bank liquidity. This study uses quarterly data of Indonesian banks from Q1:2002 - Q2:2008. We argue that the presence of explicit deposit insurance changes a bank‘s behavior in liquidity management in the form of decreasing asset liquidity
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The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation Indonesian Capital Market Review Pub Date : 2016-02-20 Muhammad Hira Riga, Vika Indriana, Fariz Rahmanto
Normal 0 false false false IN JA X-NONE Normal 0 false false false IN JA X-NONE
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The Performance of Shariah Real Estate Investment Trust and Conventional Real Estate Investment Trust in Malaysia Indonesian Capital Market Review Pub Date : 2016-02-20 Nor Edi Azhar Binti Mohamad
This study examines the performances of two Real Estate Investment Trust (REITs) structure in Malaysian capital market by comparing the Dividend Yield (DY), Distribution per Unit (DU), Net asset Value (NAV), and Earning per Unit (EU) of shariah REITSs (iREITs) and conventional REITSs (cREITs) from Malaysia perspective. The secondary data are retrieved from Bloomberg's Database for 13 listed REITs in
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The Empirical Relationship between Stock Return and Trading Volume based on Stock Market Cycles Indonesian Capital Market Review Pub Date : 2016-02-20 Amanda Melissa Christiana, Eva Setiana, Mamduch Mamduch
In this paper, we use Markov switching autoregressive model and bivariate VAR model to analyze the empirical relationship between stock return and trading volume based on stock market cycles. Using daily data for the IHSG closing price and trading volume from 2010 to 2014, we identify the bull and bear phases in Indonesia stock market, then we analyze the return – volume relationship in both contemporaneous
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Women in Top Management and Bank Performance: Evidence from Indonesia Indonesian Capital Market Review Pub Date : 2016-02-20 Irwan Trinugroho, Hunik Sri Runing Sawitri, Wisnu Untoro
We investigate the impact of the presence of women in top management on bank performance controlling for bank specific factors, ownership and governance. By making use of sample of 70 Indonesian banks in a cross section study, we find strong evidence that the presence of women in the executives is negatively associated with firm performance. Moreover, we examine the moderating effect of TMT organizational