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Analisis Faktor Risiko pada Saham Perbankan ASEAN – 4 Periode 2006 – 2015 Dengan Pendekatan Fama and French Three Factor Model dan Intertemporal Capital Asset Pricing Model Lita Tiami Adela; Zaafri Ananto Husodo
Jurnal Manajemen dan Usahawan Indonesia Vol 43, No 1 (2020): Jurnal Manajemen dan Usahawan Indonesia
Publisher : Fakultas Ekonomi dan Bisnis, Universitas Indonesia

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Abstract

Penelitian ini bertujuan untuk menganalisis pengaruh faktor pasar (market), ukuran (size), dan nilai (value) pada Fama and French Three Factor Model terhadap excess return portofolio menggunakan metode value weighted dan equally weighted terhadap saham perbankan di Negara ASEAN – 4. Faktor ini juga menguji faktor pasar (market) dan faktor term structured pada Intertemporal Capital Asset Pricing Model (ICAPM) pada saham perbankan ASEAN - 4. Hasil penelitian menunjukkan bahwa hanya faktor pasar (market) yang secara signifikan mempengaruhi excess return portofolio saham perbankan pada Fama and French Three Factor Model secara value weighted dan equally weighted. Faktor term structured pada Intertemporal Capital Asset Pricing Model menunjukkan hasil yang signifikan hanya jika diujikan pada excess return portofolio saham perbankan menggunakan metode equally weighted.
THE INTERDEPENDENCE BETWEEN THE FINANCIAL SECTOR AND BUSINESS SECTOR IN ASEAN 4 COUNTRIES Aulia Keiko Hubbansyah; Zaafri Ananto Husodo
Journal of Indonesian Economy and Business (JIEB) Vol 33, No 1 (2018): January
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (366.31 KB) | DOI: 10.22146/jieb.28659

Abstract

In this study, we analyze the dynamic interactions between the financial sectors and the business sectors in the ASEAN-4 countries (Indonesia, Malaysia, Thailand and Singapore). To do that, we apply the newly generalized version of the Vector Autoregressive Framework (VAR) spillover index approach proposed by Diebold and Yilmaz (2012) as our method of analysis. Based on quarterly data of each variable over the period from the first quarter of 1984 to the fourth quarter of 2015 for the ASEAN-4 countries, this study finds that: 1) Spillovers between the variables move in a diverse manner over the period of analysis for each country, 2) The variable that acts as the dominant crisis transmitter in each country is different for each country, 3) The interdependence between the variables became stronger, both within and across the countries, during the crisis period. In particular, the business sectors played a leading role during the onset of the crisis, while the financial sectors took their places as the dominant source of spillovers as the crisis deepened. 4) Credit growth in Thailand was found to be the dominant transmitter of shocks to the ASEAN-3 countries. Overall, these results suggest that the strength and movement of the spillovers between the financial and business sectors changed from time to time along with the changes that happened in the economies.  
Intraday Speed of Adjustment and Realized Variances in the Indonesia Stock Exchange Husodo, Zäafri Ananto; Henker, Thomas
Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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Abstract

We examine the intraday trading and price dynamics for frequently traded stocks at the Indonesian Stock Exchange. Using trade price, time series generated at one, two, three, five, ten, fifteen, thirty and sixty-minute intervals, we estimate the speed of adjustment and the corresponding realized variance of these series. The objective of the estimation is to infer the noise impact to the deviation of observed prices from their fundamental value. The result from the speed of adjustment estimate is consistent with the realized variance estimator. Both conclude that the 50 most frequently traded stocks in the Indonesia Stock Exchange adjust to new information within 30 minutes. At the interval, the coefficient of the speed of price adjustment is insignificantly different from zero implying negligible noise impact to the observed price. Concurrently, the realized variance starts to stabilize at 30-minute interval purporting fading impact of noise to the realized variance estimate. The evidence justifies the use of realized variance at various intervals as a reliable indicator of price discovery rate in the Indonesia Stock Exchange
Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004 – March 2009 Mangiring, Boniarga; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper explores investment styles and risk exposures of mutual funds in Indonesia using Sharpe's return-based style analysis, a quadratic optimization of an asset class factor model, proposed by William F. Sharpe in 1992. The research observes nine sectoral asset class indexes and ifteen survivor Indonesian equity funds within April 2004 - March 2009. The results suggest that the infrastructure sector has the biggest exposure on average. This study also measures the relative performance of the funds with respect to their style benchmarks. The results indicate that the nine funds have been able to beat their style benchmarks on average. From all funds, Fortis Ekuitas is the best fund based on its average monthly selection return.
Catching the Behavior of Stock Market: Numerical Approach to Estimate the Catalytic Chemical Model Parameters Husodo, Zäafri Ananto; Suardi, Lenny; Setiati, Ririen; Hudiyono, Risca Fleureta
Indonesian Capital Market Review Vol. 7, No. 1
Publisher : UI Scholars Hub

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Abstract

This research proposes a numerical approach in estimating the trend of behavior of this market. This approach is applied to a model that is inspired by catalytic chemical model, in terms of differential equations, on four composite indices, New York Stock Exchange, Hong Kong Hang Seng, Straits Times Index, and Jakarta Stock Exchange, as suggested by Caetano and Yoneyama (2011). The approach is used to minimize the difference of estimated indices based on the model with respect to the actual data set. The result shows that the estimation is able to capture the trend of behavior in stock market well.
On the Robustness of The Extended Fama-French Three Factor Model Awwaliyah, Intan Nur; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 9, No. 2
Publisher : UI Scholars Hub

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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 the ‘momentum’ factor (MOM) which represents winners minus losers in terms of returns. Time series regressions following Fama and French (1993) are employed which includes the three-factor model as well as the four-factor model. Results indicated that the four-factor model to some extent have significant capability in explaining the variations in average excess stock return which consistent with Carhart (1997). R2 from the four-factor model is just slightly higher than the three factor model yet it provides indicative for the robustness of the model. Meanwhile, the January seasonals are also able to be absorbed by the risk factors including the market, SMB, HML, and MOM. Since the four-factor model seems capable in explaining the variation of the stock returns then application of this model in emerging markets may provide guidance for investor in understanding the market condition.
Trading Friction and Spread Decomposition in Indonesian Stock Exchange Nurhayati, Immas; Ekaputra, Irwan Adi; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

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 using trading friction estimator conclude that the average trading friction of high market capitalization and the most relatively liquid stocks, scattered in various fractions price is equal to 1% per year, and the highest trading frictions derived from the information and it is consistent with spread decomposition estimator.
The Extended Fama-French Three Factor Model : Revisited Awwaliyah, Intan Nurul; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 10, No. 2
Publisher : UI Scholars Hub

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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 the four-factor model includes the market factor (beta), the size factor (SMB), the book-to-market factor (HML), and the ‘momentum' factor (MOM). Similar time series method as in Fama and French (1993) are employed to elaborate the three-factor model and the four-factor model regression. Our findings show that the four-factor model to some extent has significant capability in explaining the variations in average excess stock returns. Although the R2 extracted from the four-factor model is just slightly higher than the three-factor model, yet it provides suggestive for the robustness of the four-factor model. In addition, our robustness test shows that January seasonal effect is absorbed by the risk factors including the market factors, SMB, HML, and MOM factor. The consistency of the four-factor model in explaining the U.S stock market return variations for the newest data, provide relevance to apply this model in emerging markets data in order to give guidance for investor in understanding the market condition.
Systemically Important Banks in Indonesia: Findings From Multivariate GARCH Conditional Value at Risk Arief, Usman; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 11, No. 2
Publisher : UI Scholars Hub

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We investigate the systemically important banks in the Indonesian financial system usingMultivariate GARCH Conditional Value at Risk (CoVaR). The systemic risk measurement, ΔCoVaR,defined as the change from CoVaR in its benchmark state as a one-standard-deviation event to itsCoVaR under financial distress. We estimate the systemic risk contribution using 21 commercialbanks from January 2007 to December 2018. Our study reveals that the top five ranking systemicbanks are dominated by state-owned banks, and its ranking is consistently the same in the periodbefore, during, and after the global financial crisis. Finally, we empirically find that systemic riskin Indonesia is strongly affected by external factors rather than bank characteristics. Based on this finding, we suggest that the government should maintain the regulation of external effect rather than the domestic effect.
DETERMINATION OF SIFIs (SYSTEMATICALLY IMPORTANT FINANCIAL INSTITUTIONS) AMONG INDONESIAN BANKS USING NETWORK ANALYSIS APPROACH Anggayasti Hayu Anindita; Zaafri Ananto Husodo
Journal of Indonesian Applied Economics Vol. 7 No. 2 (2017)
Publisher : Department of Economics, Faculty of Economics and Business, Universitas Brawijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (744.318 KB) | DOI: 10.21776/ub.jiae.2017.007.02.3

Abstract

This study aims to measuring systemic risks using network analysis method to obtain the SIFI rating of Indonesian banks. We analyze the systemic risk implied in the Indonesian interbank network during the period from 2011 through 2015 based on various network measures such degree centrality and betweenness centrality. The main findings are as follows: First, interconnectedness in the interbank market increased. However, a significantly different condition was found in 2013, in which the interconnectedness in the interbank market went downwards compared to the previous year. Second, the degree centrality score showed that government-owned and national private banks tend to be in-degree while foreign private banks tend to be out-degree. Third, there was no bank that consistently continued to have a high betweeness centrality score during the study period.