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All Journal Journal of Indonesian Applied Economics Journal of Indonesian Economy and Business JOIV : International Journal on Informatics Visualization Jurnal Akuntansi : Kajian Ilmiah Akuntansi (JAK) Indonesian Journal of Artificial Intelligence and Data Mining Politik Indonesia: Indonesian Political Science Review Jurnal Samudra Ekonomi dan Bisnis Journal of Islamic Monetary Economics and Finance Jurnal Manajemen Jurnal Manajemen dan Usahawan Indonesia Jurnal Akuntansi dan Keuangan Jurnal Akuntansi dan Keuangan Indonesia Indonesian Capital Market Review The South East Asian Journal of Management Eduvest - Journal of Universal Studies Indonesian Journal of Advanced Research (IJAR) Prosiding Seminar Nasional dan Call Paper STIE Widya Wiwaha Jurnal Manajemen dan Usahawan Indonesia International Research Journal of Business Studies
Husodo, Zaafri Ananto
Department Of Management, Faculty Of Economics And Business, Universitas Indonesia
Aerospace Engineering Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Neuroscience Social Sciences

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The Effectiveness of Stock Hedging with Cryptocurrency in the Indonesian Capital Market Pre-Pandemic, Pandemic and Post-Pandemic Periods Jauhari, Tantowi; Husodo, Zaäfri Ananto
Eduvest - Journal of Universal Studies Vol. 5 No. 9 (2025): Eduvest - Journal of Universal Studies
Publisher : Green Publisher Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59188/eduvest.v5i9.51358

Abstract

This study analyzes the effectiveness of Bitcoin and Ethereum as hedging instruments for LQ45 stock portfolios in Indonesia over three market periods: pre-pandemic (2018–2020), pandemic (2020–2022), and post-pandemic (2023–2024). The research applies GARCH(1,1) to estimate stock volatility and the DCC-GARCH model to measure dynamic correlations with cryptocurrencies. Hedge effectiveness is assessed using the Hedge Effectiveness Index (HEI). The findings show that both Bitcoin and Ethereum failed to reduce portfolio risk in Indonesia, with HEI values mostly negative throughout all periods. The implication is that these cryptocurrencies tend to increase volatility rather than serve as effective hedging tools. The study recommends traditional assets or stablecoins as more reliable alternatives for Indonesian investors.
Assessing Data Imbalance in Financial Distress Prediction: A Comparative Approach of Machine Learning and Economic Models Rahayu, Dyah Sulistyowati; Suhartanto, Heru; Husodo, Zaäfri Ananto
JOIV : International Journal on Informatics Visualization Vol 9, No 5 (2025)
Publisher : Society of Visual Informatics

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62527/joiv.9.5.3397

Abstract

This study aims to compare the effectiveness of machine learning models and economic models in predicting corporate bankruptcy, with a focus on addressing the issue of data imbalance. In this context, the number of companies experiencing financial difficulties is significantly smaller than that of healthy companies, which can lead to bias in predictions. The method used is an experiment with various data handling techniques and involves several classification models, namely Decision Tree, Neural Network (NN), K-Nearest Neighbors (KNN), Case-Based Reasoning (CBR), Support Vector Machine (SVM), and Merton Structural Model, which are tested on several data scenarios with resampling techniques, including Random Oversampling (ROS), Random Undersampling (RUS), and a combination of both. The evaluation results show that the Decision Tree, excluding ROA variables, and the Neural Network provide the best performance, with the Decision Tree achieving 86% accuracy and an AUC of 77.75, and the Neural Network achieving 86.76% accuracy and an AUC of 90.5. Other models, such as KNN and SVM, exhibit lower performance, achieving around 80% accuracy and a lower AUC. Based on these results, Decision Tree without ROA and Neural Networks are the best choices for predicting corporate bankruptcy. This study also demonstrates that financial models, such as the Merton Structural Model, are not significantly affected by data imbalance. The ultimate goal of this study is to provide recommendations for more reliable prediction models that enable financial institutions, investors, and companies to make more informed strategic decisions, as well as reduce financial risks through the early detection of companies at risk of failure.
Return Spill-Over Of Green Bond from Various Economic Group Countries During Economic Policy Uncertainty Filemon, Andrean; Husodo, Zaäfri Ananto
Eduvest - Journal of Universal Studies Vol. 4 No. 11 (2024): Journal Eduvest - Journal of Universal Studies
Publisher : Green Publisher Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59188/eduvest.v4i11.1405

Abstract

This research analyzes the return spill-over of green bonds issued among several categories of countries and relation of its return spill-over to various global economic conditions. The research employs a time-varying parameter vector autoregression (TVP-VAR) methodol-ogy to account for the return spill-over among countries, and wavelet coherence analysis (WCA) for relation between return spill-over and global economic policy uncertainty (GEPU) index. This study utilizes yield data from green bonds issued from January 2014 to February 2024. This period chosen based on the commencement of green bond issuance in several Emerging Market (EM), Frontier Market (FM) and Least Developed Market (LDM). The findings of this research is the green bonds issued from Developed Market (DM) gives bigger return spill-over effect to the green bonds issued from EM, rather than to FM and to LDM. This spill-over effect from DM to EM raises due to the high GEPU Index, which means the more uncertain the global economics policy, investor rather to safe in stable financial instrument such as green bonds issued in DM and EM.
Worldwide Recessions and Herding Behaviour: A Comparative Analysis of Three Countries Suyadi, Nurtantyo Pratomo; Husodo, Zaäfri Ananto
Eduvest - Journal of Universal Studies Vol. 4 No. 10 (2024): Journal Eduvest - Journal of Universal Studies
Publisher : Green Publisher Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59188/eduvest.v4i10.40134

Abstract

The general suggestion that behavioral science plays a part in creating abnormalities within the financial sector has been studied and proposed many times in the past. This study aims to prove the existence of behavioral sciences, specifically herding behavior, in three countries with different market conditions: Indonesia (Emerging), Vietnam (Frontier), and the United States (Developed). We developed our methodology using quantile regression to study the existence of herding behavior, and our findings were as follows: (1) As expected, the US didn’t have any indication of a statistically significant herding presence; they do, however, indicate an insignificant presence of herding behavior in the post-covid period under bearish conditions (2) Vietnam does not indicate significant herding tendencies, (3) Surprisingly, Indonesia did not exhibit statistically significant herding presence, but both Indonesia and Vietnam exhibited the slight presence of herding behavior but still relatively insignificant.
FULL CALL AUCTION AND MARKET LIQUIDITY: LESSONS FROM IDX Teto, Columbanus; Husodo, Zaäfri Ananto
Jurnal Akuntansi dan Keuangan Indonesia Vol. 22, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

Background: This study investigates the impact of the Full Call Auction mechanism implemented by the Indonesia Stock Exchange in 2024 on stocks listed under the Special Monitoring Board. The research aims to evaluate how the FCA affects market liquidity, particularly bid-ask spreads and trading volume, within the financial sector stocks. Methods: Employing a heterogeneous Difference-in-Differences approach, the analysis compares stock-level liquidity indicators before and after the FCA implementation. Findings: While overall treatment effects appear statistically insignificant, subgroup analysis reveals that stocks with longer exposure to the FCA exhibit significantly wider bid-ask spread and persistent reductions in trading volume. These findings indicate that, although the FCA was introduced to improve transparency and market integrity, it may have inadvertently reduced market participation and liquidity. Conclusion: The study highlights the critical role of market design in emerging markets and recommends adopting complementary mechanisms, such as Designated Market Makers, to support liquidity in auction-based systems. Novelty/Originality of this article: This research contributes to the market microstructure literature and provides practical insights for regulators seeking to enhance trading efficiency in emerging capital markets.
The Impact of Celebrity News on Entertainment Industry Stock Prices Ariani, Alexandra Widuri; Husodo, Zaäfri Ananto
Indonesian Capital Market Review Vol. 16, No. 1
Publisher : UI Scholars Hub

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Abstract

South Korea's entertainment industry has garnered global popularity. However, the competition between entertainment companies is fierce, necessitating strategies to ensure their survival, such as imposing restrictions on their artists to maintain their public image and trust. This study examined the impacts of celebrity news and activities on the stock returns of six major entertainment companies listed on the Korea Exchange (KRX) from 2018-2021. Employing the Fama-French 3 Factors Model regression, the study investigated the presence of abnormal returns. The findings indicate that comebacks and debuts elicit positive reactions and generate significant abnormal returns. Award acceptances and military service also elicit positive reactions but do not generate significant abnormal returns. Dating news, internal scandals, and national scandals elicit negative reactions. However, only national scandals generate significant abnormal returns. These findings imply that entertainment companies and investors should actively manage and monitor celebrity news to make informed decisions.
DO PEER BANKS MATTER? IDENTIFYING PEER EFFECTS IN LIQUIDITY HOARDING BEHAVIOR IN INDONESIA Satiti, Sekar; Husodo, Zaafri Ananto
Prosiding Seminar Nasional dan Call Paper STIE Widya Wiwaha Vol 4 No 1 (2025): International Seminar Proceedings and Call for Paper STIE Widya Wiwaha
Publisher : Sekolah Tinggi Ilmu Ekonomi Widya Wiwaha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32477/semnas.v4i1.1318

Abstract

This paper examines the influence of peer effects on liquidity hoarding behavior and banking stability in Indonesia from 2018 to 2025. Using panel data from 44 banks categorized according to the KBMI classification, the estimation results reveal the presence of interbank contagion in liquidity hoarding, whereby banks adjust their liquidity buffers in response to the behavior of other banks. Furthermore, liquidity hoarding has a significantly negative effect on bank stability, as measured by the Z-score, indicating a defensive response by banks amid heightened uncertainty. These findings underscore the importance of monitoring systemic liquidity interactions across banks within Indonesia’s financial system.
The Effect of Tax Relief Regulations on Dividend Policy of Publicly Listed Companies in Indonesia Harapon Angun Kasogi; Zaäfri Ananto Husodo
Jurnal Akuntansi dan Keuangan Vol. 27 No. 1 (2025): MAY 2025
Publisher : Institute of Research and Community Outreach - Petra Christian University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.9744/jak.27.1.62-78

Abstract

This study aims to analyze the impact of tax relief regulations, effective since 2021, on the dividend policies of publicly listed companies in Indonesia. We use panel data covering a three-year period before and after the implementation of the tax relief. This study uses a total of 413 listed companies, resulting in 2489 observations over the six-year research period. Logit regression and fixed-effect regression analyses are employed to identify the effects on the number of companies distributing dividends and the total dividends distributed, with firm-specific characteristics used as control variables. The logit regression results indicate that tax relief does not lead to a significant increase in the number of companies distributing dividends. However, there is a significant increase in the dividend levels among dividend-paying companies. To further encourage dividend distribution, the government can optimize existing regulations by considering criteria for tax relief eligibility based on dividend distribution activities. These findings can also serve as a consideration for investors when constructing their portfolios and for companies when designing dividend policies.
Co-Authors Adela, Lita Tiami Anggayasti Hayu Anindita Ariani, Alexandra Widuri Awwaliyah, Intan Nur Boniarga Mangiring Dwi Nastiti Danarsari Dyah Sulistyowati Rahayu Estiningrum, Widya Filemon, Andrean Harapon Angun Kasogi Hardiyanto, Reynaldy Hasan, Md. Bokthiar Henker, Thomas Heru Suhartanto Hubbansyah, Aulia Keiko Ika Maradjabessy Intan Nurul Awwaliyah Intan Nurul Awwaliyah Irwan Adi Ekaputra Jauhari, Tantowi Lenny Suardi Lirisanti, Dika Lita Tiami Adela Mangiring, Boniarga Margani, Mahanani Maulana Harris Muhajir Muhammad Budi Prasetyo Muhammad Rifqy Nurhayati, Immas Prasetyo, Muhammad Budi Rafia, Humaira Tahsin Ratih Dyah Kusumastuti Ridhwan, Masagus M. Ririen Setiati Risca Fleureta Hudiyono Sari, Ayula Candra Dewi Mulia Satiti, Sekar Sigit Sulistyo Wibowo Suardi, Lenny Suyadi, Nurtantyo Pratomo Teto, Columbanus Thomas Henker Uddin, Gazi Salah Usman Arief Usman Arief, Usman Viverita Viverita