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FOREIGN INSTITUTIONAL OWNERSHIP ANDSTOCK RETURN VOLATILITY IN INDONESIA Ekaputra, Irwan Adi
Jurnal Keuangan dan Perbankan Vol 19, No 3 (2015): September 2015
Publisher : D-III Keuangan dan Perbankan

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This paper examines the impact of foreign institutional ownership on contemporaneous stock return volatility in Indonesia. In this study, return volatility is measured as standard deviation of daily stockreturns. The dynamic panel data results based on System GMM (S-GMM) estimation, confirm that foreign institutional ownership tend to linearly and convexly increase monthly stock return volatility.The linear impact seems to be weaker for stocks with higher market capitalization, but stronger for stocks with higher turnover.Furthertest reveals that foreign financial institutional ownershiplinearly contributes to return volatility upsurge, while foreign non-financial corporation ownership convexly contribute to return volatility increase.The additional test also uncovers that domestic financial and non-financial institutionalownerships do not impact return volatility.

The lmpact of Tick Size Reduction on Liquidity and Order Strategy: Evidence from the Jakarta Stock Exchange (JSX) Ekaputra, Irwan Adi; Ahmad, Basharat
Economics and Finance in Indonesia Volume 55, Number 1, 2007
Publisher : Institute for Economic and Social Research

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FOREIGN INSTITUTIONAL OWNERSHIP ANDSTOCK RETURN VOLATILITY IN INDONESIA Ekaputra, Irwan Adi
Jurnal Keuangan dan Perbankan Vol 19, No 3 (2015): September 2015
Publisher : University of Merdeka Malang

This paper examines the impact of foreign institutional ownership on contemporaneous stock return volatility in Indonesia. In this study, return volatility is measured as standard deviation of daily stockreturns. The dynamic panel data results based on System GMM (S-GMM) estimation, confirm that foreign institutional ownership tend to linearly and convexly increase monthly stock return volatility.The linear impact seems to be weaker for stocks with higher market capitalization, but stronger for stocks with higher turnover.Furthertest reveals that foreign financial institutional ownershiplinearly contributes to return volatility upsurge, while foreign non-financial corporation ownership convexly contribute to return volatility increase.The additional test also uncovers that domestic financial and non-financial institutionalownerships do not impact return volatility.

UJI EMPIRIS MODEL ASSET PRICING LIMA FAKTOR FAMA-FRENCH DI INDONESIA Bambang Sutrisno; Irwan Adi Ekaputra
Jurnal Keuangan dan Perbankan Vol 20, No 3 (2016): September 2016
Publisher : University of Merdeka Malang

The main purpose of this study is to evaluate and compare the performances of the Fama-French three- (FF3) and five-factor (FF5) models in the Indonesia stock market. This study also examines whether book-to-market factor (HML) is redundant in explaining the portfolio excess returns in Indonesia. This study employs asset pricing factor of the 2 x 3 sorts and excess returns of 25 Size-B/M, 25 Size-OP, dan 25 Size-Inv portfolios as dependent variables. This study employs Ordinary Least Square (OLS) with monthly time-series data from 2000 to 2015. Based on the average adjusted R2 from the two models, FF5 explains portfolio excess return variations better than FF3, although the profitability and investment factors only display weak effect on the excess returns. If we refer to Mertons (1973) zero-intercept criterion, the both models are not valid in Indonesia, because most intercepts are significant in each set of 25 portfolios. We also find that book-to-market factor is redundant in describing the variation of returns in Indonesia. The test of intercept difference between Indonesia and The US indicates that there are differences of abnormal return and market efficiency in both countries.

Non-Linear Impact of Growth Opportunity and Firm Size on the Capital Structure Kim Sung Suk; Rita Juliana; Irwan Adi Ekaputra
Jurnal Keuangan dan Perbankan Vol 22, No 4 (2018): October 2018
Publisher : University of Merdeka Malang

One of the focuses on capital structure studies is to identify economic forces influencing corporate capital structure. We investigated the non-linear effects of the firm-specific factors to the leverage of the firm of the US-listed firms. In the partial-adjusted model, growth opportunity and the size of the firm had non-linear effects on the leverage of the firm. Growth opportunity showed quadratic effects on leverage with a negative linear term but a positive quadratic term. It meant if the growth opportunity of a firm reached a certain level, fund providers can relatively detect it and subsequently causes a decrease in asymmetric information. This detection of ample growth opportunity will increase the accessibility of external funding. Firm size also exhibits quadratic effects on leverage with a positive linear term but a negative quadratic term. In other words, if the firm size as a proxy of various omitted variables was imminent, the financial market has been applied the diversification discount that will decrease the accessibility of external funding.JEL Classification: G32, D92DOI: https://doi.org/10.26905/jkdp.v22i4.2402

The Dynamics of Exchange Rate and Stock Return Before and After the Fed Policy Normalization: Evidence from Fragile Five Countries Arsya Javidiar; Irwan Adi Ekaputra
International Journal of Business Studies Vol 3 No 2 (2019): International Journal of Business Studies (IJBS)
Publisher : Sekolah Tinggi Manajemen IPMI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32924/ijbs.v3i2.63

Abstract: This research aims to examine the correlation between exchange rate and stock price return in each fragile five countries; Indonesia, Brazil, India, Turkey and South Africa. Using daily data, we investigate and then divide it into two periods; before Fed funds rate normalization (2013-2015) and after normalization (2016-2018), to find out whether the Fed funds rate hike caused a difference in the correlation between the two variables in each fragile five country. The methods used for this analysis are granger causality test and Vector Autoregression (VAR) using Eviews 9 program. Further investigation by analyzing the Dynamic Conditional Correlation-Multivariate GARCH (DCC MGARCH) method using Stata 15 program, which aims to find out the dynamic correlation between stock markets and also between currencies in fragile five countries. Granger test results found a difference in the relationship between variable exchange rates and stock price returns in Indonesia, India, and Turkey after the Fed normalization. Additionally, we learn that exchange rate lead stock price return in these three countries. Furthermore, the results of the DCC MGARCH test show that there is a significant positive dynamic correlation on the stock price index returns between markets. Moreover, we found similar results in testing positive and significant dynamic correlations between the exchange rates of each country. Key words: fragile five, exchange rate, stock return, VAR, DCC MGARCH

Investor attention and return reversal in sneakers resale market Deliana Deliana; Irwan Adi Ekaputra
Jurnal Keuangan dan Perbankan Vol 24, No 3 (2020): July 2020
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v24i3.4434

Sneakers, traditionally refer to rubber-soled shoes, are worth more than just footwear nowadays. Resellers believe that sneakers may be considered an investment-grade item due to the profit they booked in recent years. To the best of our knowledge, no former research has investigated the sneakers' resale market behavior specifically. Considering the global sneakers resale market's growth, we aim to analyze investor attention's association with sneakers' return in the sneakers resale market. We use hand-collected sneakers data from StockX.com website and Google Search Volume Index (SVI) as the proxy of investor attention. Based on the system GMM dynamic panel data analysis using some best-seller sneakers as the sample, we conclude that an increase in investor attention tends to increase the sneakers' return as well. Furthermore, the GMM and Fama-Macbeth regression results robustly show short-term return reversals indicated by the negative impact of sneakers' return in the previous period to sneakers' return in the current period. The return reversal may indicate that sneakers' price and return are driven by attention-grabbing information rather than fundamental value.JEL Classification: G11, G14DOI: https://doi.org/10.26905/jkdp.v24i3.4434

Reaksi Pasar Saham Indonesia yang Dikelompokkan Berdasarkan Kapitalisasi Pasar terhadap Aksi Serangan Teroris di Tempat yang Sama pada Waktu yang Berbeda Nyimas Dewi Murnila Saputri; Irwan Adi Ekaputra
JURNAL MANAJEMEN DAN BISNIS SRIWIJAYA Vol 17, No 4 (2019): Jurnal Manajemen dan Bisnis Sriwijaya
Publisher : Program Studi Magister Manajemen FE Unsri

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29259/jmbs.v17i4.12624

Tujuan penelitian – Penelitian ini bertujuan untuk meneliti perbedaan reaksi pasar terhadap dua kejadian terorisme yang terjadi pada tempat yang sama di waktu yang berbedaDesain/Metodologi/Pendekatan – Metodologi yang digunakan dalam penelitian ini merupakan metodologi event study dengan dua model estimasi return yang diharapkan yaitu market model dan tiga faktor Fama dan French (1993) untuk mengidentifikasi bahwa pasar belajar dari kejadian sebelumnya.Temuan – Hasil dari penelitian ini menunjukkan saham dengan kapitalisasi pasar besar dan menengah secara signifikan mempunyai rata-rata abnormal return yang sama antara kejadian pertama dan kedua walaupun mempunyai pola pergerakan yang berbeda. Saham dengan kapitalisasi pasar kecil cenderung mengalami fluktuasi.Keterbatasan penelitian – Kejadian terorisme yang diamati adalah peledakan bom yang terjadi dua kali di Hotel JW Marriot yaitu pada tahun 2003 dan terjadi kembali pada tahun 2009Originality/value – Kontribusi penelitian ini adalah untuk membandingkan tingkat elastisitas perusahaan terhadap informasi peledakan bom di tempat yang sama. Penelitian ini juga menggunakan dua metode estimasi penetapan harga saham yang diharapkan (expected return) untuk melihat pergerakan return secara lebih baik. Keywords: Event study, terrorism, stock price, and market capitalization

Trading Halts and Intraday Stock Return Volatility in the lndonesia Stock Exchange Irwan Adi Ekaputra; Sally Dwijayanti
Economics and Finance in Indonesia Volume 56, Number 3, 2008
Publisher : Institute for Economic and Social Research

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Does Moving Average Technical Trading Rule Provide Value for Intraday Stock Trading?: Evidence from the Indonesia Stock Exchange Harsanto, Ario; Ekaputra, Irwan Adi
The Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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This paper analyzes the value of employing simple moving average (SMA) and moving average (MA) technical trading rules for intraday stock trading in the Indonesia Stock Exchange. We test independently SMA[5], SMA[10], SMA[15], MA[5,50], MA[5,150], and MA[5,200] trading rules. We ﬁnd all three SMAs and MA[5,200] tend to deliver returns greater than the unconditional basic return (UBR), while MA[5,50] and MA[5,150] generate returns less than UBR. We conclude that SMAs are more valuable than MAs as intraday technical trading rules.

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