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All Journal Jurnal Keuangan dan Perbankan Jurnal Manajemen dan Bisnis Sriwijaya Jurnal Manajemen Teori dan Terapan EKUITAS (Jurnal Ekonomi dan Keuangan) Economics and Finance in Indonesia International Journal of Business Studies Indonesian Capital Market Review Eduvest - Journal of Universal Studies
Irwan Adi Ekaputra
Department Of Management, Faculty Of Economics And Business, Universitas Indonesia
Aerospace Engineering Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Health Professions Neuroscience Social Sciences

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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

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

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.
IMPACT OF GLOBAL FINANCIAL STRESS INDEX AND GEOPOLITICAL RISK IN FORECASTING VOLATILITY Sherlim, Vincent Prayogi; Ekaputra, Irwan Adi
EKUITAS (Jurnal Ekonomi dan Keuangan) Vol 9 No 1 (2025): March
Publisher : Sekolah Tinggi Ilmu Ekonomi Indonesia (STIESIA) Surabaya(STIESIA) Surabaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24034/j25485024.y2025.v9.i1.7100

Abstract

This study examines the prediction ability of Global Financial Stress Index (GFSI) and Geopolitical Risk Index (GPR) to forecast the volatility of assumed safe-haven assets, like gold, silver and Bitcoin. The authors combine high-frequency model, Heterogeneous Autoregression Realized Volatility (HAR-RV) model, with low-frequency estimators that use low-frequency data, such as Parkinson, Garman-Klass, and Rogers-Satchel volatility estimators. The authors also examine the R2 out-of-sample of the created model to conclude that GFSI and GPR can be used to increase the forecasting accuracy of selected asset's volatility and demonstrate the effectiveness of variables to be used as predictive variables. According to the result, the R2 out-of-sample of models that used GFSI as predictive variable have better performance in forecasting on gold, silver and Bitcoin. Meanwhile, GPR is assumed not effective as GFSI to be a predictive variable. The RB-HAR-ASY-GFSI model can increase the forecasting accuracy up to 1.56% (5-day ahead prediction) on gold, up to 0.43% (66-day ahead prediction) on silver, and up to 2.78% (10-day ahead prediction) on Bitcoin. This study improves the undersWangding of financial and geopolitical uncertainty impact on the volatility of safe-haven assets. Second, it investigates the HAR-RV and low-frequency data combination model performance to forecast volatility assets.
The Impact of Digital Payment on Banking Stability Bachri, Muthia Hanan; Ekaputra, Irwan Adi
Eduvest - Journal of Universal Studies Vol. 4 No. 9 (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.v4i9.30329

Abstract

Previous studies provides conclusions regarding the relationship between digital payments and banking stability in a particular country. Therefore, this research wants to see how the growth of digital payments impacts banking stability in 110 countries in the world from 2017 – 2022. This study explores the relationship between digital payments and banking stability using a panel data regression model. Digital payment transactions are proxied by the payment penetration ratio (PPR) while banking stability is proxied by the country's Z-score. This research found a negative correlation between digital payment transactions and banking stability in data from 110 countries. This is possible because of the risks arising from digital payment transactions. Overall, these findings support policies to increase secure payment transactions for banking stability.
Analysis of the Presence and Impact of Price Gap Anomaly on the Indonesian Stock Exchange Wilopo, Rinaldi; Ekaputra, Irwan Adi
Eduvest - Journal of Universal Studies Vol. 5 No. 8 (2025): Eduvest - Journal of Universal Studies
Publisher : Green Publisher Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59188/eduvest.v5i8.51416

Abstract

Price gap occurs when the opening price of a financial asset today is greater than the closing price of the previous day, signaling market’s initial sentiment and potential direction of price movement on the trading day. This study aims to explore the presence and characteristics of price gap anomalies and their potential exploitation to generate abnormal returns in the Indonesian stock market. The data used are 11 stock indices in the period 2015-2024 and the analysis is carried out using the multiple linear regression method to test the hypothesis. The results of the study indicate that price gap anomalies are confirmed in the Indonesian stock market, with positive price gaps tending to have more momentum effects than negative price gaps. Price gaps show short-term characteristics, where this anomaly does not affect the period after period of the anomaly. This study also explores the addition of volatility as a control variable in the regression model and finds the accuracy of the regression model by observing the increase in Adjusted R-Squared and Overall F-Test values. Finally, a trading strategy is formed to test the strategy's ability to generate abnormal returns that can beat the market in the Indonesian stock market. However, considering the transaction costs, the overall trading simulation results cannot generate returns that can beat market returns.
Incorporation of Corporate Startup: A Definition, Challenge, and Future Research Agenda Gabriel, Joy; Ekaputra, Irwan Adi; Satrya, Aryana
Jurnal Manajemen Teori dan Terapan| Journal of Theoretical and Applied Management Vol. 17 No. 1 (2024)
Publisher : Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20473/jmtt.v17i1.50615

Abstract

Objective: A corporate startup is a business development initiative led by a company's employees, using the company's resources and with the support of top managers. It aims to address business problems that arise within the company. This study seeks to define a corporate startup, highlight its challenges, and identify areas for future research. Design/Methods/Approach: The method employed is a literature review based on the Preferred Reporting Items for Systematic Review and Meta-Analysis (PRISMA) paradigm, with systematic searches from a database of high-quality scientific journals indexed by Scopus (Q1 and Q2). Selected publications relevant to the theme will be reviewed, and data will be summarized. Findings: This study finds three challenges that occur for corporate startups, namely collaboration development with internal and external corporate startups, finding competent mentors for corporate startups, and resource management competency. Further research can be continued by discussing three things, namely identifying companies that practice corporate entrepreneurship and capturing qualitative and quantitative organizational designs to enable corporate entrepreneurship, more research on developing countries, and the creation of standard standards regarding the evaluation of startup corporate models in various companies across industries and countries. Originality/Value: This research is the first study to describe the definition of corporate startups obtained from various high-quality journals (Scopus Q1 and Q2), which discusses various applications of corporate startups worldwide, the majority in the form of case study studies. With various views on the applications in the industry through Case Studies, this research also explained a review of the challenges and agenda of research in the future Corporate Startup, originating from various practices over the past 20 years on four different continents. Practical/Policy implication: Companies can implement corporate startups by utilizing a model derived from this paper. This involves embracing specific definitions, addressing challenges proactively, and outlining future research directions based on the findings of this study. Academics can also apply future research agendas to subsequent research to develop research related to Corporate Startup.
Co-Authors Ahmad, Basharat Ario Harsanto Arsya Javidiar Aryana Satrya Bachri, Muthia Hanan Bambang Sutrisno Deliana Deliana Harsanto, Ario Husodo, Zaafri Ananto Joy Gabriel, Joy Juliana, Rita Nurhayati, Immas Sally Dwijayanti Saputri, Nyimas Dewi Murnila Sherlim, Vincent Prayogi Sung Suk Kim Wilopo, Rinaldi Zaäfri Ananto Husodo