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All Journal Jurnal Manajemen dan Agribisnis Indonesian Journal of Business and Entrepreneurship (IJBE) Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal Indonesian Journal of Multidisciplinary Science
Santoso, Moch. Hadi
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Agriculture, Biological Sciences & Forestry Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Public Health Social Sciences

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The Characteristics of Government Sukuk Return Volatility Before and During Covid-19, and After Implementation of Primary Dealer System Tia Rahmina; Achsani, Noer Azam; Santoso, Moch. Hadi
Jurnal Manajemen & Agribisnis Vol. 19 No. 2 (2022): JMA Vol. 19 No. 2, July 2022
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jma.19.2.319

Abstract

Government Sukuk (SBSN) has been launched since 2008, but it assumed illiquid. Therefore, the Ministry of Finance in 2020 regulates primary dealer for SBSN. At the same time, the restrictions on mobility due to the Covid-19 Pandemic in 2020 triggered negative sentiment. It increased volatility in the capital market. Asymmetric volatility occurs when market crash. The purpose of this study is to identify characteristics of government sukuk return volatility before and during the Covid-19 pandemic and after the implementation primary dealer system using EGARCH. The results show that SBSN responds to shocks more quickly during the pandemic. The benchmark series responds to shocks faster than non-benchmark. Moreover, during the pandemic, PBS04, PBS05, PBS07 and PBS22 were categorized high risk-high return. PBS02, PBS11, PBS14, PBS19, and SR10 were categorized low risk-low return. PBS17, PBS12, PBS15 and PBS21 were catogerized high risk-low return. PBS02, PBS14, PBS19, PBS17, PBS12 and SR10 have negative asymmetric return volatility. Furthermore, SBSN benchmark series PBS05 and PBS25 were categorized high risk-high return, PBS02 were categorized low risk-low return, and PBS026 were categorized high risk-low return. Most of the benchmark series have negative asymmetric return volatility. Keywords: Asymmetric volatility return, Covid-19, EGARCH, government sukuk, primary dealer
Determinants of Indonesian Government Bond Yield Wulandari, Hestiani; Achsani, Noer Azam; Santoso, Moch. Hadi
Jurnal Aplikasi Bisnis dan Manajemen Vol. 10 No. 3 (2024): JABM, Vol. 10 No. 3, September 2024
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.10.3.895

Abstract

Background: The COVID-19 pandemic significantly impacted the bond market in early 2020. As the pandemic unfolded, there was a surge in uncertainty and risk aversion among investors. One of the important factors used by investors when buying or investing in government bond instruments is the yield. Although considered a relatively risk-free alternative due to government guarantees, government bonds have other risks influenced by factors outside the bonds themselves. These factors include domestic and international economic conditions such as exchange rate risk, domestic and international interest rate risk, and other global events like the COVID-19 pandemic. Purpose: This research aims to analyze the factors affecting the yield of Indonesian government bonds with maturities of 5, 10, and 30 This research was conducted to identify factors that influence government bond yields using a symmetric approach with the ARDL model. Design/methodology/approach: This research was conducted to identify factors that influence government bond yields using a symmetric approach using the Autoregressive Distributed Lag (ARDL) model. These factors included the short-term interest rate, consumer price index, industrial production index, exchange rate, BI rate, stock price index, foreign exchange reserves, the Fed rate, the world oil price and US bond yields.Findings/Result: The industrial production index was found to have a significant negative effect on yields, while the stock price index was found to have a significant positive effect. There was no significant long-term effect of world oil prices on yields; the effect was only present in the short term. The COVID-19 pandemic significantly impacted yields in the short term. The impact of the COVID-19 pandemic on bond yields is related to the perception of risk regarding a country's economic uncertainty.Conclusion: Indonesian government bond yields in the long term were influenced by almost all observed variables, except for world oil prices. The impact of world oil prices and the COVID-19 pandemic was found to occur only in the short term. Foreign exchange reserves were the main factor affecting 5-year bond yields, while the exchange rate was the primary factor influencing the yields of 10- and 30-year bonds. The BI rate and the Fed rate significantly impacted all three bond yields in the long term. Investors needed to be responsive to yield fluctuations and conduct thorough risk analyses to make informed investment decisions regarding government bonds.Originality/value (State of the art): This study contributes significantly to the understanding of the dynamic and complex interactions between domestic and global economic factors that affect Indonesian government bond yields. By using the Autoregressive Distributed Lag (ARDL) methodology, this research integrates both short-term and long-term factors, focusing on multiple bond maturities (5, 10, and 30 years). Keywords: ARDL, domestic economics, global risk, government bonds, yield
Corporate Environmental, Social, and Governance (ESG) and SMEs' Value (a Lesson From Indonesian Public SMEs) Narotama, Bintang; Achsani, Noer Azam; Santoso, Moch. Hadi
Indonesian Journal of Business and Entrepreneurship Vol. 9 No. 2 (2023): IJBE, Vol. 9 No. 2, May 2023
Publisher : School of Business, IPB University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/ijbe.9.2.197

Abstract

Corporate Environmental, Social, and Governance (ESG) has prominently emerged to address sustainability challenges. Despite the positive implications in the extant literature, corporate ESG performance was given less attention by small-medium enterprises (SMEs). Hence, this study aims to investigate corporate ESG performance in Indonesian public SMEs and its influence on firm value. The study was conducted on 17 non-financial SMEs consistently listed on IDX PEFINDO25 from 2016 to 2020. The study found a trend of the annual increase in corporate ESG performance of SMEs and disclosure. The detailed level of performance revealed governance performance was featured, followed by social and environmental performance. The regression analysis showed a significantly positive influence of corporate ESG on firm value. Following these positive influences, we suggest that SME managers amplify corporate ESG as a long-term business growth and value-creation strategy. In addition, investors are advised to consider SMEs with higher ESG performance as part of their investment portfolio. Keywords: corporate ESG, disclosure, firm value, SMEs, sustainability challenges
Working Capital Management, Firm Performance, Financial Constraints in Building Construction Sub-Sector During COVID-19 Pandemic Rahmawati, Mega Tri; Irawan, Tony; Santoso, Moch. Hadi
Indonesian Journal of Multidisciplinary Science Vol. 2 No. 9 (2023): Indonesian Journal of Multidisciplinary Science
Publisher : International Journal Labs

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55324/ijoms.v2i9.554

Abstract

The building construction sub-sector companies have the lowest profitability with company value continuing to decline but the most efficient working capital turnover compared to other sub-sectors in the infrastructure sector during 2018-2020. Two construction company ownership, namely BUMN and private companies, facing different financial constraints in financing working capital. The purpose of this research is to find out the differences in working capital management, firm performance, and financial constraints before and during the Covid-19 pandemic in the private companies and BUMN. Furthermore, the research attempts to see the influence of working capital management with and without the interaction of financial constraints on firm performance. This study used 12 samples of building construction sub-sector companies listed on the IDX in the 2018q-2021q using paired tests and panel data regression. The results showed that both private and BUMN experienced significant changes in the working capital management component, decreased firm performance, and increased financial constraints during the pandemic. The working capital management has a negative and significant impact on firm performance. The results of interaction between working capital management and financial constraints show that companies experience financial constraints have lower investment levels on working capital due to the expensive cost of funding. The interaction variable strengthens the effect of the cash conversion cycle on firm performance.
Faktor-faktor yang Memengaruhi Deviden Payout di Bursa Efek Indonesia Meiharriko; Achsani, Noer Azam; Santoso, Moch. Hadi
Jurnal Aplikasi Bisnis dan Manajemen Vol. 8 No. 1 (2022): JABM Vol. 8 No. 1, Januari 2022
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.8.1.108

Abstract

The Dividend policy is an important information that investors shall know before investing in a stock market. In this study, an analysis of dividend policy is carried out involving the variables lagged dividend, profitability, growth, liquidity, debt, company size, ownership of BUMN and changes in the leadership towards the dividend payout ratio (DPR). The intention of this research are to analyze the variables that affect the DPR in Indonesia Stock Exchange (IDX), in each industrial sector and impact of changes in leadership on the dividend payout ratio within period 2010–2019. The purposive sampling method is applied in data preparation and there are 231 companies paid dividends during the periods. Dynamic panel data regression is practically applied in analysing data to get the conclusion of this research. The results find variables lagged dividend and profitability are significant and positively correlating on the period 2010– 2019. Result in each industrial sector find variable lagged dividend is significant in almost in all industrial sectors. Variable of the lagged dividend is also significant for both periods of the leadership but profitability and growth only significant in the period of 2015 - 2019. Meanwhile, changes in leadership does not has impact towards dividend payout ratio in Indonesia. This research provides additional empirical evidence that explains the dividend policy in Indonesia is following the dividend smoothing theory Keywords: DPR, IDX, industry, lagged dividend, profitability
Faktor-faktor Penentu Harga Tembaga di Pasar Internasional Terhadap PT. Freeport Indonesia Pekey, Simon; Achsani, Noer Azam; Santoso, Moch. Hadi
Jurnal Aplikasi Bisnis dan Manajemen Vol. 8 No. 2 (2022): JABM Vol. 8 No. 2, Mei 2022
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.8.2.654

Abstract

This study aims to determine the factors that influence copper prices in the international market. The data used is monthly starting from January 2005 to December 2019. The variables are Copper price, Industrial Producer Index (IPI), Producer Price Index (PPI), Fed Rate, Consumer Price Index (CPI), New York Stock Exchange (NYSE), Oil Price, and Gold Price sourced from the internet. The research data was processed using the VECM method with Eviews 10 software. From data processing, the results were obtained: there is a two-way causality relationship between CPI and copper prices, gold prices and IPI have a one-way causality relationship to copper prices, and copper prices have a one-way causal relationship to PPI. The shock that occurred in the IPI variable gave the largest impulse response in the short and long term to the copper price in addition to the shock that occurred by the copper price itself. The shock was given by the fed rate, gold price, and CPI only gives an impulse response effect in the long term. In the short term, the largest decomposition variance was contributed by IPI and the price of copper itself, while in the long term the largest decomposition variance was contributed by IPI, fed rate, gold price, CPI, and also the price of copper itself. From the results of the study, it was concluded that IPI, Fed Rate, gold price, and CPI variables were the most influential factors in changes in copper prices. Keywords: causality, copper price, impulse response, variance Decomposition, VECM
Co-Authors Erliza Noor Meiharriko Narotama, Bintang Pekey, Simon Rahmawati, Mega Tri Tia Rahmina Tony Irawan Wulandari, Hestiani