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Cointegration and Causality Analysis on Developed Asian Markets for Risk Management and Portfolio Selection Herwany, Aldrin; Febrian, Erie
Gadjah Mada International Journal of Business Vol 10, No 3 (2008): September - December
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (95.098 KB)

Both practitioners and academics demand a linkage model across financial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use cointegration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they mostly conduct causality in mean tests but not causality in variance tests.This study assesses the cointegration and causal relations among seven developed Asian markets, i.e., Tokyo, Hong Kong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, cointegration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta normal approach. The results would recommend whether fund managers are able to diversify their portfolio in these developed stock markets either in long run or in short run.

The Seasonality of Market Integration: The Case of Indonesia's Stock Markets Halim, Shieldvie; Brahmana, Rayenda; Herwany, Aldrin
Economics and Finance in Indonesia Volume 59, Number 2, 2011
Publisher : Institute for Economic and Social Research

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Greece Financial Crises and Sukuk Markets: Experience From Gulf Countries Aldrin Herwany; Erie Febrian; Imam Buchari
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah Vol 9, No 1: January 2017
Publisher : Faculty of Shariah and Law, UIN Syarif Hidayatullah Jakarta

Many studies have been carried out to investigate the impact of recent European financial crises on the performance of financial instruments in other regions. Nevertheless, there have been insufficient studies explaining such impact on Islamic financial instrument. In particular, whether Greece Financial crises have affected performance of Sukuk traded in Gulf Markets needs to be answered. This study is aimed at empirically investigating the causality of credit and liquidity risk on Sukuk Markets in Gulf economies in the period of Greece Financial Crises. We analyzed the Sukuk data by employing Granger casuality test, with all the associated vector autoregression model procedures. Our findings show that Bahrain sukuk market is cointegrated with those of Qatar and UAE in the full period observation. Meanwhile, during the crisis, Qatar Sukuk market is cointegrated with those of UAE Bahrain. We also find that Bahrain Sukuk triggers market shock in both Qatar and UAE Sukuk markets. Bahrain consistently causes changes in price and spread of UAE Sukuk, both in the context of the full period and the during-crisis period.DOI: 10.15408/aiq.v9i1.3733

Capital Structure and Firm's Growth in Relations to Firm Value at Oil and Gas Companies Listed in Indonesia Stock Exchange Muhammad Daffa Hamam; Layyinaturrobaniyah Layyinaturrobaniyah; Aldrin Herwany
Journal of Accounting Auditing and Business Vol 3, No 1 (2020): January Edition
Publisher : Universitas Padjadjaran

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24198/jaab.v3i1.24760

The value of the firm is an investor's perception of the firm's success that is often associated with the performance of its shares. The height of the firm’s value, indicating that the market believes in not only the firm's present condition but also in the firm's prospect. Several factors are thought to affect the value of the firm, like funding decisions, dividend policy, stock decision, firm growth, and firm size. This study aims to see whether there is any effect of capital structure and the level of firm growth on firm value. The sample used in this study was six oil and gas companies listed on the Indonesia stock exchange in the 2013-2017 period. Regression analysis is built on an unbalanced panel data set. The results of this study indicate that the capital structure proxied by the variable debt to equity ratio has a negative coefficient direction but is not significant to the firm's value, while the growth rate has a positive effect coefficient direction on the firm's value but also not significant

Cointegration and Causality Analysis on Developed Asian Markets for Risk Management and Portfolio Selection Aldrin Herwany; Erie Febrian
Gadjah Mada International Journal of Business Vol 10, No 3 (2008): September - December
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

Both practitioners and academics demand a linkage model across financial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use cointegration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they mostly conduct causality in mean tests but not causality in variance tests.This study assesses the cointegration and causal relations among seven developed Asian markets, i.e., Tokyo, Hong Kong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, cointegration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta normal approach. The results would recommend whether fund managers are able to diversify their portfolio in these developed stock markets either in long run or in short run.

Risk Management Analysis Based on Supply Chain Business Process for Public Private Partnership Public Housing Erman Sumirat; Sulaeman Rahman Nidar; Aldrin Herwany; Sudarso Kaderi Wiryono
International Journal of Supply Chain Management Vol 9, No 6 (2020): International Journal of Supply Chain Management (IJSCM)
Publisher : International Journal of Supply Chain Management

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Covid19 Pandemic has made many countries like Indonesia spent their budget heavily on health and economy recoveries, meaning that some allocated budget including for infrastructure has been cut. In contrast, number of backlogs which determine numbers of people that need shelters are still remain high especially for low income groups (LIG). To tackle the problem, government has an initiative to engage private sectors through public private partnership (PPP) in public housing. The process is quite complex and has taken so many stakeholders like government, private sectors, consultants, contractors, vendors, subcontractors and financial institutions like banks and insurance companies. The complexities in PPP business models which involving so many stakeholders can create potential risks. Therefore, besides calculating investment return in the feasibility study stage, it is also important to make a risk management analysis based on supply chain business process. The supply chain business process must start from mapping business process, i.e. planning stage, contract award stage, implementation and the phase of hand over the facilities once the concessional period would end, transfer the ownership back from private sectors to government. This study has an objective to conduct literature study about risk management analysis by using ISO 31000: 2018, the relative new concept in risk management that replaces the same standard but from year of 2009. The model then will be combined with supply chain business process so risk management can be mitigated in each business process. The model of the study use supply chain business process in establishing the context in risk analysis followed by risk identification, risk analysis, risk evaluation with the integrated process of communication and consultation, recording and reporting as well as reviewing and monitoring. Study has found that there are critical risks that must be mitigated namely design risk, land price risk, legal land status risk, political risk, contractual risk, market risk, business risk, material price risk, operational risk, legal risk in hand over and asset impairment risk. The model has proposed several new techniques to mitigate risk namely using value at risk (VaR) by monte carlo simulation to measure market risk, business risk and operational risk, developing digitalization for the process in communication communication, recording reporting as well reviewing monitoring. It is also recommended the using of supply chain financing to vendors and subcontractors as Banks have the accessed data from digitalization that consider government and private sectors’ guarantees.

Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets Febrian, Erie; Herwany, Aldrin
Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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

Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The concern becomes more complicated when one tries to use the forecasting for asset distribution and risk management purposes in the linked regional markets. This paper aims at observing the effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent capital markets, i.e. STI, KLSE, and JKSE. In this paper, we evaluate eleven different models based on two classes of evaluation measures, i.e. symmetric and asymmetric error statistics, following Kumar's (2006) framework. We employ 10-year data as in sample and 6-month data as out of sample to construct and test the models, consecutively. The resulting superior methods, which are selected based on the out of sample forecasts and some evaluation measures in the respective markets, are then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI are GARCH (2,1), GARCH(3,1), and GARCH (1,1), respectively. We also find that international portfolio investors cannot benefit from diversification among these three equity markets as they are cointegrated.

Greece Financial Crises and Sukuk Markets: Experience From Gulf Countries Herwany, Aldrin; Febrian, Erie; Buchari, Imam
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah Vol. 9 No. 1 (2017)
Publisher : UNIVERSITAS ISLAM NEGERI SYARIF HIDAYATULLAH JAKARTA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/aiq.v9i1.3733

Many studies have been carried out to investigate the impact of recent European financial crises on the performance of financial instruments in other regions. Nevertheless, there have been insufficient studies explaining such impact on Islamic financial instrument. In particular, whether Greece Financial crises have affected performance of Sukuk traded in Gulf Markets needs to be answered. This study is aimed at empirically investigating the causality of credit and liquidity risk on Sukuk Markets in Gulf economies in the period of Greece Financial Crises. We analyzed the Sukuk data by employing Granger casuality test, with all the associated vector autoregression model procedures. Our findings show that Bahrain sukuk market is cointegrated with those of Qatar and UAE in the full period observation. Meanwhile, during the crisis, Qatar Sukuk market is cointegrated with those of UAE Bahrain. We also find that Bahrain Sukuk triggers market shock in both Qatar and UAE Sukuk markets. Bahrain consistently causes changes in price and spread of UAE Sukuk, both in the context of the full period and the during-crisis period.DOI: 10.15408/aiq.v9i1.3733

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