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Day-of-The-Week Anomaly on Different Stock Capitalization: Evidence from Indonesian Stock Market Dadang Wahyu Juniarwoko; Tony Irawan; Lukytawati Anggraeni
AFEBI Economic and Finance Review Vol 2, No 1 (2017)
Publisher : Asosiasi Fakultas Ekonomi dan Bisnis Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (915.111 KB) | DOI: 10.47312/aefr.v2i01.47

Abstract

The aim of this study is to determine whether the “Day-of-The-Week Anomaly” (DOWA) exists on different stock capitalization in Indonesian stock market. A total of 58 stocks listed in both LQ45 index and Pefindo25 index used to represent large cap stocks and small and medium cap stocks respectively. The Ordinary Least Squares (OLS) method and ARCH/GARCH model were employed to capture the DOWA and the daily volatility behavior for the period between January 2010 and December 2015. The result reveals that DOWA exist for a significant proportion of individual stocks in both LQ45 and Pefindo25. Monday was found to have the lowest mean returns while Wednesday has the highest mean return. The differences between Monday’s return and return of the other days ranged from 0.15 to 0.41 percent. LQ45 stocks also found to have slightly higher Wednesday’s volatility than of Pefindo25 stocks. It indicates that the higher return of the LQ45 is naturally accompanied by a higher risk.JEL Classification: G02, G10, G17Keywords: Day-of-The-Week Anomaly, Indonesia, LQ45, Pefindo25, Stock Market
Daya Saing Ekspor Cengkeh Indonesia Mirfatul Hidayah; Anna Fariyanti; Lukytawati Anggraeni
Jurnal Ekonomi Pertanian dan Agribisnis Vol 6, No 3 (2022)
Publisher : Department of Agricultural Social Economics, Faculty of Agriculture, Brawijaya University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.jepa.2022.006.03.14

Abstract

Indonesia adalah negara yang menghasilkan cengkeh terbesar di dunia yang sebagian besar produksinya ditujukan untuk ekspor. Tujuan penelitian ini adalah menganalisis posisi daya saing dan kinerja ekspor cengkeh Indonesia. Data yang digunakan dalam penelitian ini merupakan data panel ekspor cengkeh dalam kurun waktu lima belas tahun yaitu mulai tahun 2005-2019 dengan menganalisis sepuluh negara tujuan ekspor yaitu India, Vietnam, Saudi Arabia, Pakistan, Singapura, Mesir, Amerika Serikat, Uni Emirat Arab, Belanda, dan Malaysia. Metode Revealed Comparative Advantages (RCA) dan Export Product Dynamisc (EPD) digunakan masing-masing untuk menganalisis keunggulan komparatif  dan kinerja ekspor cengkeh Indonesia. Hasil penelitian menunjukkan bahwa Indonesia memiliki keunggulan komparatif berdasarkan metode RCA, kemudian berdasarkan metode EPD diperoleh bahwa cengkeh Indonesia tergolong pada posisi rising star di sembilan negara tujuan ekspor India, Vietnam, Saudi Arabia, Pakistan, Mesir, Amerika Serikat, Uni Emirat Arab, Belanda dan Malaysia sedangkan di negara Singapura diperoleh bahwa posisi pasar cengkeh Indonesia pada posisi falling star.
A study on tax compliance in tax amnesty policy Bambang Juanda; Lukytawati Anggraeni; Putri Mahestyanti; Benny Robby Kurniawan
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah Vol. 10 No. 3 (2022): Jurnal Perspektif Pembiayaan dan Pembangunan Daerah
Publisher : Program Magister Ilmu Ekonomi Pascasarjana Universitas Jambi

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (971.795 KB) | DOI: 10.22437/ppd.v10i3.19572

Abstract

The Indonesian Government implemented the tax amnesty policy in 2016 with several objectives, among others, to achieve tax revenue targets in the short-term, while in the long term it is to improve tax compliance, especially for the wealthier Indonesian citizens, while also accelerating tax reforms to increase tax participation’s rate. This paper examines the effects of factors (wealth, tariff period system, tax fines, audit probability, and taxpayers’ expectation of future tax amnesty) on tax compliance. Tax compliance is measured by the percentage of assets unit, the percentage of assets value reported by taxpayers, and the taxpayer participation rate in tax amnesty policy. This behavioral economics study uses an experimental approach because it is impossible to use conventional methods. The result showed that the taxpayers with higher wealth have lower compliance and prefer to participate in tax amnesty programs at the lowest tariff rate. The government's effort to impose fines and audits shows a greater effect on tax compliance. The tax amnesty policy should only be implemented once because if people expect a similar policy to be applied in the future, they will wait for the policy so that tax compliance is low. A tax amnesty policy­—while it can increase tax revenues in the short term—could reduce tax compliance, especially if the government imposes a second tax amnesty in the future.
The Impact of Economic Openness on Economic Growth in Aceh Province Nur Maghfirah; Tony Irawan; Lukytawati Anggraeni
Signifikan: Jurnal Ilmu Ekonomi Vol 11, No 2 (2022)
Publisher : Faculty of Economic and Business Syarif Hidayatullah State Islamic University of Jakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/sjie.v11i2.21091

Abstract

Economic openness is part of the demands that impact the entire region on economic development. This research aimed to analyze the impact of Economic Openness on Economic Growth in Aceh Province. The data used in this research was time-series data from 2005-2019. The variables used were exports, imports, domestic credit such as investment credit, consumer credit, working capital credit, and foreign investment (FDI). The data analysis tool used was a dynamic model with a specific approach to Autoregressive Distributed Lag (ARDL) model. The results of this research showed that in the long term, export, import, consumer credit, and working capital credit significantly affected Aceh’s economic growth. Then, the estimation results in the short term showed that import and consumption credit directly affect economic growth. Likewise, the result of Foreign Direct Investment (FDI) in the short term had a significant impact on Aceh’s economic growth. The government must strive to improve Economic openness because the impact is interrelated to national income and affect Aceh’s economic growth.How to Cite:Magfirah, N., Irawan, T., & Anggraeni, L. (2022). The Impact of Economic Openness on Economic Growth in Aceh Province. Signifikan: Jurnal Ilmu Ekonomi, 11 (2), 239-252. https://doi.org/10.15408/sjie.v11i2.21091.
Day-of-The-Week Anomaly on Different Stock Capitalization: Evidence from Indonesian Stock Market Dadang Wahyu Juniarwoko; Tony Irawan; Lukytawati Anggraeni
AFEBI Economic and Finance Review Vol. 2 No. 1 (2017): June
Publisher : Asosiasi Fakultas Ekonomi dan Bisnis Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47312/aefr.v2i1.682

Abstract

The aim of this study is to determine whether the “Day-of-The-Week Anomaly” (DOWA) exists on different stock capitalization in Indonesian stock market. A total of 58 stocks listed in both LQ45 index and Pefindo25 index used to represent large cap stocks and small and medium cap stocks respectively. The Ordinary Least Squares (OLS) method and ARCH/GARCH model were employed to capture the DOWA and the daily volatility behavior for the period between January 2010 and December 2015. The result reveals that DOWA exist for a significant proportion of individual stocks in both LQ45 and Pefindo25. Monday was found to have the lowest mean returns while Wednesday has the highest mean return. The differences between Monday’s return and return of the other days ranged from 0.15 to 0.41 percent. LQ45 stocks also found to have slightly higher Wednesday’s volatility than of Pefindo25 stocks. It indicates that the higher return of the LQ45 is naturally accompanied by a higher risk. JEL Classification: G02, G10, G17Keywords: Day-of-The-Week Anomaly, Indonesia, LQ45, Pefindo25, Stock Market
Indonesian Stock Market Return Volatility and Foreign Portfolio Capital: Evidence Before and During Covid-19 Pandemic Reffi Marizka Dewi; Lukytawati Anggraeni; Tony Irawan
Jurnal Aplikasi Bisnis dan Manajemen (JABM) Vol. 9 No. 1 (2023): JABM, Vol. 9 No. 1, Januari 2023
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.9.1.152

Abstract

The Covid-19 pandemic increased uncertainty in the Indonesian stock market. This paper aims to investigate foreign and domestic investors' behavior in the Indonesian stock market, especially during the Covid-19 pandemic. The method used was E-GARCH and DCC-GARCH. The results showed that the impact of shocks from bad and good news was greater on the return volatility during the pandemic. The shocks had a positive impact on the increase in the spillover effect of NFI's volatility to return volatility in the short and long term before the pandemic, but this did not happen during the pandemic. There is an indication of bias of forecasting errors and prospect theory in the behavior of investors in the Indonesian stock market. Conservatism bias is also indicated in the behavior of foreign investors. Keywords: Covid-19, E-GARCH, DCC-GARCH, net foreign inflow, return volatility
Greenium: Bentuk Keberpihakan Investor pada Pembangunan Berkelanjutan Tita Nurvita; Noer Azam Achsani; Lukytawati Anggraeni; Tanti Novianti
Jurnal Akuntansi dan Governance Vol 4, No 1 (2023): Jurnal Akuntansi dan Governance
Publisher : Universitas Muhammadiyah Jakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24853/jago.4.1.1-16

Abstract

Objectives. The purpose of this research is to compile a systematic literature review (SLR) regarding green bond research on the topic of greenium.Design/method/approach. The design of this research is a Literature Study. The data are collected from journals published from 2018 to 2022 and analyzed using the Protocol Search Appraisal Synthesis Analysis and Report (PSALSAR) method.Results/findings. The results showed that there are inconsistencies in the results where greenium is found in some studies and not found in other studies. In addition, there are different methods used to identify greenium. For further research on topics such as finding the determination of the emergence of greenium is still open. Theoretical contribution. This research provides additional theoretical contributions and new discussions regarding the valuation of financial assets, where apart from economic factors, non-economic factors also influence the valuation of financial assets, including investor taste.Practical contribution. This research contributes mainly to research on greenium because it found differences in investment motivation of green bond investors, so that it can be an input for further research and policies that can be taken for the development of green bonds. Limitations. This research only uses articles originating from Scopus Elsevier so that in future research it will expand the source of other articles from sources that are credible and reliable
Penguatan Inklusi Keuangan pada Industri Kreatif Berskala Mikro Kecil di Sumatra Barat Fitriana, Widya; Rustiadi, Ernan; Fauzi, Akhmad; Anggraeni, Lukytawati
Jurnal Ekonomi dan Pembangunan Indonesia Vol. 18, No. 3
Publisher : UI Scholars Hub

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Abstract

Creative industry is a strategic sector of national development. Lack of capital is a major obstacle to its development. This study analyzes financial inclusion of micro small creative industries (MSCI) relating to access and loan use. Both logit and Tobit models were employed for 1,367 MSCI from micro small survey data 2014. This study proved that women entrepreneurs who are less educated, limited asset and located in rural area tend to have greater constraints in financial inclusion. This study recommend the importance of financial education for women entrepreneurs in rural areas and expansion of internet uses and conduct digital finance.
Pengujian Trilemma Conditions pada Perekonomian Indonesia Yunita, Mela; Achsani, Noer Azham; Anggraeni, Lukytawati
Jurnal Ekonomi dan Pembangunan Indonesia Vol. 17, No. 2
Publisher : UI Scholars Hub

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Abstract

The key challenge for monetary policy in emerging market countries is simultaneously maintain monetary independence, exchange rate stability, and join with financial integration. This research explain the interaction of monetary policy in Indonesia over time to answer those three challenge with a Trilemma conditions. This research evaluate the Bank Indonesia’s decision to change the exchange rate regime and applied ”inflation targeting”. The methods include to build the Trilemma’ index and testing the Trilemma with constant regression. The results indicate that Bank Indonesia has tradeoff in determining the combination of monetary policy objectives. Tradeoff for Bank Indonesia more heavy under free floating due to fear of floating’s problem and tradeoff lighter when inflation targeting applied.
Determinan Angka Partisipasi Sekolah SMP di Jawa Barat Khairunnisa, Khairunnisa; Hartoyo, Sri; Anggraeni, Lukytawati
Jurnal Ekonomi dan Pembangunan Indonesia Vol. 15, No. 1
Publisher : UI Scholars Hub

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Abstract

West Java province's junior secondary school enrollment rate is still below the Millennium Development Goal of universal primary education by 2015. Panel data of 26 districts in West Java, Indonesia, was used to analyze the determinant factors of junior secondary school enrollment rate. The study shows that GRDP per capita and education level of the household head positively influence junior secondary enrollment rate, in contrast poverty rate and number of child labour had negative impact. This study suggests that government should increase local revenue to enable the people to have sufficient income for attending school, especially for the poor. The government is also expected to increase the availability of schools.
Co-Authors ., Harianto Achmad Rizki Achsani, Noer Azham Adis Imam Munandar Agung Satryo Ahmad Fanani Akbar, Dudi Duta Akhmad Fauzi Aldesta Perwitasari Tunas Alla Asmara Almira Dyah Mahiswari Amzul Rifin Anny Ratnawati Arief Daryanto Aulia Yulianti Wulandari Ayu Renita Sari Azka Azifah Dienillah Bagus Sartono Bambang Juanda Benny Robby Kurniawan Bintan Badriatul Ummah Bronson Marpaung Cosmas A.I. Wardojo Dadang Wahyu Juniarwoko Darwis Abubakar Dedi Budiman Hakim Deni Lubis Desfaryani, Rini Dewi Kusumaningrum Dewi Rohma Wati Dian Verawati Panjaitan Dony Firman Santosa Emil Fatmala Erliza Noor Ernan Rustiadi Fariyanti, Anna Fitri Kartiasih Fitriana, Rizqi Fitriana, Widya Gita Vinanda Gita Vinanda Gustyanita Pratiwi Gustyanita Pratiwi Hadiwiyono Hadiwiyono Hakim, Dedi Budiman Hardiyanto, Arief Tri Harianto Harianto Hartoyo Hartoyo Haryadi Krisnandar Hastuti Hendro Sasongko Herdiana Puspitasari Hermanto Siregar Hermanto Siregar Hery Setiawan Hidayanto, Muh. Wawan Iin Zahratain Indah Eko Suryani Indah Indra Putri, Dennis Khairunnisa Khairunnisa Koes Pranowo Kuntoro, Eri Lestari Agusalim Linda Karlina Sari Mela Yunita Mirfatul Hidayah Mudinillah, Adam Muh. Wawan Hidayanto Muhammad Elfaza Faishal Musyaffa Muhammad Firdaus Muhammad Firdaus Muhammad Iqbal Nadilla Ambarfauziah Rulian Naufa Muna, Naufa Noer Azam Achsani Nuni Anggraini Nuni Anggraini Nunung Nuryartono Nur Maghfirah Nur Muflihatun Azizah Nurvita, Tita Octavian, Hieta Purbantoro, Bhirawa Anoraga Puri Mahestyanti puspitasari, dwi puspitasari Putri Mahestyanti Ranti Wiliasih Ratna Anita Carolina Reffi Marizka Dewi Ria Maulida Rina Oktaviani Rini Siswati Asnel Risa Resmita Dewi Rizaldi Boer Rokhim, Fatkhu Rum Puspita Widhiarti Sahara Sahara Salahuddin El Ayyubi Samsul Hidayat Pasaribu Sri Hartoyo Sri Hartoyo Sri Hartoyo Sri Mulatsih Sugema, Iman Syamsul Hidayat Pasaribu Tampubolon, Bahroin Idris Tanti Novianti Tita Nurvita Tiurmaida Krisanty Sitompul Tony Irawan Tri Wulandari Trias Andati Trias Andati Trias Andati Trias Andati Trisno, Andhika Muhammad Fadil Ujang Suryadi Umbu Joka Untung Setiono Wahyu Dyah Novitasari Widyastutik Yugo, Vini Ratna Sari Yulya Aryani Yusman Syaukat Zenal Asikin