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All Journal JDM (Jurnal Dinamika Manajemen) Management Analysis Journal
Nugraha, Mahardika Dandy
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Decision Sciences, Operations Research & Management

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The Causal Relationship between Trading Volume and Return Volatility with Interest Rate and Exchange Rate as Exogenous Variables (Empirical Research on Property Indexes of Indonesia, Malaysia, Philippines, and Thailand) Permanawati, Rahmadani Nur; Witiastuti, Rini Setyo; Nugraha, Mahardika Dandy; Maharani, Rr. Annisa Tri Safira
JDM (Jurnal Dinamika Manajemen) Vol 13, No 1 (2022): March 2022
Publisher : Department of Management, Faculty of Economics and Business, Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/jdm.v13i1.34326

Abstract

This study aims to analyze the causal relationship between trading volume and return volatility along with macroeconomic variables such as interest rates and exchange rate. The endogenous variables in this study are trading volume and return volatility, while the exogenous variables are interest rates and exchange rates. The sample used in this research is property indexes in Indonesia, Malaysia, Philippines, and Thailand who provide monthly data for the four variables during the observation period in January 2012-December 2019. The analysis technique used to test the hypothesis in this study is Vector Autoregression (VAR) technique. The result of this study indicate that trading volume has positive effect on return volatility in property indexes of Indonesia, Philippines, and Thailand, meanwhile trading volume has no effect on return volatility in Malaysia’s property index. Return volatility has no effect on trading volume in all the countries whether in Indonesia, Malaysia, the Philippines, or in Thailand. There is a one-way causality relationship between trading volume and return volatility in property indexes of Indonesia, Philippines, and Thailand. There is no causality relationship between trading volume and return volatility in Malaysia’s property index.
The Determinants of Corporate Hedging Policy: A Survey of Mining Firms on the Indonesia Stock Exchange Nugraha, Mahardika Dandy; Khoiruddin, Moh
Management Analysis Journal Vol 11 No 3 (2022): Management Analysis Journal
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/maj.v11i3.58266

Abstract

The purpose of this study is to determine the effect of leverage, liquidity, growth opportunity, and financial distress on hedging policy decisions. The population in this study are mining companies listed on the Indonesia Stock Exchange (IDX) in 2015-2020. The research sample was 39 companies using purposive sampling technique. The leverage variable is proxied by the ratio of total debt and total capital, liquidity is proxied by the ratio of current assets and current debt, growth opportunity is proxied by market to book, financial distress is proxied by Altman's Z-Score specifically for non-manufacturing companies, and hedging policy is proxied by the variable dummy, where companies that hedged were given a score of 1, and those that did not hedge were assigned a score of 0. The data analysis method used descriptive statistical analysis and logistic regression analysis using the logit model using the Eviews 12 Student Version software. The results showed that leverage and financial distress had a significant positive effect on the probability of hedging policy, liquidity had a significant negative effect on the probability of hedging policy, growth opportunity had a significant positive effect on the probability of hedging policy
Co-Authors Maharani, Rr. Annisa Tri Safira Moh Khoiruddin Permanawati, Rahmadani Nur Rini Setyo Witiastuti