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All Journal Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics) Gadjah Mada International Journal of Business Indonesian Capital Market Review IIJSE
Erie Febrian
Faculty of Economics, Universitas Padjadjaran, Bandung
Religion Economics, Econometrics & Finance Social Sciences

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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)

Abstract

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.
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

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Abstract

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

Abstract

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
Influence of Rivalry Merger, Bank Financial Health Rating, and Customer Loyalty to the Competitive Advantage Kurniawan, Fajar; Febrian, Erie; Wibisono, Angki
Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE) Vol 5 No 1 (2022): Sharia Economics
Publisher : Sharia Economics Department Universitas KH. Abdul Chalim, Mojokerto

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31538/iijse.v5i1.1720

Abstract

The growth of the sharia banking market in Indonesia tended to stagnate. The Government had taken initiative to strengthen the sharia banking market by merging the three state sharia banks. PT. Bank Muamalat Indonesia, Tbk. (BMI), which is categorized in one of strategic group, is expected to be affected by considering that both BMI and the three state sharia banks have alike market segment. BMI is known as the first and purely sharia bank, which owns strong customer base. Thus, in last few years it is always the champion in term of customer loyalty among the public sharia banks. Internally, BMI attempts to strengthen its capital as one of indicator in bank financial health rating. The research objective is to analyse the influence of rivalry merger, bank financial health rating, and customer loyalty to the competitive advantage of BMI. The research utilizes quantitative method to test the hypothesis by using Partial Least Square (PLS). The result of data analysis from the survey shows that there is significant influence of rivalry merger, bank financial health rating, and customer loyalty to the competitive advantage.
Co-Authors Aldrin Herwany Amar, S.C. Djen Esi Fitriani Komara, Esi Fitriani Fajar Kurniawan Imam Buchari, Imam Mokhamad Anwar, Mokhamad Rr. Iramani Wibisono, Angki Zahra, Hana Al