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All Journal Jurnal Keuangan dan Perbankan JDM (Jurnal Dinamika Manajemen) Gadjah Mada International Journal of Business Journal of Indonesian Economy and Business Journal of Islamic Monetary Economics and Finance Indonesian Capital Market Review Journal of Indonesian Economy and Business Tax Accounting Applied Journal Journal of Islamic Economic Laws

Mamduh M. Hanafi

Faculty Of Economics And Business, Universitas Gadjah Mada

Author-ID : 273837

Religion Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Environmental Science Law, Crime, Criminology & Criminal Justice Social Sciences

Published : 28 Documents Claim Missing Document

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Articles

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TRANSACTION COSTS IN INDONESIA STOCK MARKET: A STUDY IN THE AUTOMATION PERIOD Mamduh M. Hanafi
Jurnal Keuangan dan Perbankan Vol 19, No 1 (2015): January 2015
Publisher : University of Merdeka Malang

We studied transaction costs in Indonesia market extended closely by Bonser-Neal et al. (1999). They investigatedtransaction costs in Jakarta Stock Exchange (JSX) using period before automation (May 1995). To matchclosely with Bonser-Neal et al. (1999), we used period right after JSX introduced trading automation (JATS orJakarta Automated Trading System). We used period from May 1995 to March 2003. We found that transactioncosts in the automation period were larger than those reported by Bonser-Neal et al. (1999). Automationdid not seem to automatically reduce transaction costs as expected. We found that domestic investors had largerprice impact than foreign investors. Similar to previous finding, we found that trade difficulty had a positiveeffect on price impacts. We also found transaction costs in crisis period were larger than those in normal period.We also found that size had a negative relationship with price impacts. Our paper provided evidence of thetransaction costs in Indonesia market after the automated trading was introduced in Indonesia market.

The optimal cash holdings speed of adjustment and firm value: An empirical study in Indonesia Heru Kristanto Hendro Cahyono; Mamduh M Hanafi; Bowo Setiyono
Jurnal Keuangan dan Perbankan Vol 23, No 2 (2019): April 2019
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v23i2.2604

This study employs two models of the speed of cash holdings adjustment to measure the effect of cash management on firm value, they are the deviation standard cash holding model and partial speed of adjustment model. Using sampling companies from Indonesia during 2001-2017, the study employs some techniques of regression for dynamic panel data with fixed effects, the pooled ordinary least square with fixed effects, and regression moderated analysis. Research findings show that: first, the deviation standard cash holding and partial speed of adjustment affect firm value; second, by using the deviation standard cash holding model, it shows that managerial ownership, institutional ownership, investment and debt moderate the effect of the deviation standard cash holding on firm value; third, by using the partial speed of adjustment model, it shows that investment moderates the effect of partial speed of adjustment on firm value. The implications of the study are to explain two speed of cash holding adjustment models and their impacts on the increasing trend of firm value.JEL Classification: C33, G31, G34DOI: https://doi.org/10.26905/jkdp.v23i2.2604

Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange Setiyono Setiyono; Eduardus Tandelilin; Jogiyanto Hartono; Mamduh M. Hanafi
Gadjah Mada International Journal of Business Vol 15, No 1 (2013): January - April
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

This study attempts to investigate the issue of the existence of institutional herding in the stock market. The existence is detected in the intraday trade data from the Indonesia Stock Exchange (IDX) during up, down, and stable market condition over the period 2003-2005. By using the model of Lakonishok et al. (1992), it is found that the intensity of the existence of institutional herding at the IDX, on average, is 8.4 percent. Institutional investors do not seem to lead their transactions ina certain characteristic of stock. Most of them follow positive-feedback trading strategy while others follow negative-feedback trading strategy. This study also found that the existence of herd behavior at the IDX did not destabilize the market price in a subsequent period.

Unusual Market Activity Announcements: A Study of Price Manipulation on the Indonesian Stock Exchange Mamduh M. Hanafi
Gadjah Mada International Journal of Business Vol 12, No 2 (2010): May - August
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

We investigate stocks involved in the Unusual Market Activity (UMA) Announcements. The Indonesian Stock Exchange occasionally issues UMA announcements when it suspects that there are unusual price increases (positive UMAs) or price decreases (negative UMAs), as well as unusual increases in trading volumes. We believe that UMA announcements signal a high probability that stocks are being manipulated. We find no differences in fundamentals and trading variables between stocks in the UMA announcements and those not in the UMA announcements. Any stock is vulnerable to market manipulation. Stocks in the UMA announcements do not exhibit reversal patterns, suggesting that price effect is permanent. UMAs seem to convey relevant information, which is most likely in the form of insider type of information.Keywords: emerging market; price manipulation; unusual market activity announcement.

PRICE STABILIZATION AND IPO UNDERPRICING: AN EMPIRICAL STUDY IN THE INDONESIAN STOCK EXCHANGE Suad Husnan; Mamduh M. Hanafi; Muhammad Munandar
Journal of Indonesian Economy and Business (JIEB) Vol 29, No 2 (2014): May
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

We attempt to investigate IPO underpricing and stabilization activities. We find IPO underpricing of around 25% in the Indonesia market. Return distribution for the first 30-trading days shows a positive skew, the distribution becomes closer to normality as the period lengthens. We then develop and test five algorithms to detect IPO intervention. An important goal of this paper is to develop an algorithm that will be able to detect IPO intervention using public data. We find that the number of closing prices that are equal to the offer prices and the skewness of the IPO return in the first 30-trading days are the ‘best’ stabilization measures. Having found “the best measures”, then we investigate under what conditions IPO intervention is more intensive. We find that underwriters tend to stabilize more on more expensive IPOs.

BANK RISK AND MARKET DISCIPLINE Taswan Taswan; Eduardus Tandelilin; Suad Husnan; Mamduh M. Hanafi
Journal of Indonesian Economy and Business (JIEB) Vol 27, No 3 (2012): September
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

This paper investigates the issue of bank risk taking. Specifically we investigate two main issues: (1) determinants of bank risk, and (2) market discipline to the banks either in implicit, explicit guarantee systems, and all periods. Using Indonesian data, we find that domestic, foreign, and ownership concentration have positive impact on bank risk. Bank shareholders engage in entrenchment behaviour, rather than convergence behaviour. We further find that charter value and compliance to regulation have negative impact on bank risk. Next, we find that market disciplines the banks. Market disciplines the banks at thesame degree in implicit and explicit deposit guarantee systems. Our findings highlight the importance of paying close attention to banks ownership, charter value, and compliance to regulation. Furthermore, since we find that market disciplines the Banks at the same degree in explicit and implicit guarantee systems, we need to investigate this issue further.This finding highlights research potential in the future: to investigate disciplining behaviour from various types of depositors.Keywords: bank ownership, market discipline, risk, entrenchment, convergence, and deposit insurance

STRUKTUR KEPEMILIKAN, RISIKO, DAN KEBIJAKAN KEUANGAN: ANALISIS PERSAMAAN SIMULTAN Fitri Ismiyanti; Mamduh M. Hanafi
Journal of Indonesian Economy and Business (JIEB) Vol 19, No 2 (2004): April
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22146/jieb.6595

The research explores using simultaneous regression, to examine the interdependencerelationship between managerial ownership, risk, dividend policy, institutional ownership,and leverage policy for Indonesian capital market. The research tries to explain how therelationships in financial policy for manufacture firms in Indonesia. We use five models ofregression to represent five different policies in firms that reflect the agency issues andconflict of interest between agent (manager), and principal (insider and outsidershareholders). Jensen and Meckling (1976) argued that agency problem arise fromseparation of ownership and control. Each of five policies in this research is representconflict of interest between agent and principal. The research combined models fromCrutchley, Jensen, Jahera and Raymond (1999), and Chen and Steiner (1999) to construct five-regression policies model.We find interdependence relationship between managerial ownership, risk, dividendpolicy, institutional ownership, and leverage policy. We also find substitution effectbetween dividend policy and managerial ownership, and between managerial ownershipand institutional ownership as predicted by agency theory. The substitution effect showedthat ownership structure effectively used to reduce the agency problem between agent and principal. The study confirms that the relationship between risk and dividend is non-linear.Keyword: Agency Theory; Managerial Ownership; Risk; Dividend Policy; Debt Policy.

HERDING BETWEEN INSTITUTIONAL AND INDIVIDUAL INVESTORS: THE JAPANESE CASE Mamduh M. Hanafi
Journal of Indonesian Economy and Business (JIEB) Vol 18, No 4 (2003): October
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Artikel ini membandingkan perilaku herding antara investor institusional dengan investor individual menggunakan data Jepang. Artikel ini menemukan bahwa investor institusional melakukan herding lebih besar pada saham kecil. Artikel ini juga menemukan bahwa herding oleh investor institusional nampaknya tidak mempunyai efek negatif (destabilizing) dalam jangka pendek. Dalam jangka panjang, artikel ini menemukan pembalikan harga (reversal) untuk saham dimana investor institusional melakukan herding. Artikel ini menemukan bahwa saham yang dilepas investor institusional mempunyai reaksi harga yang negatif, nampaknya tindakan pelepasan tersebut didorong oleh motivasi yang rasional. Artikel ini juga menemukan bahwa perdagangan oleh investor institusional mempunyai pengaruh yang lebih besar terhadap harga; investor institusional nampaknya tidak melakukan perdagangan umpan balik positif (positive feedback trade). Saham yang mempunyai kepemilikan institusi paling stabil mempunyai kinerja yang paling baik.Keywords: herding, Japan, efficient markets.

AN INVESTIGATION OF PRICE MOVEMENTS DURING THE ANNOUNCEMENT OF ACQUISITION NEWS: THE CASE OF JAKARTA STOCK EXCHANGE Mamduh M. Hanafi
Journal of Indonesian Economy and Business (JIEB) Vol 17, No 4 (2002): October
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Paper ini ingin melihat siapa yang berada di balik pergerekan harga selama periode pengumuman merjer dan akuisisi di Bursa Efek Jakarta. Data menunjukkan bahwa harga meningkat cukup tajam selama periode pengumuman. Penelitian ingin membandingkan apakah investor asing atau domestik yang mendorong pergerakan harga tersebut. Disamping itu, penelitian ini ingin melihat apakah pergerekan harga terkonsentrasi pada volume perdagangan (trade size) yang kecil atau tidak dan apakah terkonsentrasi pada investor domestik yang menggunakan volume perdagangan yang kecil. Hasil analisis memperlihatkan bukti yang cukup kuat yang menunjukkan bahwa investor domestik mendorong pergerakan harga tersebut. Untuk hipotesis kedua dan ketiga, tidak ditemukan bukti yang cukup kuat. Pergerakan harga oleh investor domestik tersebut menunjukkan superioritas informasi yang dimiliki oleh investor domestik, yang berarti ada asimetri informasi di Bursa Efek Jakarta.Keywords: Price movement, trading size, acquisition announcement.

High-Frequency Trading Activities and Brokerage Firms Effect : Empirical Evidence From the Indonesia Stock Exchange Barsiano, Redik; Hanafi, Mamduh Mahmadah; Arief, Usman
The Indonesian Capital Market Review Vol. 11, No. 1
Publisher : UI Scholars Hub

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

This research studies the trading activity of type of traders through their brokers. Order imbalance is believed to be a better proxy for explaining trading activity. This paper presents some empirical test that on brokerage level analysis exhibit information paradigm in Indonesia which market makers and specialist are not available. We divide imbalances into groups of samples (all stocks and most liquid stocks), trader type (foreign or domestic) and size of brokerage firm (small to big). Our results show that order imbalances generally have a positive serial correlation for all the traders and brokers analyzed. However, we find that the determinant of order imbalances is a particular phenomenon at the brokerage level, whose results differ from our market-wide analysis. We do not find that previous order imbalances can predict market returns across trader type and brokerage class. In contrast, for the inventory paradigm, the evidence from the brokerage level analysis indicates that information dissemination is induced order imbalance by brokerage house.

Co-Authors Barsiano, Redik Bima Cinintya Pratama Dwi Swasana Ramadhan Eduardus Tandelilin Fitri Ismiyanti Fitri Ismiyanti Fitri Ismiyanti, Fitri Irna Puji Lestari Irna Puji Lestari Jogiyanto Hartono Leo Indra Wardhana Leo Indra Wardhana Leo Indra Wardhana Lestari, Irna Puji Maulida Nurul Innayah Muhammad Munandar Muhammad Munandar Muizzuddin Muizzuddin R. Heru Kristanto HC Redik Brasiano Sahda Purnama Sari Setiyono Setiyono Setiyono Setiyono Setiyono, Bowo Suad Husnan Suad Husnan Taswan, Taswan Usman Arief Usman Arief, Usman

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