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All Journal Gadjah Mada International Journal of Business Jurnal Akuntansi Multiparadigma Journal of Indonesian Economy and Business Jurnal Manajemen Teori dan Terapan WIDYAKALA JOURNAL The Indonesian Journal of Accounting Research Studi Akuntansi, Keuangan, dan Manajemen ABIS: Accounting and Business Information Systems Journal VISI SAKTI: Jurnal Industri Kreatif dan Inovatif
Sumiyana Sumiyana
Universitas Gadjah Mada
Arts Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Social Sciences Other

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NOISE AS THE IMPACT OF TRADING MECHANISM AND PERIODIC CLEARING PROCEDURES: SUBSTANTIVE EVIDENCE FROM INDONESIA STOCK EXCHANGE Sumiyana, Sumiyana
Journal of Indonesian Economy and Business Vol 24, No 1 (2009): January
Publisher : Journal of Indonesian Economy and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (116.188 KB)

Abstract

Sumiyana (2007b) investigates that noises occurred in Indonesia Stock Exchange. Especially, Sumiyanas’ research concludes that noise over trading and nontrading period, along with overnight and lunch break nontrading session, and the first and second trading session, had occurred. However, Sumiyana’s research does not identify who are responsible for the noise. This research used intraday data in Indonesia Stock Exchange. Samples of the data are the firms consecutively listed in LQ 45 indexes for the year of 2004-2006.This research attempts to identify who are responsible for the noise. This research studies effects of trading mechanism and clearing mechanism on the stock return behaviour. Finally, this research is enabling to differentiate the effect of trading mechanism from the effect of clearing mechanism. This research concludes that periodicclearing procedure at the beginning of the trading period is noisy. Therefore, this research suggests that trading mechanism in Indonesia Stock Exchange is inefficient. This research also hopefully recommends shifting from the periodic to continuous trading mechanism.Keywords: Intraday data, trading mechanism, trading and nontrading periods, stock return behaviour, noise, negative autocorrelation, clearing mechanism, periodic clearing procedure.
NOISE ATAU KEDATANGAN INFORMASI: SEBUAH FENOMENA SPESIFIK PERILAKU HARGA SAHAM DI PASAR MODAL INDONESIA Studi Empiris Berbasis Data Intraday, Bursa Efek Jakarta 1999-2006 Sumiyana, Sumiyana
Journal of Indonesian Economy and Business Vol 22, No 3 (2007): July
Publisher : Journal of Indonesian Economy and Business

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Abstract

This research proved occurrence of noise. This research used intraday data in JSX(Jakarta Stock Exchange). Samples of the data are the firms listed in LQ 45 indexes for the yearof 1999-2006. The noise, in accordance with previous concepts and theories, were influenced bythe arrival of public and private information and those arrivals were disseminated. Test resultsconcluded that noise over trading and nontrading period, along with overnight and lunch breaknontrading session, and the first and second trading session, had occured.Factually, noise occurred in the interval of one and three aforementioned periods.Conversely, information arrival (consistently positive return) occurred in the lag of fourpreceding period or one day lag only. Sequentially, this research conducted to control using size,trading volume, bid-ask spreads, up-down market, and tick size statute. Having controlled, thisresearch found that these were not always correct and valid. It means that conclusions of theprior researches were not consistent. Especially, this research suggested contra evidence incomparisons with previous concepts and theories whenever controlled by size, trading volume,bid-ask spreads, up-down market and tick size.Keywords: intraday data, trading and nontrading periods, noise, negative autocorrelation, size, trading volume, bid-ask spreads, up-down market, tick size.
ACCOUNTING FUNDAMENTALS AND VARIATIONS OF STOCK PRICE: METHODOLOGICAL REFINEMENT WITH RECURSIVE SIMULTANEOUS MODEL Sumiyana, Sumiyana; Baridwan, Zaki
Journal of Indonesian Economy and Business Vol 28, No 1 (2013): January
Publisher : Journal of Indonesian Economy and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (7.875 KB)

Abstract

This study investigates association between accounting fundamentals and variations of stock prices using recursive simultaneous equation model. The accounting fundamentalsconsist of earnings yield, book value, profitability, growth opportunities and discount rate. The prior single relationships model has been investigated by Chen and Zhang (2007),Sumiyana (2011) and Sumiyana et al. (2010). They assume that all accounting fundamentals associate direct-linearly to the stock returns. This study assembles that all accountingfundamentals should associate recursively.This study reconstructs the model and found that only the first two factors could influence stock returns directly, while the three remaining factors should relate precedently to the earnings yield and book value. This study suggests that new reconstructed relationships among accounting fundamentalscould decompose association degree between them and the movements of stock prices. Finally, this study concludes that this methodological refinement would improve the ability of predicting stock prices and reduce stock price deviations. It implies that accounting fundamentals actually have higher value relevance in the new recursive simultaneous equation model than that in single equation model. It also entails that relationship decompositions revitalize the integration of the adaptation and the recursion theories.Keywords: earnings yield, book value, profitability, growth opportunities, discount rate, accounting fundamentals, recursive simultaneous model.
Accounting Fundamentals and the Variation of Stock Price: Factoring in the Investment Scalability Sumiyana Sumiyana; Zaki Baridwan; Slamet Sugiri; Jogiyanto Hartono
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

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (398.943 KB) | DOI: 10.22146/gamaijb.5508

Abstract

This study develops a new return model with respect to accounting fundamentals. The new return model is based on Chen and Zhang (2007). This study takes into account theinvestment scalability information. Specifically, this study splitsthe scale of firm’s operations into short-run and long-runinvestment scalabilities. We document that five accounting fun-damentals explain the variation of annual stock return. Thefactors, comprised book value, earnings yield, short-run andlong-run investment scalabilities, and growth opportunities, co associate positively with stock price. The remaining factor,which is the pure interest rate, is negatively related to annualstock return. This study finds that inducing short-run and long-run investment scalabilities into the model could improve the degree of association. In other words, they have value rel-evance. Finally, this study suggests that basic trading strategieswill improve if investors revert to the accounting fundamentals.Keywords: accounting fundamentals; book value; earnings yield; growth opportuni­ties; short­run and long­run investment scalabilities; trading strategy;value relevance
The Behavior of Opening and Closing Prices Noise and Overreaction Sumiyana Sumiyana
Gadjah Mada International Journal of Business Vol 11, No 1 (2009): January - April
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (140.366 KB) | DOI: 10.22146/gamaijb.5542

Abstract

This study extends several previous studies that conclude that noise and overreaction on intraday data occur. Those studies have yet to be clear about the kind of price that explains for this noise and overreaction. This study examines the opening price and closing price behavior, and tries to explain the noise and overreaction on the Indonesia Stock Exchange using intraday data in every 30-minute interval. Sample is firms listed in LQ45 index. Sequentially, this research sample is filtered to stocks that are the most actively traded on the Indonesia Stock Exchange based on trading frequency in an observation period from January to December 2006. This research finds that noise and overreaction phenomena always occur in the opening and closing prices. In addition, investors actually correct the noise and overreaction that occur simultaneously at the first 30-minute interval on every trading day.
Behavior of Stock Price Variability over Trading and Nontrading Periods, and Daily Return Volatility Sumiyana Sumiyana
Gadjah Mada International Journal of Business Vol 9, No 3 (2007): September - December
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (355.569 KB) | DOI: 10.22146/gamaijb.5590

Abstract

This study examined the behavior of stock price variability over trading and nontrading periods, and daily return volatility. This study used intraday data in Indonesia Stock Exchange. Sample was taken from the firms listed in LQ 45 indexes for the year of 1999-2006. The behavior of stock price variability and daily return volatility, according to previous theories, is influenced by the array of public and private information.This study concludes that return variance over trading and nontrading periods, along with overnight and lunch break nontrading session, and the first and second trading session, has differed significantly. In addition, daily return volatility is also not identical significantly. Subsequently, this study used size, trading volume, bid-ask spreads and up-down market as control variables. This study contradicts to all prior studies. This study especially suggests contra evidence in comparisons with previous concepts and theories in regards to size, trading volume, bid-ask spreads, and up-down market as control variables.
KEBERTERIMAAN SITUS PAJAK: PENGINDUSIAN ORIENTASI TUJUAN PEMBELAJARAN DAN NORMA SUBYEKTIF Sumiyana Sumiyana; Angelia Pribadi
Jurnal Akuntansi Multiparadigma Vol 1, No 3 (2010): Jurnal Akuntansi Multiparadigma
Publisher : Universitas Brawijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (758.88 KB) | DOI: 10.18202/jamal.2010.12.7097

Abstract

This study investigates a new IS success model that predicts the net benefits of tax consultans’ works especially in Indonesia by inducing learning goal orientation and subjective norms. This research investigates initially the basic IS success model (DeLone dan McLean, 1992) using system quality, information quality, intention to use and net benefits. This study induces stepwisely learning goal orientation and subjective norms to this model to predict net benefits improvement of the IS success model. This study suggests that system quality and information quality enhance intention to use and users’ satisfaction, then they could make net benefits. This study finds low goodness of fit level of the basic model. The inducement of learning goal orientation to the basic model did not improve the level, neither did subjective norms. It means that tax information systems in Indonesia are still far from the IS that could be used as decision support systems or expert systems tools.
Day Of The Week dan Monday Effect: Fenomena yang Terbuktikan Tidak Konsisten Di Pasar Modal Indonesia Sumiyana Sumiyana
Jurnal Manajemen Teori dan Terapan | Journal of Theory and Applied Management Vol. 1 No. 1 (2008): Jurnal Manajemen Teori dan Terapan - April 2008
Publisher : Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (260.428 KB) | DOI: 10.20473/jmtt.v1i1.2359

Abstract

This research critiques Sumiyana (2007a) that is actually weak methodological research design. Sumiyana (2007a) investigates trading and nontrading periods return only, or it doesn’t split intra-day return into short interval period. Although Sumiyana (2007a) found strongly the phenomenon of the Monday effect, but it could not capture the inside occurrence in the intra-trading periods. This study examines the day of the week and Monday effect phenomena in the Indonesian Stock Exchange using intraday data in every 30 minutes interval. Samples of the data are the firms listed in LQ45. Sequentially, samples are filtered to stocks that actively traded in the Indonesian Stock Exchange based on trading frequency in observation period from January to December 2006. This study uses regression analysis with multiple dummies constructed by separating trading periods in every day into 12 return periods. This research finds that day of the week phenomena occur consistently in Indonesian Stock Exchange, but the occurrence are not evenly in the same day. In addition, this study concludes that Monday effect exists partially and incidentally only.
Event Study: Pengumuman Laba Terhadap Reaksi Pasar Modal (Study Empiris, Bursa Efek Indonesia 2004-2006) Binsar I. K. Telaumbanua; Sumiyana Sumiyana
Jurnal Manajemen Teori dan Terapan | Journal of Theory and Applied Management Vol. 1 No. 3 (2008): Jurnal Manajemen Teori dan Terapan - Desember 2008
Publisher : Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (139.895 KB) | DOI: 10.20473/jmtt.v1i3.2367

Abstract

This paper examines the investor reaction to earnings announcement around publication dates. This paper divides into two categories. There are the positiveearning announcements which include EPS increasing, and the negative-earning announcements which consist EPS decreasing. The examination of content and efficient market hypothesis used event study. We propose one hypothesis as positifearnings announcement and negative-earnings announcement correlate to stock price reactions in IDX. The sample are the 29 companies from LQ 45 that release the annual earnings of year 2004-2006. The earnings announcement date is taken from Indonesian Securities Supervisory Agency (Bapepam). Statistical test with standard error of estimate (SEE) was used to test the abnormal return during event periods. The results show that investor do not respond significantly to the positive and negative earnings announcement at the announcement dates. In addition, earning announcements suggest information contents to capital market. Finally, the empirical result is contrary to the finding of Ball and Brown (1968), Foster (1977), and Hayn (1995). However, this evidence supports the Lako’s studies (2002a, 2002c).
TASK-TECHNOLOGY FIT AND PERSON-JOB FIT: A BEAUTY CONTEST TO IMPROVE THE SUCCESS OF INFORMATION SYSTEMS Woro Dwi Suryani; Sumiyana Sumiyana
Journal of Indonesian Economy and Business (JIEB) Vol 29, No 2 (2014): May
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (224.533 KB) | DOI: 10.22146/jieb.6203

Abstract

This study raises the issue that information system success could be enhanced by complementing other factors. This study investigates the success of information systems by inducing2 the task-technology fit (TTF) and person-job fit (PJF) into the DeLone and McLean model. This study aims to examine, among the two induced factors, which one is able to explain and improve the success of the information systems implementation. The results of this study indicate that the TTF explains the models’ goodness of fit better than that of the PJF when induced into the modified DeLone and McLean model. This study implies this in terms of both theory and practice. Theoretically, this research presents an alternative research model that can be used to investigate the success of information systems by considering the aspect of the users’ cognitive suitability (the cognitive fit theory). Furthermore, practically, this study suggests the importance of focusing on users’ skills and competencies and, subsequently, management should do so. Additionally, the TTF recommends a simple proposition that it could be attached immediately into the individuals’ skills and competencies. However, the PJF needs to be deeply embedded in the job’s qualifications and recruitment policies.
Co-Authors Aini, Rias Angelia Pribadi Angelia Pribadi Asriningsih, Rani BAMBANG RIYANTO LS Binsar I. K. Telaumbanua Handoko, Suhery Hendrian Hendrian HENDRIK GAMALIEL I Wayan Nuka Lantara Irfan Nursasmito Jogiyanto Hartono Junaidi , Junaidi Mahsun, Mohamad Nurdiono Nurdiono Rahmat Febrianto Rr. Paramitha Dyah Fitriasari Said Jubran Setiyono Mihardjo Setiyono Miharjo Slamet Sugiri Suparmono Suparmono Vita Kumalasari, Vita Woro Dwi Suryani Woro Dwi Suryani ZAKI BARIDWAN Zaki Baridwan Zaki Baridwan