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Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific Hayun Kusumah; Marwan Asri; Kusdhianto Setiawan; Bowo Setiyono
Jurnal Keuangan dan Perbankan Vol 25, No 3 (2021): Juli 2021
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v25i3.5822

This study investigates the time-varying integration of stock markets from a global and regional perspective, the consequences of two major global financial crises, i.e., the Asian Financial Crisis and the subprime mortgage, and the Crisis triggered by COVID-19. We contribute to the growing amount of literature on market integration, especially on the role of regional to global market integration. Although regional integration encourages an acceleration of global integration, the effect of a regional factor is not uniform among regions. It is important to understand regional to global market integration and the consequences during the crises. This study employs time-series data from economic territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification. It introduces an alternative measurement of time-varying integration by considering the correlation of regional and global markets using a simple international model, equivalent to the capital asset pricing model (CAPM). The result shows that the market integrations are time-varying both globally and regionally. The domestic markets are affected by the global market and its regional market, as the role of a regional market emerges during the financial crisis period. We find the different responses of stock markets during the Covid-19 period as a dominant factor to exacerbate the market return globally. In the long run, the upward trend for the regional market integration in both developed and emerging markets is inherent to the global market integration.DOI: 10.26905/jkdp.v25i3.5822

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

Model of Agents-Based Branchless Banking Services Development in Urban and Rural Area Rini Rachmawati; Nur Muhammad Farda; Bowo Setiyono
Indonesian Journal of Geography Vol 52, No 1 (2020): Indonesian Journal of Geography
Publisher : Faculty of Geography, Universitas Gadjah Mada

The banking sector has experienced a far leap related to Information Communication and Technology (ICT)-based services. Among them is e-banking that has been used by the community, especially in urban areas. Likewise, the use of ATMs can be used to provide banking services to the wider community, so that it can replace most of the functions of services in banks. However, in communities outside of urban areas such as rural communities there are still limitations in accessing e-banking and ATM services. Limited use of e-banking because this service must use internet media or smart phones to access. Meanwhile, the limited use of ATMs due to the availability of ATMs in rural areas is not as much as in urban areas, considering that rural areas are areas with low settlement densities. Today, banks in Indonesia have provided branchless banking by enabling agents. Branchless banking is found in urban, suburban and rural areas. In previous research, the existence of branchless banking in the form of agents and their utilization by customers has been identified. From previous studies, maps of agent and customer density and analysis related to the condition of regional accessibility have been produced. This research is a further study focusing on sub districts area with high agent density in both rural, suburban and urban areas. The purpose of this research is to analyze the development model of agent-based branchless banking services. Data was collected through primary data through observation, structured interviews and measurement of coordinates of the location of agents and banking services in the form of ATMs and Banks. The final result is expected to be used as a model for the development of branchless banking services in Indonesia.

Does Institutional Ownership and Bank Monitoring Affect Agency Conflicts? Evidence from an Emerging Market Bagus Dwi Ariyono; Bowo Setiyono
Journal of Indonesian Economy and Business (JIEB) Vol 35, No 3 (2020): September
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22146/jieb.53110

Introduction/Main Objectives: This study examines the effect of institutional ownership, proxied by government and private ownership, and bank monitoring on agency conflicts. Background Problems: The previous literature focused on agency conflicts, particularly those between managers and shareholders in developed markets, with much less evidence being presented from emerging ones. Novelty: We consider the role of creditors (the banks) in mitigating agency conflicts, and the managers’ irresponsible behavior, which in previous studies has been largely under-elaborated. Research Methods: Using 1,525 observations of 305 non-financial companies that were listed in the 2011-2015 period, we employ the generalized least squares method to deal with potential econometric concern such as autocorrelation and heteroscedasticity. Finding/Results: We find that institutional ownership and bank monitoring, proxied by the number of banks and the share of their loans, are negatively related to agency conflicts. Conclusion: Banks and institutional ownership lead to lower agency conflicts. However, one should mitigate free-rider problems emanated from these relationships.

Examining Causality Effects On Stock Returns, Foreign Equity Inflow, and Investor Sentiment: Evidence From Indonesian Islamic Stocks Ansari, Rizal; Al Hashfi, Umar; Setiyono, Bowo
Indonesian Capital Market Review Vol. 12, No. 2
Publisher : UI Scholars Hub

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

Our study aims to examine the relation of stock return, foreign equity inflow, and investor sentiment in Indonesian Islamic stocks. We use monthly data from 2012 to 2018 and 109 firms with 9,156 total observations. Considering heterogeneity and endogeneity assumption, our models are estimated by the system generalized method of moment. Our research found a positive bi-directional effect between stock return and investor sentiment on the contemporaneous period and the uni-directional effect in which investor sentiment negatively impacts stock return. Our research also found a between stock return and foreign investor inflow. Last but not least, those imply to asset pricing, trading strategy, and portfolio management in Islamic shares.

Does Institutional Quality Matter in the Relationship Between Competition and Bank Stability? Evidence from Asia Muizzuddin Muizzuddin; Eduardus Tandelilin; Mamduh Mahmadah Hanafi; Bowo Setiyono
Journal of Indonesian Economy and Business Vol 36 No 3 (2021): September
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Introduction/Main Objectives: This study aims to investigate whether competition impacts bank stability. Furthermore, the study also analyzes the role of institutional quality in a country, such as voice and accountability, political stability, government effectiveness, regulatory quality, the rule of law, and control of corruption, forming the effect of competition on bank stability. Background Problem: Analysis of the relationship between competition and bank stability has been at the center of academic and policy debate. However, the theoretical and empirical research has not concluded whether bank competition leads to more or fewer stable banks. Novelty: We consider institutional quality's role in mitigating the negative impact of competition on bank stability, which has mainly been under-elaborated in prior studies, particularly in using measures from The World Bank’s Worldwide Governance Indicators, which measure how the institutions of each country influence bankers’ and the people's behavior, as part of the cultural system. Research Methods: Using a sample of 427 Asian commercial banks from 2011 to 2019, we employ the generalized method of moments (GMM) estimator and consider loan growth and the cost to income ratio as instrumental variables. Findings/Results: We find robust evidence that competition erodes bank stability. Besides, better institutional quality, especially government effectiveness, regulatory quality, the rule of law, and corruption control in each country are important aspects that promote bank stability and mitigate the negative impact of competition on bank stability. Conclusion: Competition has a negative impact on bank stability. Meanwhile, the quality of institutions can both promote bank stability and mitigate this negative relationship.

The Relationship between Asia Pacific Markets during the Financial Crisis: VAR-Granger Causality Analysis Hayun Kusumah; Marwan Asri; Kusdhianto Setiawan; Bowo Setiyono
Journal of Indonesian Economy and Business Vol 37 No 2 (2022): May
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Introduction/Main Objectives: This study investigates the relationships between equity markets during the Asian financial crisis and the subprime mortgage crisis in Asia-Pacific. Background Problems: The advantages of market integration are under scrutiny in the midst of global financial crises, which have many implications for international asset pricing and regulators to develop strategies to protect economies. During the crises, the equity markets responded with different patterns, and it is important to understand in more detail the market relations during each crisis, especially for the less and more integrated markets. Novelty: We provide in-depth analysis to compare the market relationships during two extremely different financial crises originating from less integrated markets (i.e., emerging ones) and more integrated markets (i.e., developed ones), based on the prices which give a direct measurement and clear interpretation. This research provides a significant contribution by showing new findings in the form of a comparison of market relations during two extremely different crises in the Asia-Pacific region. Research Methods: This study employs time-series data from economic territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification and the United States. We conducted analysis using the vector autoregressive, Granger causality test, and impulse response, to point out the market relationships during the crises or turmoil periods. Finding/Results: The results show that the Asian financial crisis affected the emerging markets more and this indicates the unidirectional causality relationships among them. Meanwhile, the subprime mortgage crisis affected all the markets, but more indicated the bidirectional relationships, especially the developed markets. Conclusion: Although these two financial crises were global in nature, the effects on the region were different. The origin of the shock and the level of market integration affected the market relationships differently during the crises.

DO RISK, BUSINESS CYCLE, AND COMPETITION AFFECT CAPITAL BUFFER? AN EMPIRICAL STUDY ON ISLAMIC BANKING IN ASEAN AND MENA Maharani, Novita Kusuma; Setiyono, Bowo
Journal of Islamic Monetary Economics and Finance Vol 3 No 2 (2018)
Publisher : Bank Indonesia

Basel III guidelines were released in 2010 by the Basel Committee on Banking Supervision (BCBS) as a revision of the previous Basel guidelines with the aim of strengthening the bank's capital and liquidity of banks. BCBS formulate a new policy that is the capital buffer. Capital Buffer is the difference between the minimum capital required by regulators with its overall capital and is considered a "cushion" against the shocks of the financial crisis. This study examine the impact of risk, business cycle, and competition on banks’ capital buffer. This paper used the sample of Islamic banks and conventional banks in ASEAN and MENA in the period 2011-2015 with unbalanced panel data. Using System GMM method to test the characteristics of Islamic banks in managing its capital. The finding indicates that the degree of capital buffer in islamic banks tend to adjust its risk. The result also shows that capital buffer decrease during economic expansion where banks act aggressively by extending their lending activities. The relationship between capital buffer and competition is positive in that the high level of competition to motivate banks to have higher capital.

The Effect Of Firm Efficiency On Firm Value Of Public Companies In Indonesia With It Investments And The Covid-19 Pandemic As Moderating Variables Neng Nurhasanah; Bowo Setiyono
International Journal of Economics Development Research (IJEDR) Vol. 4 No. 4 (2023): International Journal of Economics Development Research (IJEDR)
Publisher : Yayasan Riset dan Pengembangan Intelektual

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37385/ijedr.v5i3.4439

The purpose of the establishment of the company is to maximize wealth for shareholders. The increase in shareholder and company wealth is represented by firm value. The higher the firm value, the higher the wealth of shareholders. The increase in shareholder wealth through increasing firm value is influenced by several factors, including how efficiently the company is managing its resources. The use of information technology (IT) is believed to increase firm efficiency. The rapid increase in the total confirmed cases and the COVID-19 pandemic affected not only health conditions but also gradually led to a global crisis that affected almost every country around the world. Amid increasing uncertainty during the COVID-19 pandemic, firm efficiency is needed by companies to survive. This study aims to determine the effect of firm efficiency on firm value. This research was conducted on companies listed on the IDX for the period 2017-2021. This study uses moderating variables in the form of Information Technology (IT) investment and the Covid-19 pandemic. It also uses control variables consisting of company size, financial leverage, and cash holding. The results of this study showed that IT investment has a significant negative effect on firm efficiency. The Covid-19 pandemic has had a significant negative effect on firm efficiency. Firm efficiency has a positive effect on firm value. This study also finds that IT investment weakens the relationship between firm efficiency and firm value, and the Covid-19 pandemic strengthens the relationship between firm efficiency and firm value.

DO RISK, BUSINESS CYCLE, AND COMPETITION AFFECT CAPITAL BUFFER? AN EMPIRICAL STUDY ON ISLAMIC BANKING IN ASEAN AND MENA Maharani, Novita Kusuma; Setiyono, Bowo
Journal of Islamic Monetary Economics and Finance Vol. 3 No. 2 (2018)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/jimf.v3i2.888

Basel III guidelines were released in 2010 by the Basel Committee on Banking Supervision (BCBS) as a revision of the previous Basel guidelines with the aim of strengthening the bank's capital and liquidity of banks. BCBS formulate a new policy that is the capital buffer. Capital Buffer is the difference between the minimum capital required by regulators with its overall capital and is considered a "cushion" against the shocks of the financial crisis. This study examine the impact of risk, business cycle, and competition on banks’ capital buffer. This paper used the sample of Islamic banks and conventional banks in ASEAN and MENA in the period 2011-2015 with unbalanced panel data. Using System GMM method to test the characteristics of Islamic banks in managing its capital. The finding indicates that the degree of capital buffer in islamic banks tend to adjust its risk. The result also shows that capital buffer decrease during economic expansion where banks act aggressively by extending their lending activities. The relationship between capital buffer and competition is positive in that the high level of competition to motivate banks to have higher capital.

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