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All Journal ETIKONOMI Jurnal Keuangan dan Perbankan Gadjah Mada International Journal of Business Journal of Accounting and Investment Binus Business Review INTENSIF: Jurnal Ilmiah Penelitian dan Penerapan Teknologi Sistem Informasi JURNAL MEDIA INFORMATIKA BUDIDARMA Indonesian Journal of Artificial Intelligence and Data Mining Prosiding Working Papers Series In Management Jurnal Kreativitas PKM Jurnal Manajemen Jurnal Bakti Masyarakat Indonesia Ilomata International Journal of Management International Journal of Engagement and Empowerment (IJE2) Empowerment Society Jurnal Mahasiswa Karakter Bangsa Seulanga : Jurnal Pendidikan Anak Indonesian Capital Market Review eProceedings of Engineering Madani : Jurnal Pengabdian Kepada Masyarakat Karimah Tauhid

Siti Saadah

Universitas Katolik Indonesia Atma Jaya, Jakarta

Author-ID : 367376

Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Health Professions Industrial & Manufacturing Engineering Law, Crime, Criminology & Criminal Justice Medicine & Pharmacology Neuroscience Nursing Public Health Social Sciences Other

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Volatility Spillover In Stock And Commodity Futures Market: Empirical Analysis In IndonesiaÃ¢â‚¬â„¢s Financial Market Saadah, Siti
Jurnal Manajemen Vol 22, No 2 (2018): June 2018
Publisher : Fakultas Ekonomi dan Bisnis, Universitas Tarumanagara

Volatility spillover between stock markets causes insignificancy of diversification. Therefore, other investment alternatives is required to build an optimal portfolio, one of them being commodity futures. The low correlation between commodity futures and stocks indicates the advantage of diversification in investment portfolio containing both assets. In order to prove the advantage of diversification, author tested the existence of volatility spillover during September 16, 2010 - September 30, 2015. Estimation result using GARCH method indicates the presence of significant volatility spillover from stock exchange to commodity futures exchange. An important implication of this finding is that if the sectoral stock index and commodity futures are incorporated into an investment portfolio, the investor will not have optimal diversification advantage. This is because there is a correlation between performance of both markets as a result of both markets having the same characteristics in response to the shock that is coming.

Prediction of Basic Material Prices on Major Holidays Using Multi-Layer Perceptron Ihsan, Rivan Nur; Saadah, Siti; Wulandari, Gia Septiana
JURNAL MEDIA INFORMATIKA BUDIDARMA Vol 6, No 1 (2022): Januari 2022
Publisher : STMIK Budi Darma

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30865/mib.v6i1.3508

The prediction of the price of basic necessities on major holidays in Indonesia, such as Eid al-Fitr, Christmas, New Year, Chinese New Year, and Eid al-Adha, is something that needs to be observed, because there are often movements in the prices of basic commodities that increase or decrease very drastically. One of the main ingredients experiencing this is eggs, which often experience a significant increase, so it is necessary to make observations in the form of predictions to keep control of fluctuations, especially before and after the big day occurs. In this study, predictions were made on the price of basic commodities on the big day. With the prediction of the cost of goods on the big day, it is hoped that related parties can be assisted in monitoring and stabilizing the movement of basic commodity prices on the market. In this study, a prediction system for the price of basic commodities was produced using the Multi-Layer Perceptron (MLP) method. This MLP method can predict time-series data that experiences a lot of fluctuation. In this prediction, MLP can make predictions on ten prices of basic commodities on major holidays every day. The results of this study were divided into three groups, namely Worst, Average, and Best. The division of these three groups separates which staple ingredients have the closest predictions to their actual values. The Worst group is the group whose prediction results are still quite far from the actual, the Average group which is close to the actual value, and the Best group which has the best results because it is very close to the actual value. With prediction results measured using MSE, the Worst group consisted of cooking oil (MSE 0.00197), beef (0.00186), rice (0.00118), and sugar (0.00100). Then the Average group consisted of eggs (0.00096), red chili (0.00085), chicken (0.00074), garlic (0.00062), and cayenne pepper (0.00056). Finally, the Best group only consisted of Shallots with an MSE of 0.00040.

Value at risk estimation of exchange rate in banking industry Siti Saadah; Marsiana Luciana Sitanggang
Jurnal Keuangan dan Perbankan Vol 24, No 4 (2020): October 2020
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v24i4.4808

More integrated financial sector has made market risk arising from volatility of exchange rate critical for banking industry. In attempt to mitigate such risk, this study aims to measure risk from IDR/USD exchange rate movement using value-at-risk method by comparing results of estimates using standard and asymmetric generalized autoregressive conditional heteroscedasticity models. Using data on the daily exchange rate of IDR to USD between July 31, 2018 and July 31, 2019, this study found that the asymmetric exponential GARCH using generalized error distribution is the best approach to estimate exchange rate risk. Results of the estimate suggest that standard GARCH model generated a more conservative measure of risk than value-at-risk estimated using exponential GARCH model. Value at risk can be one of the risk indicators for risk managers in banks. The choice of a model is likely to depend on the attitude to risk itself. Risk averse character who does not like risk will choose the most conservative method in calculating the VaR. JEL Classification: E44, G4, G11DOI: https://doi.org/10.26905/jkdp.v24i4.4808

The Green Shoe Option’s Effectiveness at Stabilizing the IPO’S Stock Price on the Indonesian Stock Exchange (2000-2013) Siti Saadah; Yunia Panjaitan
Gadjah Mada International Journal of Business Vol 18, No 1 (2016): January-April
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

The increased of price volatility due to positive initial returns will reduce investor confidence and impact on the overall market. Market stabilization mechanism is needed to control the price volatility. This research is intended to explore the effectiveness of Green-Shoe Option in reducing stock price volatility after IPO. This study is done through GARCH model development intended to identify the volatility of IPO shares price. This research compares the volatility price of company shares that apply Green shoe option at IPO with companies that do not apply it. The result of this research on companies that conduct IPO on 2000-2013 periods showed that the green shoe option stabilization program which was used by the issuers was effective in muffing the stock prices’ volatility. Therefore, according to researchers Green Shoe Option stabilization program can be used to prevent or ease the drop of shares price under Public offering.

NILAI TUKAR RUPIAH DAN KINERJA PASAR SAHAM: STUDI EMPIRIK PADA BURSA SAHAM INDONESIA Siti Saadah
Jurnal Keuangan dan Perbankan Vol 20, No 2 (2016): May 2016
Publisher : University of Merdeka Malang

This study examines the impact of rupiah exchange rate movement to the stock market performance in Indone-sia, using a dailytime series data from January 2013-December, 15, 2015. Data shows that the characteristic of volatility clustering (heteroskedastic) is the reason for applicating TGARCH estimation method in this study. By applicating this method, it shows that the fluctuation of rupiah is in a quite deep depreciation during the period of this analysis, although the cause of stocks return declined but did not lead to investment in Indonesia capital market becomes more risky. This is reflected in the empirical findings of this study, that the volatility of stock returns in the Indonesia Stock Exchange does not increase significantly due to the deprecia-tion trend experienced during the analysis period.

Watch Your Neighbor: A Volatility Spillover in ASEAN-5 Stock Exchange sumani sumani; Siti Saadah
Binus Business Review Vol. 10 No. 1 (2019): Binus Business Review
Publisher : Bina Nusantara University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21512/bbr.v10i1.5400

In the process of financial markets integration, this research was conducted to investigate the phenomenon of the transmission of stock return volatility among stock market in five ASEAN countries. Those were Indonesia, Singapore, Malaysia, Philippines, and Thailand. The research was important because when the interdependence of financial markets had increased, changes in asset prices in the market were not only influenced by the shock in the market but also by its response to asset price volatility that occurred in other countries. Information about the volatility spillover between markets was important for investors to the portfolio selection process. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) method was used on a daily time series stock return data obtained by accessing www.bloomberg.com. The result indicates that the shock in Singapore, Malaysia, Thailand, and the Philippines stock market will be transmitted to the Indonesia Stock Market with an asymmetric pattern. It has increased intensity after the implementation of the ASEAN Economic Community in December 2015.

Pandemic and Indonesia Stock Market Performance Intan Surya Lesmana; Siti Saadah
Ilomata International Journal of Management Vol. 2 No. 4 (2021): October 2021
Publisher : Yayasan Sinergi Kawula Muda

This study aims to analyze the impact of the COVID-19 pandemic on Indonesia’s stock market performance. Considering the characteristics of daily stock return data that shows the characteristics of volatility clustering, the analytical method used is to develop a heteroscedastic model specification whose parameters are estimated using the maximum likelihood method. Based on data from March 2020 to January 2021, this study finds that the Exponential-GARCH asymmetric model is the best model compared to the Standard-GARCH symmetric model or the asymmetric Threshold-GARCH model. The inference analysis conducted on the Exponential-GARCH asymmetric model in this study shows that the stock market's performance that is significantly affected by this pandemic is the volatility of its returns. Stock price volatility is one of the important variables in stock market performance. This study produces empirical findings that government policies on social restrictions contribute significantly to suppressing stock market volatility. As for government policies in mitigating the risk of the spread of the epidemic, in this study, it is measured through a stringency index. This index was released by the Oxford COVID-19 Government Response Tracker (OxCGRT) which monitors the government's response to the coronavirus in 160 countries and is a parameter that evaluates the policies taken by a country's government based on nine metrics. This index does not measure the effectiveness of a country's government response, but only the level of tightness. However, the results of the tests carried out in this study did not find a significant impact of pandemic indicators, the number of cases, and the number of daily deaths related to COVID-19 on stock returns.

ANALISIS YIELD SPREAD OBLIGASI BERDASARKAN FAKTOR DEFAULT DAN FAKTOR NON-DEFAULT : STUDI EMPIRIK PADA OBLIGASI KORPORASI DI SEKTOR KEUANGAN Anita Giovanni; Siti Saadah
Prosiding Working Papers Series In Management Vol 10, No 1 (2018): Prosiding Working Papers Series In Management
Publisher : Prosiding Working Papers Series In Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (429.653 KB)

Bond is a financial assets investment instrument in capital market that is relatively new when compared to stock. In Indonesia, the research related to bonds, especially yield spread is very limited, thus it encourages author to analyze yield spread behavior based on several predictors such as SBI rate, bonds rating, return on equity (ROE), debt to equity ratio (DER) and macaulay duration. Multiple linear analysis method which is applicated to cross section data in this research shows that bonds rating and macaulay duration have a significant effect to yield spread on corporate bonds in financial sectors, in other words, investors consider bond rating and duration before agreeing bonds indenture. SBI rate, in the opposite, shows no significant effect on yield spread. This result may happen because of time lag in the transmission monetary policy mechanism process. Financial ratio such as return on equity and debt to equity ratio also show no significant effect on yield spread. It is possibly caused by the default risks of those financial ratio have already reflected on bonds rating, so investors do not consider ROE and DER directly.Keywords: Yield Spread, Bonds, Default, Non-Default

EDUKASI LITERASI KEUANGAN Novia Utami; Siti Saadah; Marsiana Luciana Sitanggang; Teresia Angelia Kusumahadi
Jurnal Bakti Masyarakat Indonesia Vol 5, No 1 (2022): Jurnal Bakti Masyarakat Indonesia
Publisher : Lembaga Penelitian dan Pengabdian kepada Masyarakat, Universitas Tarumanagara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24912/jbmi.v5i1.15269

The program literacy education program aims to increase the knowledge, understanding, and access of the Indonesian people to financial institutions, products, and services. Based on the results of a survey conducted by the Financial Services Authority in 2019, the financial literacy index in Indonesia is still low and only reached 38,03%. The educational program that we organized online through the Zoom platform is intended to support the improvement of public financial literacy, especially the students of SMA Santo Yakobus. They are part of the millennial generation of potential investors who must be given knowledge and understanding about the characteristics, benefit, and risks of various investment instruments that continue to develop from time to time. Attention to the millennial generation is important because data shows that currently the millennial generation is starting to dominate investment activities in several important financial assets. Based on the results of of a descriptive analysis of the respondent’s data on training participants, although they are not yet financially independent, more than 95% of them stated that the training has opened their horizons regarding I have nvestment activity in financial assets. The average score of 3 in the post-test for aspects of financial knowledge, financial behavior, and financial attitude, confirms their statement. The more people who have good financial knowledge, the greater the role of the financial sector in financing the investment in the real sector.ABSTRAKProgram Edukasi Literasi Keuangan bertujuan untuk meningkatkan pengetahuan, pemahaman, dan akses masyarakat Indonesia terhadap lembaga, produk, dan layanan jasa keuangan. Berdasarkan hasil survei yang dilakukan oleh Otoritas Jasa Keuangan pada tahun 2019, indeks literasi keuangan di Indonesia masih rendah dan baru mencapai angka 38,03%. Program edukasi yang kami selenggarakan secara online melalui platform Zoom, dimaksudkan untuk mendukung peningkatan literasi keuangan masyarakat, khususnya siswa-siswi SMA Santo Yakobus. Mereka adalah bagian dari generasi milenial calon investor potensial yang harus diberikan pengetahuan dan pemahaman tentang karakteristik, manfaat, dan risiko dari berbagai instrumen investasi yang terus berkembang dari waktu ke waktu. Perhatian terhadap generasi milenial menjadi penting karena data yang ada menunjukkan bahwa saat ini generasi milenial mulai mendominasi aktivitas investasi pada beberapa aset keuangan penting. Berdasarkan hasil analisis deskriptif terhadap data responden peserta pelatihan, walaupun mereka belum mandiri secara finansial namun ternyata lebih dari 95% dari mereka menyatakan bahwa pelatihan telah membuka wawasan mereka terkait seluk beluk berinvestasi pada financial asset. Rerata skor 3 pada saat post-test untuk aspek financial knowledge, financial behaviour, dan financial attitude menguatkan pernyataan mereka tersebut. Semakin banyak masyarakat yang memiliki pengetahuan keuangan yang baik, maka semakin besar peran sektor keuangan dalam pembiayaan aktivitas investasi di sektor rii

Edukasi Literasi Keuangan Dan Pelatihan Komunikasi Terapeutik Di Stik Sint Carolus, Jakarta Francisca Hermawan; Sri Hapsari` Wijayanti; Siti Saadah; Ambrosius Aprian Tri Putranto
JURNAL KREATIVITAS PENGABDIAN KEPADA MASYARAKAT (PKM) Volume 4 Nomor 4 Agustus 2021
Publisher : Universitas Malahayati Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33024/jkpm.v4i4.3898

ABSTRAK Mahasiswa lulusan kebidanan perlu dipersiapkan untuk terjun ke masyarakat dalam berbinis atau berkarier. Kebutuhan akan pemahaman literasi keuangan dan kemampuan berkomunikasi di tempat mereka akan bekerja sangat dibutuhkan. Karena itu kegiatan ini bertujuan mengedukasi literasi keuangan dan memberikan pelatihan komunikasi terapeutik. Target program ini adalah mahasiswa dan dosen STIK Sint Carolus berjumlah dua puluh orang. Melalui metode tutorial dan diskusi, peserta kegiatan ini menyambut baik dan antusias materi yang disajikan karena relevan dengan kebutuhan mereka saat ini dan masa depan. Mahasiswa mempunyai peluang karier yang besar untuk menjadi wirausahawan dalam bidang pengelolaan klinik kebidanan. Begitu pula mereka akan melayani pasien dan bekerja sama dengan sesama bidan atau dokter untuk menjadi bidan yang terampil. Kegiatan ini menunjukkan adanya minat peserta untuk memahami lebih dalam tentang literasi keuangan dan komunikasi terapeutik. Kata Kunci: Literasi Keuangan, Komunikasi Terapeutik, STIK Sint Carolus. ABSTRACT Students are an asset to be prepared to enter the workplace as a businessman or get the high career. The need for an understanding of financial literacy and the ability to communicate in their world of work is urgently needed. Therefore this activity aims to educate financial literacy and provide therapeutic training. The target of this program is twenty students and lecturers of STIK Sint Carolus. Through tutorial and discussion methods, participants in this activity welcomed and were enthusiastic about the material presented because it was relevant to their needs today and in the future. Students have great career opportunities to become entrepreneurs in the management of midwifery clinics. Likewise, they will serve patients and work together with peers or doctors to become professionals. This activity showed the participants' interest in understanding more deeply about financial literacy and therapeutic communication. Keywords: Financial Literacy, Therapeutic Communication, STIK Sint Carolus.

Co-Authors ABADI Adytia, Diditq Agung Firdausi Ahsan Aini, Anis Nur Ambrosius Aprian Tri Putranto Andy Lasmana Anita Giovanni Azzahra, Rizqina Faisal Hadi, Risyad Farah Afianti Francisca Hermawan Ghibran, Moh Iqbal Gia Septiana Wulandari Hendri Hendri Ida Farida Ihsan, Rivan Nur Intan Surya Lesmana Irma Palupi Kurniawati, Elis Nia Kusumahadi Larasati Larasati Lestari, Risma Fuji Marsiana Luciana Sitanggang Novia Utami Nuning Trihadmini Nurani, Ratih Oktaviana, Yogi Permana, Fikri C Prasetyo Nugroho, Ecky Prasti Eko Yunanto Saputra, Dian Dieniawati Satrio, M Sri Hapsari Wijayanti Stanislaus Suryadi Uyanto Sumani Sumani Susanti Susanti Teresia Angelia Teresia Angelia Kusumahadi Tina Martina, Tina Triana Indrayani Utomo, Felicia Grace Ratnasari Veronika Daniar Febrianti Yohanes Berchman Suhartoko Yulianti, Yuli Yunia Panjaitan Zuhri, Ach

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