Articles
<![CDATA[STOCK RETURN AND TRADING VOLUME IN LQ45 INDEX ]]>
<![CDATA[Clara Constantine]]>;
<![CDATA[Kim Sung Suk]]>
<![CDATA[ Journal of Business & Applied Management Vol 10, No 2 (2017) ]]>
Publisher : <![CDATA[Universitas Bunda Mulia ]]>
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DOI: 10.30813/jbam.v10i02.932
<![CDATA[Penelitian ini berfokus hubungan antara return dan volume perdagangan dengan data harian perusahaan diLQ45. Model GARCH Bivariat digunakan untuk mengamati hubungan antara return dan volumeperdagangan. Untuk mengetahui hubungan lebih lanjut antar variabel tersebut, digunakan pendekatantime lag correlation. Untuk verifikasi hubungan tersebut, datanya dibagi menjadi dua kelompokberdasarkan ukuran volume perdagangan dan ukuran perusahaan. Hasilnya menunjukkan bahwakelompok volume perdagangan hanya menyebabkan Granger kausal ke volume perdangangan, tetapisebaliknya tidak. Sementara pada kelompok ukuran perusahaan, masing-masing menunjukkan hasil yangberbeda. Pada ukuran perusahaan kecil dan menengah, return dan volume mempunyai dua arah (bilateral)Granger kausal. Namun, tidak ditemukan hubungan kausal bagi ukuran perusahaan besar. Semuakelompok ukuran volume dan kelompok ukuran perusahaan menunjukkan korelasi lag waktu positif,sehingga terdapat efek anti-leverage.Kata kunci: return, volume perdagangan, Bivariat GARCH]]>
<![CDATA[Altering Tick Sizes, Liquidity, and Stock Return in Indonesia ]]>
<![CDATA[sung suk kim]]>
<![CDATA[ Jurnal Keuangan dan Perbankan Vol 26, No 2 (2022): APRIL 2022 ]]>
Publisher : <![CDATA[University of Merdeka Malang ]]>
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DOI: 10.26905/jkdp.v26i2.7402
<![CDATA[This study aimed to investigate the effect of tick-size altering on liquidity and stock return using the 2000-2018 Indonesia stock market (IDX) data. IDX was used to alter the tick size regime five times during the sample period. The results showed that a decrease in absolute tick size increases the liquidity estimated by the effective spread. The zero-return transaction frequency decreases consistently with a decrease in absolute tick size. The size also negatively impacts the abnormal stock return. Therefore, Fama-MacBeth approaches using individual firms' data show consistent results as the time series methods after controlling characteristic factors.]]>
<![CDATA[Technical Analysis and Value Investment in the Indonesia Stock Market ]]>
<![CDATA[Maria Stevani Sianturi]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ Budapest International Research and Critics Institute (BIRCI-Journal): Humanities and Social Sciences Vol 5, No 2 (2022): Budapest International Research and Critics Institute May ]]>
Publisher : <![CDATA[Budapest International Research and Critics University ]]>
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DOI: 10.33258/birci.v5i2.5631
<![CDATA[This study will aim to investigate whether value investment (using buy and hold strategy by sorting portfolio based on the BM ratio) can generate excess returns in Indonesia and explore whether this value investment when combined with technical analysis (moving average indicator), can further increase the investment value in Indonesia Stock Exchange. The sample in this study includes all companies listed on the Indonesia Stock Exchange, except financial companies, for 2016 to 2021. The data obtained are analyzed using descriptive statistics, and the comparison results will see the effect of risk analyzed using regression. The analysis results show that there is no value investing effect based on the BM ratio on the Indonesian stock market. However, when the BM decile portfolio is traded with the MA (20) timing, the return of each portfolio increases compared to the trading of the BM decile strategy and shows the MA (20) strategy outperforms the buy-and-hold strategy. It was also found that this result was influenced by risk factors for each portfolio using the Fama French three-factor model.]]>
<![CDATA[A Technical Analysis of Indonesia Stock Market (IDX) Composite Index ]]>
<![CDATA[Derry Irahadi]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ Budapest International Research and Critics Institute-Journal (BIRCI-Journal) Vol 5, No 2 (2022): Budapest International Research and Critics Institute May ]]>
Publisher : <![CDATA[Budapest International Research and Critics University ]]>
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DOI: 10.33258/birci.v5i2.4986
<![CDATA[Does technical analysis outperform a buy-and-hold strategy? This study compares the returns of technical analysis based on four indicators (moving average, relative strength index, and moving average convergence divergence) to the returns of a buy-and-hold from January 2008 to September 2021 for the Indonesian Stock Exchange Composite Index (IDX). This study collects daily closing price data, then generates buy and sell signals for each indicator. Daily returns are sorted into buy-day returns and sell-day returns, then compared to overall buy-and-hold returns. For each indicator, four t-tests are applied to see if there is a statistically significant difference between (1) buy-day returns and buy-and-hold returns, (2) sell-day returns and buy-and-hold returns, (3) buy-day returns and sell-day returns, and (4) technical analysis returns and buy-and-hold returns. This study finds that for all the t-tests, technical analysis does not statistically significantly outperform a buy and hold strategy. This finding is consistent with the IDX being weak-form market efficient.]]>
<![CDATA[The Effect of Cultural Heterogeneity and Economic Uncertainty on Cash Holdings ]]>
<![CDATA[Felicia Julianti]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ Budapest International Research and Critics Institute-Journal (BIRCI-Journal) Vol 5, No 2 (2022): Budapest International Research and Critics Institute May ]]>
Publisher : <![CDATA[Budapest International Research and Critics University ]]>
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DOI: 10.33258/birci.v5i2.5630
<![CDATA[The objective of this study is to decide the effect of social variety and monetary vulnerability on cash property in 22 developing business sector nations. We check three significant discoveries out. First off, corporate money property are unfavorably connected with individualism and decidedly connected with uncertainty avoidance. Second, corporate money property are connected with economic uncertainty. We likewise investigate the aggregation and scattering of money property by analyzing the connection between business size, productivity, research and development, net working capital, and market to book, which are all well related while influence is unfavorably related.]]>
<![CDATA[The Impact of COVID-19 Social and Public Activity Restrictions and Vaccination on Stock Returns in Indonesia ]]>
<![CDATA[Willyandi Tairas]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ Budapest International Research and Critics Institute-Journal (BIRCI-Journal) Vol 5, No 3 (2022): Budapest International Research and Critics Institute August ]]>
Publisher : <![CDATA[Budapest International Research and Critics University ]]>
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DOI: 10.33258/birci.v5i3.6065
<![CDATA[This study investigates both coronavirus disease (COVID-19) social and public activity restrictions as well as vaccination impact on stock returns of 351 listed companies in Indonesia. This study utilizes panel-data regression models, with the period of 2 March 2020 to 31 October 2021. Through this study, it is confirmed that lockdown did not significantly impact stock returns of listed firms. However, those listed firms’ stock returns were positively and significantly affected by vaccination.]]>
<![CDATA[GOOD CORPORATE GOVERNANCE AND IDIOSYNCRATIC RISK ]]>
<![CDATA[Metta Dewi]]>;
<![CDATA[Yoga Rima Hadi]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi). Vol 9 No 2 (2022): JMBI UNSRAT Volume 9 Nomor 2 ]]>
Publisher : <![CDATA[FEB Universitas Sam Ratulangi Manado ]]>
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DOI: 10.35794/jmbi.v9i2.39796
<![CDATA[Capital Asset Pricing Model (CAPM) is an asset pricing model that is often used by investors. In CAPM risk comes from two factors, systematic risk and unsystematic risk (idiosyncratic risk). In recent decades the risk of idiosyncratic continues to increase. Although idiosyncratic risk can be eliminated by diversification, several studies have shown that this risk cannot be completely eliminated. This study aims to analyze the effect of institutional ownership, independent board of commissioners, timeliness of financial statements on idiosyncratic risk. The sample of this research is companies engaged in the financial sector consisting of banking companies, insurance companies, securities companies, financing institutions, and others on the IDX in 2013-2018. The result of the analysis shows that the independent board of commissioners has a significant negative effect on idiosyncratic risk. Institutional ownership has a positive effect and timeliness of financial statements has a negative effect, but both are not statistically significant.]]>
<![CDATA[PENGGUNAAN INDIKATOR ANALISA TEKNIKAL PADA PASAR SAHAM DI INDONESIA ]]>
<![CDATA[Derry Rijken Irahadi]]>;
<![CDATA[Maria Stevani Sianturi]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi). Vol 9 No 2 (2022): JMBI UNSRAT Volume 9 Nomor 2 ]]>
Publisher : <![CDATA[FEB Universitas Sam Ratulangi Manado ]]>
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<![CDATA[Penelitian ini menggunakan indikator Moving Averages, Relative Strength Indeks, Stochastic Oscillator, Parabolic Stop and Reverse, Moving Average Convergence Divergence, dan Rate of Change untuk menyelidiki kegunaan pendekatan Analisa Teknikal di pasar modal Indonesia. Indikator analisa teknikal diterapkan pada tiga indeks yaitu Indeks Harga Saham Gabungan, Indeks Sri Kehati, dan LQ45 selama periode 30 April 2010 sampai dengan 30 April 2021. Indikator analisa tekniknal yang paling baik dalam strategi trading adalah SMA 3 dari Stochastic-14 yang dapat menghasilkan return tahunan melebihi indeks sebesar 13.239% untuk IHSG, 25.043% untuk SRI-KEHATI, dan 20.664% untuk LQ45. Hasil dari analisa robustness menunjukkan bahwa indikator analisa teknik lebih menguntungkan untuk sub periode 2 (1 November 2015 s/d 30 April 2021) daripada sub periode 1 (30 April 2010 s/d 31 Oktober 2021).]]>
<![CDATA[Effect of Loss Aversion on Company Performance in Indonesia ]]>
<![CDATA[Grace Turangan]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi). Vol 9 No 3 (2022): JMBI UNSRAT Volume 9 Nomor 3 ]]>
Publisher : <![CDATA[FEB Universitas Sam Ratulangi Manado ]]>
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DOI: 10.35794/jmbi.v9i3.39800
<![CDATA[The loss aversion bias tends to be done by investors to avoid losses that will psychologically be felt greater than the gain they receive. The exploration on this research in Indonesia, is to see how the impact of investor loss aversion to company economic performance. Using quarterly observation data of 7,535 on 190 companies that are still active, exclude the financial sector and registered as members of KOMPAS-100 during the period 2009-2019. In this research, a regression model with panel data, developed to test the hypothesis which formed on this research, by using two dependent variables ROA and Tobin's Q to see if both variable are supporting the previous research. The results of empirical research prove that both models formed proved that loss aversion impacted negative affect on both selected dependent variables, whether it is with additional control variable or not.]]>
<![CDATA[The Effect of National Culture on Leverage Decisions in Emerging Markets ]]>
<![CDATA[felicia julianti]]>;
<![CDATA[Sung Suk Kim]]>
<![CDATA[ JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi). Vol 9 No 2 (2022): JMBI UNSRAT Volume 9 Nomor 2 ]]>
Publisher : <![CDATA[FEB Universitas Sam Ratulangi Manado ]]>
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<![CDATA[This research investigates whether cultural variables explain diversity in corporate leverage in developing markets. Adaption in government borrowing, as well as macroeconomic uncertainty and financial sector expansion, play a larger effect. Individualism is highly positive connected with leverage except for short-term debt, while uncertainty-avoidance is negatively correlated with leverage except for long-term debt. We also investigate the buildup and dissipation of leverage by studying the relationship between company profitability, size, market to book, R&D, which all negatively connected while tangible assets remain positively related.]]>
