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All Journal JDM (Jurnal Dinamika Manajemen) Riset Akuntansi dan Keuangan Indonesia NUANSA: Jurnal Penelitian Ilmu Sosial dan Keagamaan Islam Indonesian Capital Market Review Riset Akuntansi dan Keuangan Indonesia
Usman Arief, Usman
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Social Sciences

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Journal : Indonesian Capital Market Review

 1 
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

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Abstract

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.
Systemically Important Banks in Indonesia: Findings From Multivariate GARCH Conditional Value at Risk Arief, Usman; Husodo, Zäafri Ananto
The Indonesian Capital Market Review Vol. 11, No. 2
Publisher : UI Scholars Hub

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We investigate the systemically important banks in the Indonesian financial system usingMultivariate GARCH Conditional Value at Risk (CoVaR). The systemic risk measurement, ΔCoVaR,defined as the change from CoVaR in its benchmark state as a one-standard-deviation event to itsCoVaR under financial distress. We estimate the systemic risk contribution using 21 commercialbanks from January 2007 to December 2018. Our study reveals that the top five ranking systemicbanks are dominated by state-owned banks, and its ranking is consistently the same in the periodbefore, during, and after the global financial crisis. Finally, we empirically find that systemic riskin Indonesia is strongly affected by external factors rather than bank characteristics. Based on this finding, we suggest that the government should maintain the regulation of external effect rather than the domestic effect.
Co-Authors Barsiano, Redik Husodo, Zaafri Ananto Mamduh M. Hanafi