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All Journal Jurnal Keuangan dan Perbankan Jurnal STEI Ekonomi
Prastuti, Doddi
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Economics, Econometrics & Finance Social Sciences

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Covid-19, Structural Breaks, and Capital Market Integration: Indonesian Evidence Suriawinata, Iman Sofian; Setianingrum, Pristina Hermastuti; Prastuti, Doddi; Rusli, Devvy; Pranitasari, Diah
Jurnal STEI Ekonomi Vol 32 No 1 (2023)
Publisher : Bagian Pengelolaan Jurnal dan Penerbitan - Sekolah Tinggi Ilmu Ekonomi Indonesia (BPJP - STIE)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36406/jemi.v32i01.1106

Abstract

The main purpose of this study is to investigate the cointegration between the Indonesian capital market and the selected four international capital markets – namely the Australian Stock Exchange, the New York Stock Exchange, the London Stock Exchange, and the Hong Kong Stock Exchange - with the presence of two structural breaks due to the COVID-19 pandemic. The non-standard Johansen’s, as well as the ARDL methods of cointegration analyses, are applied to five capital market indices - consisting of the Jakarta Stock Exchange Composite Index (JSCI), ASX200, Dow Jones Composite Average (DJC), FTSE 100, and Han Seng Index (HSI) - from January 2019 to December 2020. VEC and ARDL models are employed to investigate the impact of structural breaks on Indonesia’s capital market performance. The results show that there are cointegration and long-run causality relationships between the Indonesian capital market and the four international capital markets during the pandemic, and the structural breaks significantly affect market performance. The COVID-19 pandemic has had a devastating global impact on capital markets, but an effective policy response by the Indonesian government might contribute to the relatively rapid recovery of Indonesia’s capital market.. There are two important implications relating to the findings of this study. Firstly, as capital markets around the world become more integrated, the benefit of international portfolio diversification decreases. However, stock price efficiency among capital markets increases. Secondly, the results of the Granger causality test might be useful for capital market investors in predicting the impact of the performance of one capital market on the performance of other capital markets.
Banks' Core Deposits and Net Interest Margin: Do Size and Ownership Structure Matter? Suriawinata, Iman Sofian; Prastuti, Doddi; Hermastuti, Pristina
Jurnal Keuangan dan Perbankan Vol 27, No 3 (2023): July 2023
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v27i3.9642

Abstract

Banks’ core deposits and net interest margins play important roles in the banks’ value creation process. This study examines the effects of bank size and ownership structure on banks’ core deposits and net interest margins. The mediating role of core deposits funding on the relationship among variables being studied is also explored. Applying a structural equation modeling approach on panel data consisting of 39 conventional banks listed on the Indonesian Stock Exchange during 2016-2020, this study documents several important findings. Firstly, core deposits fundings positively affect banks’ net interest margins. Secondly, bank size has a positive effect on banks’ core deposits fundings, and has a positive indirect as well as total effect on net interest margin. Thirdly, managerial and institutional ownerships have negative effects on core deposits, positive direct effects on bank net interest margin, but negative indirect effects on bank net interest margin. Lastly, the positive direct effects of managerial and institutional ownership on bank net interest margin are totally offset by the negative indirect effects brought on net interest margin (NIM) through core deposits. DOI : 10.26905/jkdp.v27i3.9642
Co-Authors Devvy Rusli Hermastuti, Pristina Iman Sofian Suriawinata Pranitasari, Diah Setianingrum, Pristina Hermastuti