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Departemen Manajemen, FEB Universitas Indonesia, Jl. Prof. DR. Sumitro Djojohadikusumo, Kukusan, Kecamatan Beji, Kota Depok, Jawa Barat 16424
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INDONESIA
Indonesian Capital Market Review
Published by Universitas Indonesia
ISSN : 19798997     EISSN : 23563818     DOI : https://doi.org/10.21002/icmr.v14i1.1139
Core Subject : Economy,
Economics, Econometrics & Finance
The intent of the Editors of The Indonesian Capital Market Review is to discuss, to explore, and to disseminate the latest issues and developments in Empirical Financial Economics particularly those related to financial frictions in the Emerging Markets. The topics cover capital markets, financial institutions and services, corporate finance, risk modeling and management, market microstructure in financial markets, Islamic finance, behavioral finance, and financial crisis. By submitting your work to the Indonesian Capital Market Review (ICMR), the author(s) automatically agree to transfer the copyright to ICMR, if the submitted paper is accepted for publication.
Arjuna Subject : Ilmu Ekonomi, Ekonometrika dan Keuangan (semua kategori) - Keuangan
Articles 146 Documents
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R&D Expenses and Share Value in The Japanese Stock Market Nivoix, Sophie; Ngunyen, Pascal
The Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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Abstract

The growing influence of technology in business activities is driving many firms to devote a greater amount of resources to research and development. It is therefore crucial to understand how the stock market evaluates the benefits of R&D. In this paper, our aim is to investigate whether Japanese investors have rewarded firms that heavily invest in R&D. We first document that R&D expenses have remained fairly stable relative to sales in the past eight years, but with large variations within and between industries. We then show that R&Dfirms have achieved a higher return relative to non-R&D firms. However, our regressions and investment simulations indicate that the relation between R&D intensity and stock returns is not significant, suggesting that the Japanese stock market is semi-strong efficient.
Intraday Speed of Adjustment and Realized Variances in the Indonesia Stock Exchange Husodo, Zäafri Ananto; Henker, Thomas
The Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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Abstract

We examine the intraday trading and price dynamics for frequently traded stocks at the Indonesian Stock Exchange. Using trade price, time series generated at one, two, three, five, ten, fifteen, thirty and sixty-minute intervals, we estimate the speed of adjustment and the corresponding realized variance of these series. The objective of the estimation is to infer the noise impact to the deviation of observed prices from their fundamental value. The result from the speed of adjustment estimate is consistent with the realized variance estimator. Both conclude that the 50 most frequently traded stocks in the Indonesia Stock Exchange adjust to new information within 30 minutes. At the interval, the coefficient of the speed of price adjustment is insignificantly different from zero implying negligible noise impact to the observed price. Concurrently, the realized variance starts to stabilize at 30-minute interval purporting fading impact of noise to the realized variance estimate. The evidence justifies the use of realized variance at various intervals as a reliable indicator of price discovery rate in the Indonesia Stock Exchange
Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets Febrian, Erie; Herwany, Aldrin
The Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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Abstract

Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The concern becomes more complicated when one tries to use the forecasting for asset distribution and risk management purposes in the linked regional markets. This paper aims at observing the effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent capital markets, i.e. STI, KLSE, and JKSE. In this paper, we evaluate eleven different models based on two classes of evaluation measures, i.e. symmetric and asymmetric error statistics, following Kumar's (2006) framework. We employ 10-year data as in sample and 6-month data as out of sample to construct and test the models, consecutively. The resulting superior methods, which are selected based on the out of sample forecasts and some evaluation measures in the respective markets, are then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI are GARCH (2,1), GARCH(3,1), and GARCH (1,1), respectively. We also find that international portfolio investors cannot benefit from diversification among these three equity markets as they are cointegrated.
Are South East Asia Countries Capital Markets Characterized by Nonlinear Structures? An Investigation from Indonesia, Philippine and Singapore Capital Market Indices Bakara, Minarnita Yanti Verawati; Hermanto, Bambang
The Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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Abstract

This research paper tries to detect the nonlinear structure in the South East Asia Countries Capital Markets. The capital markets of three South East Asia Countries are chosen: Indonesia, Philippine, and Singapore. Daily return data of Capital Markets composite indices are observed: Straits Times Index (STI) of Singapore Exchange from January 04, 1985 to December 31, 2007, Pilipino Stock Exchange Index (PSEi) of Philippines Stock Exchange from March 1, 1990 to December 31, 2007 and Jakarta Composite Index (JCI) of Indonesia Stock Exchange from January 05, 1988 to December 31, 2007. Should nonlinearity be found, the outcomes of each observation are compared to analyze the implications of each country in global, regional and local position of their competition in the continuously changing world of interdependency environment. The implications of nonlinearity finding in the three ASEAN countries capital markets to the current issues of AFAS on Financial Services, Harmonization among ASEAN countries capital markets in the ASEAN region and ASEAN integration and liberalization on Financial Services are analyzed. BDS statistic and R/S Analysis as our tools for nonlinearity testing are applied. Nonlinearity evidences in Jakarta Composite Index, Pilipino Stock Exchange Index and Straits Times Index are found.
Structural Model of the IDX Credibility Wintoro, Djoko
The Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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Abstract

Indonesia Stock Exchange (IDX) needs to increase its credibility for the purpose of increasing favorable investment environment for both domestic and foreign investors. The perception of stockbrokers is used to develop structural model of the IDX credibility as measured by stock trading volume and frequency. Factor analysis overview has found three important group regulations: stock trading services, stock trading protection, and stock trading efficiency - which are influent to the credibility of IDX. Structural equation modeling analysis confirms that those three group regulations positively influence the credibility of IDX.
Ten-Year after the Asian Financial Crisis: Understanding Spread Determinants on New Emerging Market Bonds Ugut, Gracia S.
The Indonesian Capital Market Review Vol. 1, No. 2
Publisher : UI Scholars Hub

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Abstract

The spread determinants of emerging market bonds have shown some similarity with the non-investment grade bonds. In the study, the author found that there are significant numbers of quantitiable factors to explain the variance in the risk premium. The factors were classified into company speciic variables and macroeconomic variables, such as rating, term, and secondary market spread, interest rate change and rising price of commodities. For the unexplained variance in risk premiums, the study suggested some explanation on the underwriter's effectiveness in presenting the issuer to the investors and correlation of the emerging-market debt to the other asset classes.
How the Indonesia Stock Exchange Reacts to Information: A Speed of Adjustment Coeficients Study Peranginangin, Yessy
The Indonesian Capital Market Review Vol. 1, No. 2
Publisher : UI Scholars Hub

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Abstract

This study applies the ARMA model to estimate the speed of adjustment coeficients, as suggested by Theobal and Yallup (2004), in the IDX. There is not suficient evidence to conclude that the IDX overreacts to information. However, the indings suggest that the market either underreacts or fully adjusts to information. The IDX displays signiicant underreactions at weeky intervals that occur after the full adjustment. Investors' reaction is not sensitive to the size and liquidity of the indices. Size alone could not provide suficient explanation for the different adjustment pattern across sector indices.
The Relationship between the Movements of Capital Markets in Developed Economies and Their Emerging Market Counterparts in The Asian Paciic Region Azizah, Noor Azlinna; Ahmad, Zamri
The Indonesian Capital Market Review Vol. 1, No. 2
Publisher : UI Scholars Hub

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Abstract

This research revisits at the relationship between the movements of capital markets in developed economies and their emerging market counterparts in the Asian Paciic region using market indices of the American, British, Malaysian, Singaporean, Mainland Chinese, Hong Kong Special Administrative Region (SAR), Indian, Japanese and Australian markets for the periods 1997 to 2007. The Johansen's Cointegration Test, and Vector Correction Model Test were used to determine the long term relationship between the markets. This study inds that the Asian markets are very much inluenced by the events in the United States rather than other developed markets. Of all the markets being surveyed, The South East Asian markets are the most sensitive towards events in their own region and regions outside themselves. Mainland China in the long run is not affected by events outside themselves.
Integration versus Segmentation in Asian Financial Market: The Prospect of Regionalism in Asia Roida, Herlina Yoka
The Indonesian Capital Market Review Vol. 1, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper draws the prospect of regionalism among inancial market in Asia (Indonesia, Malaysia, Philippine, Singapore, China, Hong Kong, Japan and South Korea). The irst part examines the correlation among them that lead to regional integration. The second part shows the possibility of integration or segmentation between Asia countries and world. The next part, tries to draw whether last inancial crises 1997 gave different result to the integration process. The correlation between Asia regional return and world return is tested by F-test (degree of signiicant 5%). The inal part of this paper gives a picture as to how the prospect of integration or segmentation return of Asia and world can initiate a process of economic integration towards a trade block development.
Reporting Intellectual Capital in Annual Reports: Evidence from Indonesia Sihotang, Parulian; Sanjaya, Yulia
The Indonesian Capital Market Review Vol. 1, No. 2
Publisher : UI Scholars Hub

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Abstract

This exploratory study which replicates the content analysis methodology of Guthrie et all (1999, 2004) towards Intellectual Capital (IC) disclosures in the annual report has set several objectives. Primarily, the empirical investigation assesses the extent to which Indonesian listed companies are publicly reporting their IC both the amount and type of information being reported. Secondly, the investigation also examines the extent to which the various categories of IC are represented in the annual reports of the sample companies. Finally, the study explores the extent to which the level of IC disclosures could be related to companies' characteristics such as industry category, age, ownership structure and market capitalization. The sample was Indonesia's 23 largest companies listed in the Jakarta Stock Exchange. In light of research limitations, the preliminary and tentative indings of this study indicate that irst of all, similar to indings worldwide, Indonesian companies have substantial intellectual capital and they do aware and disclose their intellectual capital in the annual reports. Secondly, IC that tends to be most often reported is relational capital, followed by human capital and organizational capital. Thirdly, even though the trend in IC disclosure as a whole is generally increasing, there is no conclusive and predictable pattern found. Fourthly, the IC identiied and reported is inconsistent as no framework available in helping the companies discloses intellectual capital. Fifthly, most of the intellectual capital components identiied are in qualitative format. Sixthly, even though the study did not ind a conclusive evidence regarding the relationship between the level of IC disclosure and company characteristics such as industry, age, ownership structure, and market capitalization, however some indings are noteworthy. Finally, a comprehensive framework is yet to be developed, especially for collecting and reporting IC formation for consistency and comparability purposes.

Page 1 of 15 | Total Record : 146

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