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Indonesian Capital Market Review
Published by Universitas Indonesia
ISSN : 19798997     EISSN : 23563818     DOI : https://doi.org/10.7454/icmr
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 5 Documents
 1 
Search results for , issue "Vol. 1, No. 1" : 5 Documents clear
R&D Expenses and Share Value in The Japanese Stock Market Nivoix, Sophie; Ngunyen, Pascal
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
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
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
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
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.

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