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INDONESIA
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. 2" : 5 Documents clear
Ten-Year after the Asian Financial Crisis: Understanding Spread Determinants on New Emerging Market Bonds Ugut, Gracia S.
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
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
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
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
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.

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