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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. 10, No. 1" : 5 Documents clear
Do Firms Approach the Target Working Capital Requirement? A Case of Pakistan Shaikh, Ruqia; Memon, Pervaiz; Shaique, Muhammad; Hassan, Ehsan ul
Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

The study investigates the dynamism of working capital requirement (WCR) in non-financial firms listed on Pakistan Stock Exchange from the period of 2007 to 2013. The purpose of this research is to analyze whether firms follow the target WCR, to estimate the speed with which firms adjust towards its target WCR and to investigate the firm specific and macroeconomic determinants of WCR. Difference GMM technique is used to analyze the speed and determinants of WCR to avoid the problems of endogeniety and unobservable heterogeneity. The study gives evidence that there is an existence of target WCR in firms of Pakistan and firm require 1.6 years to completely adjust back to target WCR. The factors which are statistically significant in determination of WCR are: the level of economic activity in the country, operating cash flow, profitability, leverage, financial distress, and financing cost. The WCR is measured by net trade cycle of a firm.
The High-Low Intraday Performance of Initial Public Offerings during Global Financial Crisis : Evidence from Malaysian Stock Market Leow, Hon-Wei; Lau, Wee-Yeap
Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

This study investigates the high-low intraday Performance of Initial Public Offering (IPO) during Global Financial Crisis (GFC) from January 2006 to December 2011. Models comprise of hierarchical and dummy variable regressions are evaluated. Our results show: Firstly, it can be observed that intraday IPOs performance are generally lower due to the GFC; Secondly, investors receive 7 to 30 percent IPO intraday returns on average in the first trading day of pre-GFC, -5 to 11 percent during GFC, and -4 to 14 percent in the post-GFC; and thirdly, the GFC does not act as a moderator that worsens the relationship between intraday IPO performance and oversubscription ratio. As for implication, this study dispels the notion that investors should totally shun IPO during GFC period as there are still positive intraday returns among the IPOs.
DCC-GARCH Application in Formulating Dynamic Portfolio between Stocks in the Indonesia Stock Exchange with Gold Robiyanto, Robiyanto
Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

This study tries to form a portfolio by using a method which may accommodate the dynamic of assets correlation and the abnormality of stock return distribution namely DCC-GARCH. The objective of this study is to combine individual stocks with gold, so retail investor can also apply this method. This study using data from January 2009 –December 2017 period. Samples in this study were nine stocks. The results of this study showed that there were two stocks with higher Sharpe Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA-Gold and SMCB-Gold than unhedged portfolio. And there are three stocks with higher Treynor Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA-Gold, SMCB-Gold and UNTR-Gold than unhedged portfolio. This finding proves that the DCC-GARCH application can improve the risk-adjusted return of these stocks when combined with gold
Trading Friction and Spread Decomposition in Indonesian Stock Exchange Nurhayati, Immas; Ekaputra, Irwan Adi; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

We examine the intraday trading and price change for frequently traded stocks in Indonesian Stock Exchange. Using bid and ask price, trade price, number of trade, trade volume, we estimate trading friction and spread decomposition. The objective of the estimation is to infer what is the biggest component of trading friction. The result of 50 most frequently traded stocks in the Indonesian Stock Exchange using trading friction estimator conclude that the average trading friction of high market capitalization and the most relatively liquid stocks, scattered in various fractions price is equal to 1% per year, and the highest trading frictions derived from the information and it is consistent with spread decomposition estimator.
Sensitivity of Liquidity, Investment Decision, and Financial Constraints Hidayat, Riskin; Wahyudi, Sugeng; Muharam, Harjum
Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

This research aims to test the sensitivity level of liquidity and investment opportunity to investment decision between non-financially and financially constrained firms. The sampleon this research is the firms of Jakarta Islamic Index listed on Indonesia Stock Exchange from period 2011 to 2015. There are 13 sample firms obtained with 65 observations. This research uses moderating regresssion analysis. Independent variable is liquidity and investment opportunity, dependent variable is investment decision, moderating variable is financial constrains, and variable control is debt.This research classifies non financially constrains (NFC) and financial constrains (FC) firms into four steps by observing dividend policy, cash flow, debt (leverage), and investment opportunity. The result of research refers that liquidity and investment opportunity have a positive influence to investment decision. Liquidity is more sensitive to investment decision for financially constrained firms. Investment opportunity is more sensitive to investment decision for non-financially constrained firms. The result of robbusness test using sample of the firms LQ 45 period 2011 to 2015 with 23 sample firms obtained with 115 observations also shows the same result and consistent with sample firms in Jakarta Islamic Index.

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