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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 6 Documents
 1 
Search results for , issue "Vol. 10, No. 2" : 6 Documents clear
Financial development and total factors productivity channel: Evidence from Africa EZZAHID, Elhadj; ELOUAOURTI, Zakaria
Indonesian Capital Market Review Vol. 10, No. 2
Publisher : UI Scholars Hub

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Abstract

We discuss the link between financial development and economic growth through Total Factor Productivity (TFP) canal in African economies. First, we use a composite index to hierarchize financial development in 40 African countries. Then, we study this relationship by using the methodology of panel data based on the Breusch-Pagan LM Test and Hausman Test, to determine the nature of the specific effect, in a panel of 22 economies. The main results of our study show that the development of the financial sector does not promote total factors productivity in low-income and upper-middle-income countries. For the lower middle-income countries, the Finance-TFP relation- ship is significantly positive. The reforms of African financial systems should be designed and directed to increase the adequacy of financial services with the needs of each economy.
Cost of Financial Distress and Firm Performance Widarwati, Estu; Sartika, Dewi
Indonesian Capital Market Review Vol. 10, No. 2
Publisher : UI Scholars Hub

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Abstract

The business performance become an important thing to be main goal of firm activities to get the competitive advantage, but it is contrary with the recession may bring a probability of firm’s decreasing and liquidation. The uncertainty of global economy provides the importance in developing model to monitor, identify and asses potential risks which can threat business sustainability. Cost of Financial Distress (CFD) is one of tools for identifying firm performance decline early risk such as sales growth and stock return, so it can reduce the loss possibility before all lead to bankruptcy. This research aims to explain the evidence of CFD in Indonesia by using opportunity loss and consequency to firm performance. The datas used are 231 firms of Indonesia Stock Exchange (IDX) in 2011 – 2015 and panel regression used for presenting the impact of CFD to firm performance. Consistency of the theory that cost tend to increase following cash flow realization which may be lower in uncertainty of economiy. The analysis finds that Indonesia’s industry have higher CFD and low sales growth after based year of uncertainty economy. The regression result also finds CFD have negative impact to firm’s sales growth. The result propose that CFD can be used as an early detection tool for reducing loss possibility of firm’s market share.
Effects of Corporate Governance and Capital Structure on Firms’ Performance: Evidence from Major Sectors of Pakistan Ahmed, Farhan; Talreja, Suman; Kashif, Muhammad
Indonesian Capital Market Review Vol. 10, No. 2
Publisher : UI Scholars Hub

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Abstract

This study aims to examine the effects of corporate governance and capital structure on firm’s performance. Panel pooled regression method were applied on annual data of two major sectors: automobile & fertilizers from 2006 to 2016. Findings show that board size have positive relationship & audit committee has negative relationship with profitability of automobile sector and vice versa for fertilizers sector. Capital structure is measured by current ratio, debt to equity, short term & long term debt whereas profitability is measured by ROA and ROE. Positive relation of current ratio and profitability of both sectors is observed and the negative relationship of debt to equity of both the sectors has been observed whereas short and long-term debt has no significant relationship in fertil- izers sector. The results should be of great importance to investors, creditors, financial analysts and academicians especially after global financial crisis and collapses of giant organizations worldwide.
Long Memory in the Indonesia Stock Exchange Panggabean, Martin P. H.
Indonesian Capital Market Review Vol. 10, No. 2
Publisher : UI Scholars Hub

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Abstract

The aim of this study is to investigate the existence of long-memory process in the Indonesia stock market. This study provides two major contributions and one anomaly. First, this is the first study on long-memory conducted on the Indonesia Stock Exchange at individual stocks. Second, this study uses the method of Detrended Fluctuation Analysis (DFA), supplemented by empirical confidence interval introduced by Weron (2002) and Kristoufek (2010). Our analysis uncover an anomaly that three out of thirteen of the most liquid shares in the Indonesia Stock Exchange exhibit mild long memory process in the daily return data. This result, however, is not robust to length of series utilized. All thirteen stocks exhibit long memory process in the absolute daily return which represent risk.
Investigating the Impact of Oil Price and Exchange Rate Uncertainty on Stock Return using Whitening Linear Transformation and Vector Autoregressive Model Farahani, Mohammad; Hanzaee, Alireza Heidarzadeh
Indonesian Capital Market Review Vol. 10, No. 2
Publisher : UI Scholars Hub

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Abstract

This study aims at investigating the impact of oil price and exchange rate uncertainty on stock returns in Tehran Securities Exchange (TSE). To this end, "oil price uncertainty" and "exchange rate uncertainty" are considered as independent variables and "return on stocks" as the dependent variable. Daily data on the price of heavy oil, official exchange rate and Tehran Exchange Price Index (TEPIX) are used from 1 January 2002 to 31 December 2012. To evaluate the impact of oil price and exchange rate uncertainty on stock returns, the uncertainty is measured using Whitening Linear Transformation method and is estimated using the Vector Auto Regressive model. Results of the estimations of the model show that there is a significant relation between the uncertainty of oil price and stock returns and another between the uncertainty of exchange rate and stock returns. Thus, the hypothesis of this study are confirmed by the error level of 0.05
The Extended Fama-French Three Factor Model : Revisited Awwaliyah, Intan Nurul; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 10, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper is aimed to validate the four-factor asset pricing model as an improvement towards the standard Fama-French three-factor model. Using U.S. monthly stock returns data from period January 1963 to December 2010, we construct 25 portfolios and the four-factor model includes the market factor (beta), the size factor (SMB), the book-to-market factor (HML), and the ‘momentum' factor (MOM). Similar time series method as in Fama and French (1993) are employed to elaborate the three-factor model and the four-factor model regression. Our findings show that the four-factor model to some extent has significant capability in explaining the variations in average excess stock returns. Although the R2 extracted from the four-factor model is just slightly higher than the three-factor model, yet it provides suggestive for the robustness of the four-factor model. In addition, our robustness test shows that January seasonal effect is absorbed by the risk factors including the market factors, SMB, HML, and MOM factor. The consistency of the four-factor model in explaining the U.S stock market return variations for the newest data, provide relevance to apply this model in emerging markets data in order to give guidance for investor in understanding the market condition.

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