cover
Article Per Year (5 Year)
All
Home Page
OAI Link
Editorial Team
Contact
Reviewer
Google Scholar
Contact Name
Ruri Eka Fauziah Nasution
Contact Email
icmr.feui@gmail.com
Phone
-
Journal Mail Official
icmr@ui.ac.id
Editorial Address
Departemen Manajemen, FEB Universitas Indonesia, Jl. Prof. DR. Sumitro Djojohadikusumo, Kukusan, Kecamatan Beji, Kota Depok, Jawa Barat 16424
Location
Kota depok,
Jawa barat
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. 14, No. 1" : 5 Documents clear
Uncertainty and Banks’ Security Holdings Dang, Van Dan; Nguyen, Hoang Chung
Indonesian Capital Market Review Vol. 14, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

The paper enriches the existing literature on financial intermediaries’ operations in the face of uncertainty by empirically examining the impact of banking uncertainty on banks’ security holdings. Using bank-level data in Vietnam during 2007–2019 to compute a micro uncertainty proxy based on the dispersion of bank shocks, we document that banking uncertainty tends to enhance total security holdings at banks. Decomposing aggregate securities into disaggregate components, we find that safer investments (including government bonds and financial institution bonds) dominate the overall impact of banking uncertainty on security holdings, which completely offset a drop in the volume of riskier investments (including corporate bonds and stocks) in times of higher uncertainty. Furthermore, our analysis reveals that the impact of banking uncertainty on all security holdings is stronger at riskier banks, thereby implying that bank behavior is likely attributable to the precautionary motive.
The Impact of Geopolitical Risk on Corporate Investment: Evidence from Turkish Firms Tan, Omer Faruk; Cavlak, Hakan; Cebeci, Yasin; Güneş, Necati
Indonesian Capital Market Review Vol. 14, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This study analyzes the effects of geopolitical risk on the corporate investment of 164 Turkish manufacturing firms listed in Borsa Istanbul (BIST). The time covers the period from 2005 to 2019, applying the system Generalized Methods of Moments (GMM) estimator. The results indicate that geopolitical risk hurts corporate investment in Turkey. Under uncertainty induced by geographical risk, firms prefer to decline their investment. Additionally, financially constrained (non-dividend, small, young) firms are more negatively affected than financially unconstrained firms. Our findings are robust under alternative measures of geopolitical risk. Overall, this study reveals that geopolitical risk is a significant uncertainty affecting the investment decisions of manufacturing firms in Turkey
Cash Flow and Accrual Anomalies: Evidence from Borsa Istanbul Kaya, Emine
Indonesian Capital Market Review Vol. 14, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This study aims to determine the persistence of earning and its components and whether investors accurately evaluate the information related to the earning and its components. The study covers the firms operating in Borsa Istanbul between 2005-2017 time period. We sort the accruals and cash flows into five portfolios. Then, we employ linear regression and Mishkin test estimations. Moreover, we compare the asset pricing models with nine metrics in explaining the cash flow and accrual anomalies. Linear regression and Mishkin test estimations show that the persistence of earning is high. The other finding is that cash flow and accrual do not correctly reflect on the stock prices. Also, our results show that the financial asset pricing model is successful in explaining the cash flow and the accrual anomalies. As a result, we can see that the financial asset pricing model continues to be an important model in explaining asset prices. On the other hand, our study is different from the other studies since it uses the Fama and French Five Factor Model to determine the cash flow and accrual anomalies.
The Analysis of the Roles of Bitcoin, Ethereum, and Gold as Hedge and Safe-Haven Assets on the Indonesian Stock Market before and during the COVID-19 Pandemic Wijaya, Carla A.; Ulpah, Maria
Indonesian Capital Market Review Vol. 14, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

The uncertainty due to the COVID-19 outbreak has encouraged investors to look for value hedging instruments to minimize risk, which can be in the form of hedging assets or safe-haven assets. In response to it, this study aims to find out whether Bitcoin, Ethereum, and gold can behave as hedging and safe-haven assets before and amid the pandemic in Indonesia. The strategy is by observing the effects of volatility and return of Bitcoin, Ethereum, and gold on the Indonesian stock market. This study employed both quantile regression and simple linear regression models on data of daily closing price taken before and during COVID-19. This study finds that they can be hedge and safe-haven assets during the COVID-19 pandemic in Indonesia. The findings show some significant correlations between assets that can help investors determine which assets can be hedging instruments.
Monetary Policy and Herding Behavior: Empirical Evidence From Indonesia Stock Market Wicaksono, Retno Puspita K.; Falianty, Telisa Aulia
Indonesian Capital Market Review Vol. 14, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This study aims to analyze the role of monetary policy, including the spillover of the US Federal Reserve (Fed) monetary policy, in the existence of herding behavior in the Indonesian stock market. We used beta herding to measure the level of herding behavior and analyze the relationship between monetary policy and beta herding using the VECM model, as well as IRF and FEVD. This study shows that monetary policy plays a role in the existence of herding behavior in the Indonesian stock market. Although the effect of monetary policy on herding behavior is relatively small, Fed monetary policy shocks have a greater effect on the existence of herding behavior in the Indonesian stock market. The credibility of Bank Indonesia (BI) and the Fed may play a role in shaping investors’ expectations. Therefore, policymakers have to take into account the volatility of asset prices in formulating monetary policy

Page 1 of 1 | Total Record : 5

 1 

Filter by Year

2022 2022


Reset
Filter By Issues
All Issue Vol. 17, No. 2 Vol. 17, No. 1 Vol. 16, No. 2 Vol. 16, No. 1 Vol. 15, No. 2 Vol. 15, No. 1 Vol. 14, No. 2 Vol. 14, No. 1 Vol. 13, No. 2 Vol. 13, No. 1 Vol. 12, No. 2 Vol. 12, No. 1 Vol. 11, No. 2 Vol. 11, No. 1 Vol. 10, No. 2 Vol. 10, No. 1 Vol. 9, No. 2 Vol. 9, No. 1 Vol. 8, No. 2 Vol. 8, No. 1 Vol. 7, No. 2 Vol. 7, No. 1 Vol. 6, No. 2 Vol. 6, No. 1 Vol. 5, No. 2 Vol. 5, No. 1 Vol. 4, No. 2 Vol. 4, No. 1 Vol. 3, No. 2 Vol. 3, No. 1 Vol. 2, No. 2 Vol. 2, No. 1 Vol. 1, No. 2 Vol. 1, No. 1 More Issue