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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. 16, No. 2" : 5 Documents clear
The Relationship between Monetary Policy and the Stock Market Cycle: An Empirical Study in Vietnam Tran, Nhung Thuy
Indonesian Capital Market Review Vol. 16, No. 2
Publisher : UI Scholars Hub

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Abstract

The study examines the relationship between monetary policy and the stock market cycle in Vietnam. Using data from 2007 to 2022 and employing a VAR model, we estimate the impact of monetary policy factors on stock market cycle variables. The findings confirm a two-way causal relationship between monetary policy and the stock market cycle. However, the influence of cyclical fluctuations on the monetary policy transmission mechanism is weak, exhibits a lag, and predominantly occurs in the medium and long term. These results indicate that Vietnam's monetary policy requires time to absorb financial shocks and adjust to economic conditions. The study enhances the understanding of monetary policies in stock market regulation and provides evidence of its bidirectional nature concerning the market cycle.
Exploring Mean Reversion Dynamics in Financial Markets: Insights from Hurst Exponent Analysis Hasan, Shifa; Ghosh, Renu
Indonesian Capital Market Review Vol. 16, No. 2
Publisher : UI Scholars Hub

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Abstract

The current study investigates mean reversion and the speed of mean reversion within financial mar- kets at BSE 200 and NSE Nifty 200 for a data set of 20 years (2004–2024). It employs a variety of techniques, including traditional tests like the Augmented Dickey-Fuller (ADF) and Philips-Perron (PP) tests, as well as long-term dependency analysis using the Hurst exponent. The Ornstein-Uhlen- beck process facilitated the speed of mean reversion. Empirical data demonstrates that mean rever- sion processes exhibit Hurst exponent values less than 0.5, suggesting mean reverting behaviour. This signifies the importance of adopting long-term perspectives in decision-making and trading strate- gies for market participants. Additionally, the half-life values for BSE 200 is 52 days whereas it is 51 days for Nifty 200. The research highlights the significance of integrating mean reversion analysis into investment strategies, showcasing its potential for capitalizing on pricing inefficiencies, mitigat- ing downside risks, and enhancing long-term performance.
Determinant of ETF Sharia Performance and the Moderating Role of Fund Size Abadiyah, Fajriyatul
Indonesian Capital Market Review Vol. 16, No. 2
Publisher : UI Scholars Hub

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Abstract

The aim of this research is based on the potential and development of sharia investment products on the Indonesia Stock Exchange, namely the Sharia Exchange Traded Fund in recent years. Sharia ETFs are mutual funds that can be traded on the capital market like shares whose performance adheres to a sharia reference index. Having a hybrid composition that combines the performance of mutual funds and the practicality of shares, makes Sharia ETFs have a special attraction for investors. This research tries to examine the determining factors of fund performance traded on the Islamic exchange which include tracking error, trading volume, index volatility with fund size (AUM) as a moderating variable. Ordinary Least Square (OLS) analysis and moderation analysis (MRA) are used to answer the problem formulation using the Common Effect Model (CEM) approach. The research results show that in the multiple regression results, tracking error and index volatility have a significant negative effect on the performance of sharia ETFs, while trading volume does not have a significant effect on the performance of sharia ETFs. Furthermore, in the moderation analysis, the statistical results concluded that fund size was not able to moderate the relationship between tracking error and Sharia ETF performance, but fund size was able to moderate it in the direction of strengthening the relationship between traded volume and Sharia ETF. performance, but weakens the relationship between index volatility and Sharia ETF performance.
The Response of MENA Country Stock Markets to the Conflict in the Red Sea: Evidence from an Event Study Approach altemur, necati; doğan başar, berna; ekşi, ibrahim halil
Indonesian Capital Market Review Vol. 16, No. 2
Publisher : UI Scholars Hub

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Abstract

The impact of Houthi attacks on commercial vessels in the southern Red Sea and the Gulf of Aden on the stock markets of 10 MENA countries is analyzed using an event study. The event day is 10.01.2024, when the Houthis announced targeting the US navy. Significant results are found regarding stock market efficiency and portfolio investors. The t-test shows that CAR (Cumulative Abnormal Return) values are statistically significant for some MENA countries. Positive abnormal returns are found in Morocco, Bahrain, and Egypt, while negative abnormal returns are found in Lebanon and Tunisia within the event window. In other countries analyzed, no significant effect of the event on stock returns is observed.
Empirical Tests of the Existence of Industry Momentum on the Indonesian Stock Exchange Verda, Irene Natalia
Indonesian Capital Market Review Vol. 16, No. 2
Publisher : UI Scholars Hub

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Abstract

Momentum is one of strategy to generate return for profit seeker. This research was conducted to see the existence of momentum strategy at the industry level with the object of all stocks on the Indonesia Stock Exchange consists of 880 stocks grouped into 11 industries based on ICB (Industry Classifi- cation Benchmark). Research period start in July 2014 until December 2023. There are 6 industry momentum strategies, 3 strategies to form portfolio quarterly and 3 strategies to form portfolio in each semester. Tests are conducted on mean returns and risk-adjusted returns using the Fama-French Three Factor model. The method of forming an industry momentum portfolio for each strategy is done equally-weighted and value-weighted using the prior month’s market capitalization (t-1). The results show positive alpha values, meaning there is an abnormal return generated in the industry momentum strategy up to 1.9% per month. However, the abnormal return is not statistically signifi- cant, which indicates that the existence of industry momentum cannot be significantly explained on the Indonesian stock market.

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