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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. 18, no. 1" : 6 Documents clear
Stock Market Reactions to Interest Rate Changes: Evidence from Emerging Markets EREN, Binali Selman
The Indonesian Capital Market Review Vol. 18, No. 1
Publisher : UI Scholars Hub

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Abstract

This study investigates the impact of interest rate decisions made by national central banks, including the Federal Reserve (Fed), and the European Central Bank (ECB), on the stock markets of emerging economies. It analyzed stock market reactions to interest rate hikes and cuts through the use of an event study approach. The findings provided evidence of heterogeneous effects of interest rate decisions by national central banks, the Fed, and the ECB on stock markets in emerging economies. Specifically, the results indicated that, in most emerging economies, stock markets reacted negatively to interest rate hikes and positively to cuts by national central banks. However, contrary to expectations, stock markets in many emerging economies reacted positively to interest rate hikes by the Fed and the ECB, but negatively to their interest rate cuts. These findings offer provide policymakers, investors, and portfolio managers with valuable insights into how interest rate decisions impact stock market dynamics in emerging economies.
The Impact of Shariah Law, Liquidity and Interest Rate on Sukuk Growth in Malaysia in Short and Long run: The ARDL Estimation Al-Fakih, Dheya Hamood Saif; Zakaria, Shahsuzan; Ismail, Md Khairu Amin
The Indonesian Capital Market Review Vol. 18, No. 1
Publisher : UI Scholars Hub

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Abstract

The issuance of sukuk has been steadily increasing over time, underscoring its growing significance and the need for further scholarly examination. As a global leader in the Islamic finance industry and a prominent issuer of sukuk, Malaysia serves as a critical case study for understanding this phenomenon. It is essential to investigate various factors and their impact on the growth of sukuk. The study analyzes the relationship between sukuk growth and factors such as interest rate, liquidity (M1), and Shariah law using monthly data from April 2011 to December 2020 obtained from Thomson Reuters Eikon. The study employs the ARDL model and the Cointegration test, revealing a long-term cointegration relationship among the variables. In the long term, sukuk growth is positively influenced by liquidity (M1) and Shariah law but not by interest rate, while in the short term, all variables show a significant effect.
Identifying Risk-Free Asset Proxies in Companies Listed on the Indonesia Stock Exchange from 2017 to 2023 Using the Zero-Beta Capital Asset Pricing Model Ghazali, Fajri Alan, Mr.; Suardi, Lenny, Mrs.
The Indonesian Capital Market Review Vol. 18, No. 1
Publisher : UI Scholars Hub

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Abstract

This study evaluates Bank Indonesia Certificates (SBI), IndONIA, and gold as zero-beta proxies for Indonesian equities. Using daily returns for 213 firms listed on the Indonesia Stock Exchange (2017–2023) and the Jakarta Composite Index as the market return, we estimate firm-level zero-beta CAPMs and compute Wald statistics test to identify the appropriate risk- free asset proxy for each individual company; and firm-level outcomes are then aggregated under a Bernoulli/Binomial criterion with a 95% threshold. Empirical results show that gold satisfies the zero-beta condition for 207 of 213 firms (97.18%), whereas SBI and IndONIA satisfy it for five (2.35%) and six (2.82%) firms, respectively. The findings indicate that, despite nonzero variance, gold behaves as a zero-beta asset for Indonesian equities during 2017–2023; practitioners may consider gold as an alternative risk-free proxy in CAPM applications, while noting limitations related to daily data frequency, exchange-rate influences, and the need for robustness checks.
Awareness and Decision-Making in Cryptocurrency Investment Among Students in Guwahati: A Comprehensive Study Roy, Rituparna, Dr; Chanda, Anupam, Dr; Basumatary, Bidangsha
The Indonesian Capital Market Review Vol. 18, No. 1
Publisher : UI Scholars Hub

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This study investigates the awareness and decision-making processes related to cryptocurrency investment among students in Guwahati, Assam. Cryptocurrency, a form of digital money designed for online transactions without government or bank oversight, has initiated significant shifts in the global financial sector. The decentralization of cryptocurrencies offers transparency, security, and efficiency, challenging traditional financial systems. Despite the growing global interest in cryptocurrencies, their adoption faces barriers such as limited technological expertise, regulatory uncertainty, and security concerns. These issues are particularly pronounced among students, a demographic increasingly interested in digital currencies but often lacking foundational financial knowledge. The research aims to fill the gap in understanding the factors influencing cryptocurrency awareness and investment decisions among students in Guwahati. The study utilizes both primary and secondary data, collected through structured online forms and face-to-face questionnaires from 120 students across six colleges and universities in Guwahati. It employs descriptive statistics, correlation, and regression analyses to explore the relationships between awareness, investment confidence, and risk perception. Key findings reveal varying levels of cryptocurrency awareness among students, influenced by educational background and access to information. Higher awareness is associated with greater investment confidence and lower perceived risk, highlighting the importance of educational interventions. The study also underscores the need for user-friendly interfaces and regulatory clarity to support informed investment decisions. By addressing educational gaps and leveraging technological advancements, this research aims to empower students with the knowledge and tools necessary for confident participation in the cryptocurrency market. The findings contribute to the development of tailored educational programs and investment platforms, fostering a more informed and resilient investor community amidst the dynamic landscape of digital finance.
Escaping the Crash? The Protective Power of Liquidity in the Pakistan Stock Market Saleem, Sana; Usman, Muhammad; Rafique, Amna
The Indonesian Capital Market Review Vol. 18, No. 1
Publisher : UI Scholars Hub

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Abstract

This study investigates the effect of stock liquidity on the risk of stock price crashes, taking sample of non-financial firms listed on the Pakistan Stock Exchange, from 2009 to 2024. A two-step system GMM estimation is applied to test the hypotheses. The results reveal that greater stock liquidity significantly reduces crash risk, whereas illiquidity amplifies it. Two underlying channels explain this relationship; first, liquidity strengthens block holders’ capacity to intervene, discouraging managerial tendencies to withhold adverse information, second, liquidity enhances price informativeness, limiting managerial discretion to manipulate prices through delayed disclosure of bad news. The findings imply that liquid stocks not only improve internal governance but also contribute to market stability. These insights support regulatory measures aimed at fostering liquidity, as a means of mitigating extreme downside risks in equity markets.
Green Credit, Climate Risk, and Credit Risk in the Indonesian Banking Industry Warninda, Titi Dewi; Widodo, Shelby Devianty
The Indonesian Capital Market Review Vol. 18, No. 1
Publisher : UI Scholars Hub

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Abstract

As the largest archipelagic country, Indonesia's industries and regions are particularly vulnerable to the impacts of climate change. This research examines the effects of green credit policy and climate risk, specifically sea level rise and precipitation, on bank credit risk. Using data from 2019 to 2023 and system GMM, the research results show that the higher the sea level rise and precipitation, the higher the credit risk. The findings of this research also indicate that a higher proportion of green credit lowers bank credit risk, and bank inefficiency strengthens the impact of green credit on credit risk. The results of this research underscore the need to consider climate risk and the impact of green credit on reducing bank credit risk. The results also suggest that banks should enhance their effectiveness in assessing and monitoring loan portfolios.

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