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INDONESIA
Indonesian Capital Market Review
Published by Universitas Indonesia
ISSN : 19798997     EISSN : 23563818     DOI : https://doi.org/10.21002/icmr.v14i1.1139
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
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Search results for , issue "Vol. 2, No. 2" : 5 Documents clear
An Investigation of Psychological Factors Inluencing Investment Decision Making Chang, Hsin Hue
The Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This study applies a second-order conirmatory factor analysis (CFA) approach to investigate psychological factors inluencing individuals' investment decision-making. A second-order CFA approach consists of ive irst-order psychological factors in terms of mental accounting, regret avoidance, self-control, heuristic and overconidence, and one second-order factor in terms of investment decision-making. Quantitative data was yielded by the questionnaire, and an effective sample of 752 responses was used to execute the estimation procedure. The results reveal that there exist statistically signiicant relationships between ive psychological factors and investment decision-making. Investors are likely to consider a product with different functions as one with different mental accounts (gains). Thus, inancial institutions are advised to provide their potential customers with multi-function products. Since self-control is a signiicant self-imposed mechanism for investment decision-making, inancial institutions can merchandise products that can help their customers to execute the self-imposed rules of thumb.
Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009) Wahyudi, Imam; Robbi, Abdu
The Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper studies trading volume of 206 recorded and publicly traded bonds in Indonesian Capital Market on January 4th - March 9th 2009 observed period. The data covers almost all trading data in the market and all brokers that exist. The microstructure data used in this study is a complete understanding for almost every phenomenons in the market, and thus could explain more about bond liquidity. We ind that some bonds are actively traded and most are rare. We also construct some determinant facto tests of bond trading volume, included descriptive statistic, GLS, and other formal test. We ind that bonds with larger par value and more seasoned tend to have smaller trading volume. We also ind that private bonds are actively traded more than public bonds (both government institution and private institution bond). Interest rate risk and bond price volatility are positively inluence bond trading volume, but opposite for bond rating. We ind that bond with higher probability to default have smaller trading volume. While comparing the bond volume data with stock price data, we ind that the relationship in two markets is not linier as the convenient theory in inance said.
Estimating Structural Models of Corporate Bond Prices in Indonesian Corporations Suardi, Lenny; Syamsudin, M.
The Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper applies the maximum likelihood (ML) approaches to implementing the structural model of corporate bond, as suggested by Li and Wong (2008), in Indonesian corporations. Two structural models, extended Merton and Longstaff & Schwartz (LS) models, are used in determining these prices, yields, yield spreads and probabilities of default. ML estimation is used to determine the volatility of irm value. Since irm value is unobserved variable, Duan (1994) suggested that the irst step of ML estimation is to derive the likelihood function for equity as the option on the irm value. The second step is to ind parameters such as the drift and volatility of irm value, that maximizing this function. The irm value itself is extracted by equating the pricing formula to the observed equity prices. Equity, total liabilities, bond prices data and the irm's parameters (irm value, volatility of irm value, and default barrier) are substituted to extended Merton and LS bond pricing formula in order to valuate the corporate bond.These models are implemented to a sample of 24 bond prices in Indonesian corporation during period of 2001-2005, based on criteria of Eom, Helwege and Huang (2004). The equity and bond prices data were obtained from Indonesia Stock Exchange for irms that issued equity and provided regular inancial statement within this period. The result shows that both models, in average, underestimate the bond prices and overestimate the yields and yield spread.
Determinants of Financial Behaviours among Malaysians Ahmad, Zauwiyah; Simun, Maimun; Masuod, Md. Shukor
The Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

The importance of financial literacy in promoting good financial behaviour has been established in previous studies. Nonetheless, a study that speciically analyses Malaysian or Asian general public is very rare, despite various cases involving bankruptcies, suicides and harassment that result from improper financial decisions within the region. This study focuses on Malaysians' financial literacy and inancial behaviour. It is hypothesized that inancial behaviour is signiicantly correlated with financial literacy. It is also expected that Malaysians' inancial behaviour and financial literacy vary signiicantly among those from different education and income levels. A quantitative approach was adopted for this study, utilizing questionnaire survey as the main research instrument. Results showed signiicant, positive correlation between financial literacy and financial behaviour. Moreover, less educated individuals and lower income earners were found to have lower financial literacy. This paper provides a discussion on educational programmes that could be conducted in order to enhance the public's financial literacy and promotes good financial practices, especially among these groups of individuals.
Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004 – March 2009 Mangiring, Boniarga; Husodo, Zäafri Ananto
The Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper explores investment styles and risk exposures of mutual funds in Indonesia using Sharpe's return-based style analysis, a quadratic optimization of an asset class factor model, proposed by William F. Sharpe in 1992. The research observes nine sectoral asset class indexes and ifteen survivor Indonesian equity funds within April 2004 - March 2009. The results suggest that the infrastructure sector has the biggest exposure on average. This study also measures the relative performance of the funds with respect to their style benchmarks. The results indicate that the nine funds have been able to beat their style benchmarks on average. From all funds, Fortis Ekuitas is the best fund based on its average monthly selection return.

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