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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
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Search results for , issue "Vol. 3, No. 2" : 5 Documents clear
Causal Nexus between Stock Price, Demand for Money, Interest Rate, Foreign Institutional Investment, and Exchange Rates in India: A Post Subprime Crisis Analysis Vyas, Iti; Prasad, Narayan; Mishra, Alok Kumar
Indonesian Capital Market Review Vol. 3, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper makes an attempt to empirically examine the causal nexus between stock price, demand for money, interest rates, foreign institutional investment and exchange rates in India in the post subprime mortgage crisis period. The study employed Granger causality test, Vector Auto Regression and Johansen Maximum Likelihood procedure to examine the short run and long run dynamic interaction among the above mentioned variables for the period January 1993 to May 2009. The major indings of the study are: stock return affects exchange rate return, net foreign institutional investment and growth of demand for money. Growth of demand for money, in turn, affects interest rate. Interest rate is more affected by exchange rate return. Foreign institutional investment also affects interest rate. The co-integration test conirms that there does not exist any long run equilibrium relationship between stock return and exchange rate return
The Behavior and Determinants of Stock Market Index in Indonesia Wuryandani, Gantiah
Indonesian Capital Market Review Vol. 3, No. 2
Publisher : UI Scholars Hub

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Abstract

This research proves that the movement of Stock Market Index (JSX) in Indonesia does not follow random walk. Therefore, certain variables in inancial market inluence the movement of JSX. VECM and ECM testings show that regional index in ASEAN countries and Hongkong as well as exchange rate signiicantly affect JSX movement. This indicates a strong contagious effect of the stock market in Asia on the Indonesian stock market, which joined the exchange rate effects concurrently. On the other hand, monetary policy through Bank Indonesia rate (BI rate) less strongly affects the movement of JSX, albeit signiicant. Implicitly, this indicates that monetary policy transmission path through the stock market is still weak. Given the limited authority to intervene other country's stock market, the policy implication of this study suggests the authorities to maintain exchange rate stability. This especially relates to policies for speculative capital lows. It is the time for the authorities to establish policies to improve the effectiveness and eficiency of inancial markets as inancial intermediation
Moon Effect on Paciic Basin Stock Markets Brahmana, Rayenda Khresna; Hooy, Chee Wooi; Ahmad, Zamri
Indonesian Capital Market Review Vol. 3, No. 2
Publisher : UI Scholars Hub

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Abstract

This is an empirical study on the inluences of moon on seven stock markets, which are Indonesia, Malaysia, United Kingdom, United States, Philippines, Japan, and Thailand. The period is from January 1999 until December 2009 in daily basis. This study investigates the relationship between moon phase and market returns. We divided moon phases into new moon and full moon. While literature mention the relationship between moon phase and market returns, our research reject the null hypothesis in regression analysis. However, the descriptive catches the indication and conirmed previous research. It also proposes that the market is still rational and not moon-mood inluenced. This result is not contending the EMH theorem. Further research is needed in term of investigating the relationship between psychology factors (heuristic bias, information ignorance, and other factors) and investor behavior. The effect of moon on certain anomalies has to examine speciically.
Investors’ Behavior Placing Orders in Indonesia Stock Exchange Syamni, Ghazali
Indonesian Capital Market Review Vol. 3, No. 2
Publisher : UI Scholars Hub

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Abstract

The objective of this research is to analyze the behavior pattern of trading volume at opening and closing of market in Indonesia Stock Exchange. The behaviors pattern is structured by investors' decision in placing buy and sell orders. This research used intraday data transaction history-corporate edition demand and order history stock which included in pre-opening and LQ-45 in Indonesia Stock Exchange on March, April, and Mei 2005. The result of this research is investor place bigger order on the opening and closing markets than period trading. This shows that they are more carefully and more conservative in doing trades on the opening session. This can occur because of the large orders at the market opening is not necessarily for investors to execute the transaction order status match. Research has found that the pattern of investors in making orders morning session has a reverse J pattern and a pattern of J at afternoon session. Reverse J pattern in the morning session subject to lunch time and most of these patterns of behavior are driven by more dominant sell orders in comparison to buy orders, while the afternoon session or the closing of the market is caused by of investors who want to realize higher transaction match. Other implication is investors must be more active in observing all of the information in doing trading on pre opening, during, and closing of market.
Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange Luxianto, Rizky
Indonesian Capital Market Review Vol. 3, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different methods in measuring the performance. The point of momentum or contrarian strategy is selecting winner (stocks with highest gain) or loser stocks (stocks with highest loss) and then buy or sell it based on the research result. This research employed three methods in measuring performance to select winner and loser stocks. The irst method used cross section relative return, while the second method used cross section relative return plus risk component (return divided by standard deviation), and the third method employed historical relative return instead of cross section. The result is that, all of those three methods prove that momentum strategy is effectively applicable for winner stock, so in the next period winner stock will continue to make profit, while for loser stock, it is more effective to use contrarian strategy because in the next period, loser stock will rebound and make proit after suffering from high loss

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