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Departemen Manajemen, FEB Universitas Indonesia, Jl. Prof. DR. Sumitro Djojohadikusumo, Kukusan, Kecamatan Beji, Kota Depok, Jawa Barat 16424
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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. 4, No. 2" : 5 Documents clear
The Formation of Rational and Irrational Behaviors in Risky Investment Decision Making: Laboratory Experiment of Coping Theory Implication in Investors’ Adaptation Model Wendy, Wendy; Asri, Marwan; Hartono, Jogiyanto
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

This study analyzes the stock investor's rational and irrational behavior formation through Investor's Adaptation model. Hypotheses testings were conducted by manipulating four market conditions using between-subject experimental design. The results supported the hypotheses proposed in this study. When given treatment one (opportunity-high control), investors tended to adapt the profit maximizing strategy (rational). Meanwhile, when given treatment two (opportunity-low control), three (threat-high control) and four (threat-low control), they tended to adapt the profit satisfying strategy (rational-emotional), bad news handling strategy (emotional-rational), and self-preserving strategy (irrational) respectively. The application of rational strategies are intended to obtain personal benefits and profit, while adapting irrational strategy is intended to recover emotional stability and reduce some other tensions. Another finding showed that for the investors, the relatively irrational decision formation was "harder" than that of rational.
Assessing the Efficiency of Jakarta Islamic Index-Linked Investing Salahuddin, Anwar; Hermansyah, Anton
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

The passive investing is getting easier with the fund that mimics indexes or market portfolio. The sharia market instruments is the answer to the need of Muslim investors. In the future, there are possibilities for more index-linked funds, exchange traded funds, and index-based derivatives in Indonesia including their sharia counterpart. We analyze the performance of Jakarta Islamic Index in three aspects, profitability, stability, and efficiency, compared with ordinary indexes, the BISNIS-27 Index and the LQ45 Index. The profitability is analyzed using Fama and French Three Factors model. The stability aspect is analyzed using Sharpe Return Based Style Analysis and Style Drift. The efficiency aspect is analyzed using the simulation of indexes with different assets allocation. The result is the JII needs to tighten the selection criteria for its constituents to be more efficient than the BISNIS-27 and LQ45 indexes and it is better to add fundamental criteria to the constituent selection.
The Impact of 2008 Global Financial Crisis on the Performance of Selected Indonesian Stocks: A Preliminary Study Suparman, Edwin
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

This research is a preliminary study that analyzes the impact of the US financial markets on Indonesian financial markets during the 2008 global financial crisis. It specifically investigates the occurrence of contagion effect in the Indonesian IHSG index and selected LQ45 stocks with the US S&P500 index by the measurement of correlation using simple correlation, EWMA, OGARCH, and DCC GARCH. It also attempts to discuss on the decoupling of Indonesian market and provide recommendations on dealing with future similar events.
A Study of Financial Performance and Stock Return in IPO Underpricing Phenomenon on the Indonesia Stock Exchange (IDX) Irfani, Agus
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

It is widely believed that financial performance of listed companies on stock exchange might potentially affect long-term stock return. However, the impact of financial performance on underpric-ing is still in debate. The purpose of this study is to examine the effect of financial performance on underpricing at the same period and the effect of both financial performance and underpricing on the long-term stock return on the Indonesia stock exchange (IDX). By employing judgemental sampling method, the sample of this reseach includes 43 underpriced stocks taken from the population of 51 initially public offered stocks on the IDX during 2008-2010. This research uses multiple regression technique to test the hypothesis. This study concludes that not all financial performance ratios affect the underpricing and the long-term stock return in 2011. In addition, this study does not find any em-pirical evidence about the effect of underpricing on the long-term stock return.
Does Moving Average Technical Trading Rule Provide Value for Intraday Stock Trading?: Evidence from the Indonesia Stock Exchange Harsanto, Ario; Ekaputra, Irwan Adi
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper analyzes the value of employing simple moving average (SMA) and moving average (MA) technical trading rules for intraday stock trading in the Indonesia Stock Exchange. We test independently SMA[5], SMA[10], SMA[15], MA[5,50], MA[5,150], and MA[5,200] trading rules. We find all three SMAs and MA[5,200] tend to deliver returns greater than the unconditional basic return (UBR), while MA[5,50] and MA[5,150] generate returns less than UBR. We conclude that SMAs are more valuable than MAs as intraday technical trading rules.

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