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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. 5, No. 2" : 5 Documents clear
Trading Mechanisms, Return’s Volatility, and Efficiency in the Casablance Stock Exchange Ferrouhi, El Mehdi; Ezzahid, Elhadj
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper studies the impact of the stock market continuity on the returns volatility and on the market efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanism used is the continuous market which is preceded by a call market pre opening session. Results obtained concerning return volatility and efficiency under the two trading mechanisms show that the continuous market returns are more volatile than the call market returns and 50% of stocks studied show independence between variations.
Response Asymmetry in Spillover Volatility: An Empirical Study in the Indonesia and Singapore Stock Market Saadah, Siti
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

Following the blueprint of the ASEAN integration 2015, the integration of the financial markets in this region will increase. This study investigates the existence of a volatility spillover from the Singaporean stock market into Indonesia, including its transmission pattern. Singapore, as an advanced country in the ASEAN region, has played an important role as the information leader in the market of this region, so that it is very possible that the shocks in the Singapore’s stock market will be transmitted to another stock market in this region. Using TGARCH (1,1) model specification regarding the data of the daily return of the Indonesia market index (IHSG) for the period of January 2008 – August 2012, it is observed that the shock that took place in the Singapore stock market is immediately transmitted to the Indonesia stock market with two important asymmetric patterns. The transmission of the shock from the Singapore stock exchange becomes stronger when this market (1) experiences a negative return, and (2) is in the bearish phase.
CEO Turnover and Market Reaction in Indonesia Setiawan, Doddy; Kee Phua, Lian; Chee, Hong Kok
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

This research examines Chief Executive Officer (CEO) turnover and market reaction in Indonesia. The sample of this research consists of 213 CEO turnover announcements for Indonesia Stock Exchange during 2000–2010 period. T-tests were used to investigate the effect of CEO turnover announcement on abnormal stock return during the event windows periods. The results of this research show that there is positive reaction on the CEO turnover announcements. This research considers both routine and non routine CEO turnover processes. This research finds that both turnover processes have information content to investor. This research also finds positive reaction on the announcements of outsider incoming CEO, while investors do not react on the announcement of insider incoming CEO. Thus, this research provides evidence that CEO turnover announcement have information content.
The Impact of Business Diversification on Performance of IDX Listed Firms Humarseno, Ony; Chalid, Dony Abdul
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

This study analyzes the correlation between business diversification and performances in Indonesian listed companies from 2006-2011. In addition to observing business diversification impact on company’s performance in term of Return on Assets (ROA) and Tobin’s Q, this research also observes the business diversification impact on the performances of different companies at different level. The result of this research indicates that diversification gives negative effect to ROA and Tobin’s Q, while for higher level of diversification, the effect on Tobin’s Q is relatively high. The negative effect of diversification on ROA is higher in the group of companies with higher ROA. The different results show that when using Tobin’s Q as a measure of companies’ performances, diversification gives negative impact to companies’ performance in the intermediate level.
New Liquidity Measurement: Mechanical Approach (Case of Pre Opening Session on IDX) Kholisoh, Luluk
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

The aim of this study is to develop a new liquidity measurement. The mechanical approach is used to measure the liquidity. This study uses trade order base that is more pronounced than conventional ones. To confirm the result of this study, we use pre opening session in the term of event as Kholisoh and Hermawati (2010) and Kholisoh (2011). This study collects trade base and order base intraday data one month period before and after pre opening session was implemented with the 25 most active stocks in LQ45. This study examines the velocity (how fast the order is executed) as new liquidity measurement. The result of this study confirms Kholisoh (2011), but contradicts to Kholisoh and Hermawati (2010) in the same event. The use of “velocity” as a metric of liquidity measurement is better in understanding the theoretical wisdom. This new liquidity measurement can cover the speed of the order to be executed in all capital market.

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