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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. 6, No. 1" : 5 Documents clear
Cointegration and Causality between Financial Development and Economic Growth: Evidence from Morocco Chatri, Abdellatif; Maaruf, Abdelouahab
Indonesian Capital Market Review Vol. 6, No. 1
Publisher : UI Scholars Hub

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Abstract

The debate on the relationship between economic growth and financial development has been steadily growing in these recent years. However, the existing theoretical and empirical literature provides conflicting views in this respect. This Headline topic proposes an empirical investigation of the nature of this relationship in the Moroccan context. More precisely, it explores the cointegrating and the causality issue between economic growth and financial development. The later is measured by largely used indicators. In particular, we use capital market proxy, in addition to the traditional indicators of financial intermediation. The findings show that financial development explains significantly the growth, but the direction of causality depends on the indicator used to measure the financial deepening and the time horizon of analysis (short or long terms)
Searching for Determinants of Pay or Not to Pay Cash Dividend in Indonesia Nur, Triasesiarta; Karnen, Kresnohadi Ariyoto
Indonesian Capital Market Review Vol. 6, No. 1
Publisher : UI Scholars Hub

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Abstract

A dividend decision of a firm is an outcome of various considerations. These considerations differ across time and industry. Based on asymetric information – agency theory thougtht, this study re-examined various variables that have a bearing on the dividend decision of a firm. In addition to examining the impact of corporate fundamentals on dividend policy, the study also analyzed the effect of expropriation trigger variables (family ownership, cash funds, the level of diversification and Related Party Transaction/RPT) on a dividend policy. The results of panel logistic regression indicated that Cash Funds, RPT, Profitability, Size, Growth, Debt and Macroecomics variables are the determinants of the dividend policy for Indonesian listed public companies, observed during 2002 to 2010.
Month of the Year and Pre- Holiday Effects In Indonesia and Malaysia Shari’ah Compliance Malini, Helma; Jais, Mohammad
Indonesian Capital Market Review Vol. 6, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper investigates the existence of two anomalies in Indonesia and Malaysia Shari’ah compliance; the month of the year and pre-holiday effect, and their implication for stock market efficiency. Investing in Shari’ah compliant is different from investing in conventional stock. Conventional stock market followed the capital market set of rules and law, while Shari’ah follows not only followed the capital market set of laws but also the Islamic principles. Most of the previous studies investigated issues related to the conventional stock market, this study take one step further by investigating issue related to Shari’ah compliant instrument and make comparison between both Shari’ah compliance stock market in Indonesia and Malaysia. We document high and significant returns in month and pre-holiday in Indonesia and Malaysia stock market that represent by the Shari’ah compliance. Our result indicate that the month of the year effect is prevalent in Indonesia and Malaysia Shari’ah compliance.
The Impact of Pre-closing Implementation to Price Efficiency in Indonesia Stock Exchange Pradityo, Gilang
Indonesian Capital Market Review Vol. 6, No. 1
Publisher : UI Scholars Hub

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Abstract

Indonesia Stock Exchange has really concerned about improving stock market quality these days. One of the effort is pre-closing trading session implementation. It refers to Decision of the Board of Directors of The Indonesia Stock Exchange Number Kep-00399/BEI/11-2012, regarding Amendment to Rule Number II-A concerning Equity-Type Securities Trading. The rule is effective on 2nd Januar, 2013 and Indonesia Stock Exchange has implemented it since that date. The purposes of pre-closing implementation are to mitigate marking the close, which is the practice of buying security at the very end of the trading day at a significantly higher price than the current price of the security, and to improve market quality. This paper attempts to veryfy whether the impact of pre-closing implementation to price efficiency is positive or not. The result shows that the pre-closing implementation has the positive impact to price efficiency. It reduces the return volatility and market manipulation at the closing time which also means that the pre-closing implementation has effectively improved market quality in Indonesia Stock Exchange.
The Determinant Factors of Real Estate Investment Trust (REIT)’s Performance: Evidence from Asian REITs Mohamad, Nor Edi Azhar Binti; Zolkifli, Ilyas Ariefin Bin
Indonesian Capital Market Review Vol. 6, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper investigates the factors that can influence the Real Estate Investment Trust (REIT)’s performance, paying particular attention to the listed REIT’s in Asian. Samples of 45 Asian listed REITs are selected from five different countries namely Taiwan, Thailand, Malaysia, Hong Kong, Japan and Singapore for 5 years basis from 2007 to 2011 with 225 observations. Study used Net Asset value (NAV) and Return as the proxy for REITs performance while risk, dividend yield, net income and size to represent the determinants variable. Applying correlations and multiple regression analysis, the results provide evidence on the association between NAV and return with risk, dividend yield, net income and size of REITs. Results of this study are hoped to help the investors and portfolio managers to deepen their understanding of the dependence factors that might influence the performance of REITs in Asian.

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