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Ruri Eka Fauziah Nasution
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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. 8, No. 1" : 5 Documents clear
The Performance of Shariah Real Estate Investment Trust and Conventional Real Estate Investment Trust in Malaysia Mohamad, Nor Edi Azhar Binti
Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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Abstract

This study examines the performances of two Real Estate Investment Trust (REITs) structure in Malaysian capital market by comparing the Dividend Yield (DY), Distribution per Unit (DU), Net asset Value (NAV), and Earning per Unit (EU) of shariah REITSs (iREITs) and conventional REITSs (cREITs) from Malaysia perspective. The secondary data are retrieved from Bloomberg's Database for 13 listed REITs in the Bursa Malaysia main board for a five-year period from 2009 to 2013 with yearly observation. Applying One Way-Anova analysis, an Independent Sample Kruskal-Wallis Test is used to determine any differences in the performance of the two REITs structure. The results provide evidence indicating that the two structures have distinctive and significantly different performances. It also indicates the better performance of iREITs compared to cREITs. The results of this study are useful to provide additional evidence towards the viable of Islamic funds as a significant initiative to broaden and deepen the product base of Islamic capital market in Malaysia.
The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation Rahmanto, Fariz; Riga, Muhammad Hira; Indriana, Vika
Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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Abstract

This article contributes to country specific result on the responses of sector stock indices to crude oil price changes. Using linear and asymmetric models and by studying the association of crude oil and stock price, this article aims to explain about the short-term responses of Indonesian sector stock indices to crude oil price changes. Besides, we also try to figure out whether there are asymmetric responses within. Our findings suggest that the strength and the sensitivity of this association vary across sectors, and the effects are positive for all sectors. We also find strong significance of asymmetry reactions for Agriculture and Consumer Goods sector stock returns due to changes in crude oil price
Women in Top Management and Bank Performance: Evidence from Indonesia Sawitri, Hunik Sri Runing; Untoro, Wisnu; Trinugroho, Irwan
Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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Abstract

We investigate the impact of the presence of women in top management on bank performance controlling for bank specific factors, ownership and governance. By making use of sample of 70 Indonesian banks in a cross section study, we find strong evidence that the presence of women in the executives is negatively associated with firm performance. Moreover, we examine the moderating effect of TMT organizational tenure and TMT age. However, only little evidence is found in the effect of our moderating variables.
Bank Income Diversification from Stock Market Perspective: Evidence from ASEAN+3 Natalia, Agnes Helena; Kurniawan, Muchamad Rudi; Firsty, Revinska R.
Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper empirically examines the effect of banks' revenue diversification on the stock-based return and risk measures using data on the ASEAN-5, and addition from China, Japan, and South Korea banking sector. This paper use panel Fixed Effect and robustness test with Random Effect and TSLS. We use non-interest income share as a measure for revenue diversification. We find that revenue diversification has no effect on bank market value but significantly decrease bank total risks. When non-interest income is decomposed, we find that fee-income business has significant positive effect on bank value. Furthermore, it’s important to see characteristic of banks that do diversification, such as bank size and capital. Overall, we give evidence that banks, especially which have big size and good condition on capital, could increase their value and lower their risk by doing diversification in income through non-interest income, especially with fee income and other non-interest income
The Empirical Relationship between Stock Return and Trading Volume based on Stock Market Cycles Christiana, Amanda Melissa; Setiana, Eva; Mamduch, Mamduch
Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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Abstract

In this paper, we use Markov switching autoregressive model and bivariate VAR model to analyze the empirical relationship between stock return and trading volume based on stock market cycles. Using daily data for the IHSG closing price and trading volume from 2010 to 2014, we identify the bull and bear phases in Indonesia stock market, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positive contemporaneous return–volume relationship in both bull and bear markets, which is only significant in bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3) there exists a positive unidirectional causality from stock return to trading volume. In addition, our findings are robust for different sample period and data frequency.

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