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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. 8, No. 2" : 5 Documents clear
Deposit Insurance and Bank Liquidity: Does Ownership Structure Matter? Trinugroho, Irwan; Muthmainah, Muthmainah; Ariefianto, Mochammad Doddy; Sutaryo, Sutaryo
Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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Abstract

We examine how the level deposit insurance coverage affects bank liquidity. We also test the role of ownership in the relationship between deposit insurance coverage and bank liquidity. This study uses quarterly data of Indonesian banks from Q1:2002 - Q2:2008. We argue that the presence of explicit deposit insurance changes a bank‘s behavior in liquidity management in the form of decreasing asset liquidity. We find some evidence on the negative impact of deposit insurance coverage on bank liquidity. However, little is found on the role of ownership structure. The credibility of deposit insurance system and implicit guarantee are the main policy implications.
Is ASEAN Ready for Banking Integration? Evidence from Interest Rate Convergence Sahul Hamid, Fazelina; Lean, Hooi Hooi
Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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Abstract

Convergence in prices or returns of assets with similar characteristics indicates that the financial market is integrated with regional markets. This paper is the first that test of the movements of interest rates in ASEAN banking sector for the period 1990 - 2012. The empirical analysis is based on a yearly panel of commercial bank interest rate data from 5 ASEAN countries, namely, Indonesia, Malaysia, Philippines, Singapore and Thailand. We assessed the degree and speed of interest rate convergence using beta and sigma convergence method. The findings show that the difference and the dispersion in the interbank rates have reduced since the Asian financial crisis and this trend has become stronger after the Global financial crisis. The findings of this study confirm that interest rates in the ASEAN banking sector are converging. This provides evidence that the ASEAN banking sector is ready for financial integration.
Are The ASEAN-5 Foreign Exchange Market Efficient? Evidence From Indonesia, Thailand, Malaysia, Singapore, and Philippines: Post-Global Economic Crisis 2008 Putra, Aditya Andika; Lindawati, Hanny; Sari, Sarah Fitri
Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper examines market efficiency of foreign exchange markets in South East Asia (Indonesia, Thailand, Malaysia, Singapore, and Philippines) after the global crisis period 2008. The time span covered by the samples are from 2009 to 2014, with the total number of observations for spot and forward exchange rate data amounting to 1565 data points. This study uses three different approaches to examine efficiency within countries and across countries. The result of this study shows that foreign exchange markets in the ASEAN-5 countries are efficient within countries, but have not been efficient across countries, especially when the country has a bivariate relationship with Thailand's foreign exchange market. The main implication of this study is that investors in the ASEAN-5 market cannot obtain abnormal returns using technical analysis on within countries foreign exchange market. In addition, there is no significant differences for participants in the foreign exchange market whether they are using hedging or not hedging.
Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE) Mehrani, Kiarash; Roodposhti, Fereydoon Rahnamay; Nekomaram, Hashem; Saeedi, Ali
Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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Abstract

In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies.
Jakarta Interbank Spot Dollar Rate (JISDOR) as The Reference Rate: Is It Effective? Marwadi, Marwadi; Rokhim, Rofikoh
Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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Abstract

This study analyze the influence of non-deliverable forward (NDF) and the spot rate of USD/IDR against Bank Indonesia reference rate, Jakarta Interbank Spot Dollar Rate (JISDOR). NDF which came earlier than JISDOR is used by the market participant as the reference rate. The simple method of NDF determination had a great impact on the volatility of the rupiah currency, pushing the Bank Indonesia to issue its own reference currency. JISDOR is an indication of the rates issued by Bank Indonesia as the reference rate for the foreign exchange market in domestic and overseas. The method of creating the reference rate is by weighting the average rate of real transactions through a monitoring system which is managed by the central bank. However, the question arises: what should be done by the monetary authority when there is a party outside the jurisdiction issued the NDF rate as a benchmark that may affect the domestic exchange rate of rupiah in accordance with the desired agenda of the party. We use OLS and ARCH/GARCH to see if independent variables have an influence on dependent variable. Granger Causality test is also used to observe whether there are any relations among the variables.

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