cover
Article Per Year (5 Year)
All
Home Page
OAI Link
Editorial Team
Contact
Reviewer
Google Scholar
Contact Name
Ahmad Mujaddid Ahwali
Contact Email
ahmad.mujaddid71@alumni.ui.ac.id
Phone
-
Journal Mail Official
icmr@ui.ac.id
Editorial Address
Departemen Manajemen, FEB Universitas Indonesia, Jl. Prof. DR. Sumitro Djojohadikusumo, Kukusan, Kecamatan Beji, Kota Depok, Jawa Barat 16424
Location
Kota depok,
Jawa barat
INDONESIA
Indonesian Capital Market Review
Published by Universitas Indonesia
ISSN : 19798997     EISSN : 23563818     DOI : https://doi.org/10.21002/icmr.v14i1.1139
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 146 Documents
 10   11   12   13   14 
The Impact of Trade Openness and Financial Openness on Information Efficiency of Five ASEAN Countries’ Stock Market 2000-2014 Nugroho, Setyo; Danarsari, Dwi Nastiti
The Indonesian Capital Market Review Vol. 11, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This paper investigates the impact of trade openness and financial openness towards informationefficiency of the ASEAN countries’ stock market. The sample consists of the five most developedstock markets in the ASEAN region – Indonesia, Malaysia, the Philippines, Singapore, and Thailand, covering research period of 2000-2014. This study employs panel data analysis in the model. The result suggests that, when Singapore is excluded from the sample, de facto trade openness has a negative impact on information efficiency, while de facto financial openness has a positive impact on information efficiency. De jure measure is shown to have no significant impact on information efficiency.
The Effect of Family Ownership and Control on Dividend Policy of Publicly Listed Firms in Indonesia and Malaysia Ayu, Laras; Viverita, Viverita
The Indonesian Capital Market Review Vol. 12, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

The purpose of this study is to determine the influence of family ownership and family control ona firm’s dividend policy of publicly listed firms in Indonesia and Malaysia. This study applied thegeneralized least square panel data over 2003-2016 and considering the period of global financialcrisis 2008-2010. The results show that a firm with a higher percentage of family ownership paysmore dividend compared to non-family firms. The same effect applies to the percentage of familycontrol. In contrast, we found that higher debt levels will reduce the dividend payment. These findingsindicate that dividend distribution can be used as a policy to lessen agency problems of listed firms.
Volatility Forecasts Jakarta Composite Index (JCI) and Index Stock Volatility Sector with Estimated Time Series Bahtiar, Muhammad Rifki
The Indonesian Capital Market Review Vol. 12, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This study aims to explore the comparative ability of forecasting models and the time series volatility of capital markets in Indonesia using JCI daily index data and sectoral indices from January 2010 to December 2014. The use of ARCH-family ARCH model (1.1) and GARCH (1.1) used to capture symmetrical effects, while TGARCH (1.1), EGARCH (1.1), APGARCH (1.1) on asymmetric effects. The results show that JCI return has an asymmetrical effect and the closest forecasting model is EGARCH (1.1). Returns for AGRI, MINING, BASICIND, INFRA, FIN, TRADE indices also have asymmetrical effects but are modeled with TGARCH (1.1). Meanwhile, the MISCIND, CONSUMER, PROPERTY indexes have a symmetrical effect and are modeled with GARCH (1.1). These models can explain forecasting closest to the real as well as provide guidance investors in the Indonesia capital market as one of the emerging markets
Capital Market and Financial Development on Growth: A Panel ARDL Analysis Appiah, Michael; Frowne, Derrick Yaw Idan; Tetteh, Derrick
The Indonesian Capital Market Review Vol. 12, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This study evaluates the influence of capital market development and financial development ongrowth in the three West African countries. Data used for the research is from the World Bank and Pen World Table (PWT). This research uses the Panel ARDL test to examine the long-term relationship, as well as the error correction model to analyze the existence of a short-term relationship. The results show that in both the long term and short term, there is a negative influence of capital market development on economic growth. On the same line, in the long term, financial development is also negatively associated with growth and has no significant impact on economic growth. The ECM results indicate that there is a long-run causality effect between capital market development, financial development, and economic growth.
Determinants and Prediction Accuracy of Price Multiples for South East Asia: Conventional and Machine Learning Analysis Joshi, Himanshu; Chauha, Rajneesh
The Indonesian Capital Market Review Vol. 12, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

The present study evaluates determinants of price multiples and their prediction accuracy usingordinary least square (OLS) regression and machine learning-based shrinkage methods for the South East Asian markets. Price multiples examined in the research are price to earnings (P/Es), price to book (P/B), and price to sales (P/S). Data has been collected from Thomson Reuters Eikon. The study recommends that the P/B ratio is the best price multiple for developing a price-based valuation model. Beside fundamental determinants of the multiple, various firm-level control variables, namely, firm size, cash holding, strategic holding, stock price volatility, firms’ engagement in Environment, Social, and Governance (ESG) activities, dividend yield, and net profit margin impact firm’s P/B multiple. Positive coefficients of consumer non-cyclical and healthcare dummies indicate a preference for defensive stocks by the investors. Application of machine learning-based shrinkage methods ensures the accuracy of prediction even with out-of-sample forecasting.
Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index Stevanius, Stevanius; Sukamulja, Sukmawati
The Indonesian Capital Market Review Vol. 12, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

The profit from international diversification to eliminate risks has caused investors to spread their capital to different international stock exchanges. The dynamic relations among stock exchanges indicate the presence of one or two-way relations among the stock exchanges. This happens because of the interdependence and integration that takes place among stock exchanges, such as interdependence among Asian markets. This research aims to analyze and discuss co-integration and co-movement between Asian stock price index and Indonesia. The research design used Vector Error Correction Model. The results of this research prove that in the short-term, there is a relationship between Kuala Lumpur Composite Index, Stock Exchange of Thailand Index, and Hang Seng Index against Jakarta Composite Index. In the results of co-integration test, there are co-integration and co-movement between the capital markets of Malaysia, Thailand, South Korea, Japan, Singapore, and Hong Kong with Indonesia capital market.
Impact of Founder on the IPO Flipping Activity during Pre and Post-Global Financial Crisis Leow, Hon-Wei; Lau, Wee-Yeap
The Indonesian Capital Market Review Vol. 12, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This study examines the impact of the founder on the IPO flipping activity in the Malaysian stockmarket, especially the Main and ACE Market, across the Global Financial Crisis (GFC) periodfrom January 2006 to December 2016. Multiple regression models have been used to evaluate the interaction of the founder and other independent variables. Using three sub-periods, namely pre- GFC, GFC, and Post-GFC, our results show: Firstly, the founder by itself does not have any impact on flipping activity. However, the interaction of founder and oversubscription ratio reduces flipping activity in the pre-crisis period. Secondly, the interaction of founder and firm age is significant during the GFC period. Thirdly, in post-GFC, the interaction between founder-firm age, founder-offer period are essential factors. Overall, it is found that firm age and IPO offer period have an impact on flipping activity in the Main and ACE Market.
How Corporate Political Strategies Are Related to Cost of Debt? Amanat, Aamir; Hunjra, Ahmed Imran; Ahmed, Farhan
The Indonesian Capital Market Review Vol. 12, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

There are many factors, which play a vital role in the financing decisions of firms, and one of the important factors is corporate political strategies. This study examines the impact of corporate political strategies on the cost of debt of non-financial firms listed in the Pakistan Stock Exchange (PSX). Corporate political strategies are measured through political connections. We use panel data of 250 firms from 2001 to 2018. Panel regression is applied to analyze the results. This study finds corporate political strategies negatively affect the cost of debt. This study provides useful policy implications for corporate stakeholders to know the importance of political connections while making the financing decision.
Return Spillover of Asian REITs Hestiawan, Leviana; Prijadi, Ruslan
The Indonesian Capital Market Review Vol. 12, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This research examines the relationship and direction of return spillover of Asian REITs, between REITs and local stock markets, and its effect towards REIT returns. The samples are from Hong Kong, Japan, South Korea, Malaysia, Singapore, Thailand, and Taiwan. This research uses Diebold and Yilmaz’s technique to measure the relationship and direction of return spillover between asset classes. The method also uses OLS regression to test the effects of return spillover on REIT returns. The results show that connectedness between Asian markets is low. Japan and Singapore are the strongest influencers. Low connectedness was also found between REITs and the local stock market. In general, net return spillover from Asian REIT markets significantly influence REITs’ return. The results imply that the growth of REIT markets depends on the attractiveness of capital markets in a country. Regulators in developing countries need to improve the capital market environment to enable REIT markets to flourish.
Inter-relation between Indonesian Islamic Capital Market Index and the World Market Indices: Period of January 2009 – December 2017 Bhakti, Dwi Pramaya; Widjaja, Hidajat Sofyan
The Indonesian Capital Market Review Vol. 12, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

The purpose of this study is to investigate the relationship between the Jakarta Islamic Index andthe Shariah World Indices within period of January 2009 to December 2017. This study is conducted using vector autoregressive (VAR) method and tawhidi string relationship (TSR) method. The key finding is the conventional Sharia Migration to Sharia in Indonesia through several channel and must be followed by developing the stock market platform as well as Screening on stock shares that follow the principles of sharia. This study found that Middle East investors reflected in the active GCC index in investing in the Indonesian capital market. Under such a phenomenon, the Capital Market Regulators in Indonesia, in this case OJK, must be active in enhancing the Indonesian market among the Gulf countries as well as the OIC (Organizing Islamic Countries). The managerial implications of this study encourage issuers belonging to the Islamic index to continue to improve healthier financial performance while making a breakthrough with the Islamic index in the world, especially the GCC countries.

Page 12 of 15 | Total Record : 146

 10   11   12   13   14 

Filter by Year

2009 2025


Reset
Filter By Issues
All Issue Vol. 14, No. 1 Vol. 13, No. 2 Vol. 13, No. 1 Vol. 12, No. 2 Vol. 12, No. 1 Vol. 11, No. 2 Vol. 11, No. 1 Vol. 10, No. 2 Vol. 10, No. 1 Vol. 9, No. 2 Vol. 9, No. 1 Vol. 8, No. 2 Vol. 8, No. 1 Vol. 7, No. 2 Vol. 7, No. 1 Vol. 6, No. 2 Vol. 6, No. 1 Vol. 5, No. 2 Vol. 5, No. 1 Vol. 4, No. 2 Vol. 4, No. 1 Vol. 3, No. 2 Vol. 3, No. 1 Vol. 2, No. 2 Vol. 2, No. 1 Vol. 1, No. 2 Vol. 1, No. 1 More Issue