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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 171 Documents
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Examining Causality Effects On Stock Returns, Foreign Equity Inflow, and Investor Sentiment: Evidence From Indonesian Islamic Stocks Ansari, Rizal; Al Hashfi, Umar; Setiyono, Bowo
Indonesian Capital Market Review Vol. 12, No. 2
Publisher : UI Scholars Hub

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Abstract

Our study aims to examine the relation of stock return, foreign equity inflow, and investor sentiment in Indonesian Islamic stocks. We use monthly data from 2012 to 2018 and 109 firms with 9,156 total observations. Considering heterogeneity and endogeneity assumption, our models are estimated by the system generalized method of moment. Our research found a positive bi-directional effect between stock return and investor sentiment on the contemporaneous period and the uni-directional effect in which investor sentiment negatively impacts stock return. Our research also found a between stock return and foreign investor inflow. Last but not least, those imply to asset pricing, trading strategy, and portfolio management in Islamic shares.
Are Foreign Investors Afraid Of State Ownership? Thi, Quynh Nga Nguyen; Tran, Quoc Trung
Indonesian Capital Market Review Vol. 13, No. 1
Publisher : UI Scholars Hub

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Abstract

State ownership may help firms have better access to credit and lower financing costs but it also results in “double agency” problem. This paper investigates whether foreign investors are afraid of investing in firms with state ownership. Our research sample includes 4,079 firm-years from 567 firms listed in Vietnamese stock markets during the period 2008-2017. We employ probit and tobit models to examine how state ownership determines foreign investors’ likelihood to invest and investment magnitude respectively. Furthermore, we continue to examine how an increase in state ownership changes foreign ownership. We find that firms with higher state ownership have lower foreign ownership. Besides, an increase in state ownership reduces foreign ownership. These findings imply that foreign investors tend to avoid investing in firms with high state ownership due to their concern for “double agency” problem.
Impact of Earnings Management Practices on Stock Return Bhutto, Niaz Ahmed; Shaique, Muhammad; Kanwal, Sahar; Matlani, Anjlee
Indonesian Capital Market Review Vol. 13, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper investigates the impact of earnings management (real and accrual) on stock returns ofPakistan stock exchange (PSX) listed companies. The study is done by testing a separate relationship of accrual and real earnings management and their collective relationship with the stock return. The study is conducted on 3900 firm-year observations from the non-financial PSX listed companies for the sample period 2005-17. The findings of the study show that a significant and negative relationship exists between stock returns and real and accrual earnings management. Moreover, the combined impact of real and accrual earnings management on stock return is also found to be significantly negative. This paper could prove a valuable addition to the knowledge of investors because investors can more or less price accrual earning management.
Gold Price, Inflation, and Dollar Exchange Rate: The Case of Gold Investment in Indonesia Rahmansyah, Ilyas Chaidir; Rani, Lina Nugraha
Indonesian Capital Market Review Vol. 13, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper aims to investigate the relationship between gold price, inflation and the dollar exchange rate on gold stock price of PT Aneka Tambang Indonesia. The ARDL time series model is used in the study involving PT Aneka Tambang Indonesia from December 2016 to November 2019. The findings show the price of gold doesn’t have a significant effect on the gold stock price while dollar exchange rate and inflation have a negative effect on the short and long term of the gold stock price of PT Aneka Tambang Indonesia.
Optimal level, Partial Speed of Adjustment and Determinants of Corporate Cash Holding: Evidence from MENA Countries Raghibi, Abdessamad; Thanh, Cuong Nguyen; Oubdi, Lahsen
Indonesian Capital Market Review Vol. 13, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper investigates the existence of an optimal cash level, speed of adjustment, and cash holding determinants. The threshold regression and dynamic model were used in this study on four MENA countries from 2007 to 2018. The findings show there is a nonlinear relationship between cash level and firm’s value which is consistent with the trade-off theory. Furthermore, our study confirms that firms holding cash above the optimal level of having a lower speed of adjustment than the firms with cash levels below the optimal level with size, growth, and net-working capital being key corporate cash determinants. Our results extend the theoretical implications of the trade-off theory to MENA countries and would help corporate policymakers to adjust their cash levels within the thresholds’ levels to maximize their firm value.
Determinant Factors of Liquidity Risk Premium on Indonesian Government Bonds Hartini, Eka Rathmanty Merry; Hanggraeni, Dewi
Indonesian Capital Market Review Vol. 13, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper aims to find the determinant factors of the liquidity risk premium on the Indonesian government bonds. There are two liquidity risk premium proxies to be used, the difference of the yield to maturity and the theoretical-yield of the bonds, and the average bid-ask spread of the bonds. The research used the Random Effect panel-data to define the determinant factors of the liquidity risk premium. The result shows that the liquidity-risk premium of Indonesian government bonds is affected by the bond’s characteristics and the financial market condition. The determinant factors are the bond’s age, coupon rate, remaining life, issued amount, type (Sukuk or conventional), and market volatility. We expect this research will enrich the understanding of the liquidity risk on Indonesian government bonds; so that the authorities and the investors could use this in making their decisions.
Determinants in Investment Behaviour During The COVID-19 Pandemic Kiruba, Angelin S.; Vasantha, Vasantha
Indonesian Capital Market Review Vol. 13, No. 2
Publisher : UI Scholars Hub

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Abstract

This study investigated the psychological behaviour of investors in the stock market during the period of COVID-19. The survey was conducted between April and June 2020, following the lockdown announcement of the Indian Government on 25th March. There were 400 respondents. This paper has attempted to identify the impact on psychological behaviour during the initial stage of COVID-19 in India. The collected data has been used to determine the psychological factors which may have influenced investment decisions. The statistical tools of Cronbach Alpha, factor analysis, descriptive analysis, and multiple regression techniques were applied using the SPSS 21 package. The study has analysed the psychological dimensions of the behaviour when responding to fear, risk perception, risk propensity, investors’ anxiety to market volatility, herding and vaccination updates. The results show that the behavioural response to fear, risk perception, herding and vaccination updates have influenced investors’ decision-making during the COVID-19 pandemic.
Monetary Policy and Corporate Risk-Taking: Evidence From an Emerging Market Tran, Quoc Trung; Truong, Thi Thuy Trang
Indonesian Capital Market Review Vol. 13, No. 2
Publisher : UI Scholars Hub

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Abstract

This study examines how monetary loosening influences risk-taking of companies listed in Vietnamese stock exchanges in the period from 2009 to 2019. Our research sample consists of 4,358 observations from 566 listed firms. Using the Pooled OLS regression model, we find that expansionary policy increases corporate risk-taking. Our research findings also demonstrate that firms with high leverage engage more in risk-taking activities, while firm size, state ownership and foreign ownership negatively affects corporate risk-taking. The research results imply that corporate managers, shareholders and policymakers in emerging markets should consider the nexus between monetary policy and corporate risk-taking levels during their decision-making process.
What Information Needed to Present in a Fundraising Campaign through Equity Crowdfunding Fajarini, Chika; Dalimunthe, Zuliani; Haikal, Shalahuddin
Indonesian Capital Market Review Vol. 13, No. 2
Publisher : UI Scholars Hub

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Abstract

This study aims to determine success factors on equity-based crowdfunding project fundraising in several countries in Asia. We evaluated three categories of factors: campaign characteristics, human capital factors, and social capital factors. We evaluate models using 201 project samples on various platforms from Indonesia, Malaysia, United Arab Emirates, Israel, and South Korea from January 2018 until December 2019. We used Ordinary Least Square (OLS) as the method of hypothesis testing. We found that the most critical variable in the campaign characteristics is the financial information provided. Meanwhile, unless the number of team members, each human capital factor significantly positive to campaign success. Lastly, both social networks and business advisor's presence have a significant positive relationship to crowdfunding project fundraising success. However, we do not found a significantly different pattern between high-income and lower-income countries evaluated.
The Influence of Banking Risk on Share Price and the Moderating Role of Inflation Rate Melliza, Meliza
Indonesian Capital Market Review Vol. 13, No. 2
Publisher : UI Scholars Hub

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Abstract

This research examines the relationship between banking risk and the share price of governmentbanks in Indonesia. This research also discusses the moderating role of inflation towards banking risk and share price. This research employs the multiple regression analysis using the fixed-effect model to estimate the influence of banking risk on the share price and the role of inflation as a moderator variable. The findings reveal that both government and private banks’ liquidity risk positively and significantly influences the share price. Private banks’ credit risk has a positive and significant relationship with share price, while government banks’ credit risk has no significant effect on the share price. Inflation moderates the relationship between government banks’ liquidity risk and share price, but it fails to moderate the relationship between credit risk and share price. This research’s findings not only become guidance for government banks in maintaining their risks but also can be a reference for banking authority in setting banking policy.

Page 13 of 18 | Total Record : 171

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