Indonesian Capital Market Review
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.
Articles
146 Documents
<![CDATA[Short-run Dynamics Between Foreign Currency and Jakarta Composite Index During Indonesian Presidential Election ]]>
<![CDATA[Ridwan, Muhamad Fahri]]>;
<![CDATA[Lau, Wee-Yeap]]>
<![CDATA[ The Indonesian Capital Market Review Vol. 13, No. 2 ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[This study investigates the dynamics of information flow between foreign currencies and theJakarta Composite Index (JKSE) in the pre-, during and post-2014 Indonesian Presidential elections. Based on a systematic analytical framework, the study provides a clearer picture to link the foreign currencies of trade partners to Jakarta Stock Exchange. Using the VAR model with daily data from 2 January 2013 to 31 July 2015, our results show: First, JKSE appears to be endogenous during the pre-election period. The endogenous relationship implies that the EUR, HKD and CNY influence the benchmark index. Second, JKSE appears to be exogenous during the election year. The exogenous relationship implies information flow from JKSE to six foreign currencies. Third, during the postelection period, there is information flow from the Japanese Yen and Saudi Riyal to JKSE. In addition, there is information outflow from JKSE to three foreign currencies. This study concludes that the foreign currency market is subtly linked to JKSE. Our results imply a need to guard against capital flight during uncertainties as the foreign fund may exit the market. Deeper economic ties can be made with foreign trade partners willing to inject capital during economic recovery in the short run.]]>
<![CDATA[Uncertainty and Banks’ Security Holdings ]]>
<![CDATA[Dang, Van Dan]]>;
<![CDATA[Nguyen, Hoang Chung]]>
<![CDATA[ The Indonesian Capital Market Review Vol. 14, No. 1 ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[The paper enriches the existing literature on financial intermediaries’ operations in the face of uncertainty by empirically examining the impact of banking uncertainty on banks’ security holdings. Using bank-level data in Vietnam during 2007–2019 to compute a micro uncertainty proxy based on the dispersion of bank shocks, we document that banking uncertainty tends to enhance total security holdings at banks. Decomposing aggregate securities into disaggregate components, we find that safer investments (including government bonds and financial institution bonds) dominate the overall impact of banking uncertainty on security holdings, which completely offset a drop in the volume of riskier investments (including corporate bonds and stocks) in times of higher uncertainty. Furthermore, our analysis reveals that the impact of banking uncertainty on all security holdings is stronger at riskier banks, thereby implying that bank behavior is likely attributable to the precautionary motive.]]>
<![CDATA[The Impact of Geopolitical Risk on Corporate Investment: Evidence from Turkish Firms ]]>
<![CDATA[Tan, Omer Faruk]]>;
<![CDATA[Cavlak, Hakan]]>;
<![CDATA[Cebeci, Yasin]]>;
<![CDATA[Güneş, Necati]]>
<![CDATA[ The Indonesian Capital Market Review Vol. 14, No. 1 ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[This study analyzes the effects of geopolitical risk on the corporate investment of 164 Turkish manufacturing firms listed in Borsa Istanbul (BIST). The time covers the period from 2005 to 2019, applying the system Generalized Methods of Moments (GMM) estimator. The results indicate that geopolitical risk hurts corporate investment in Turkey. Under uncertainty induced by geographical risk, firms prefer to decline their investment. Additionally, financially constrained (non-dividend, small, young) firms are more negatively affected than financially unconstrained firms. Our findings are robust under alternative measures of geopolitical risk. Overall, this study reveals that geopolitical risk is a significant uncertainty affecting the investment decisions of manufacturing firms in Turkey]]>
<![CDATA[Cash Flow and Accrual Anomalies: Evidence from Borsa Istanbul ]]>
<![CDATA[Kaya, Emine]]>
<![CDATA[ The Indonesian Capital Market Review Vol. 14, No. 1 ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[This study aims to determine the persistence of earning and its components and whether investors accurately evaluate the information related to the earning and its components. The study covers the firms operating in Borsa Istanbul between 2005-2017 time period. We sort the accruals and cash flows into five portfolios. Then, we employ linear regression and Mishkin test estimations. Moreover, we compare the asset pricing models with nine metrics in explaining the cash flow and accrual anomalies. Linear regression and Mishkin test estimations show that the persistence of earning is high. The other finding is that cash flow and accrual do not correctly reflect on the stock prices. Also, our results show that the financial asset pricing model is successful in explaining the cash flow and the accrual anomalies. As a result, we can see that the financial asset pricing model continues to be an important model in explaining asset prices. On the other hand, our study is different from the other studies since it uses the Fama and French Five Factor Model to determine the cash flow and accrual anomalies.]]>
<![CDATA[The Analysis of the Roles of Bitcoin, Ethereum, and Gold as Hedge and Safe-Haven Assets on the Indonesian Stock Market before and during the COVID-19 Pandemic ]]>
<![CDATA[Wijaya, Carla A.]]>;
<![CDATA[Ulpah, Maria]]>
<![CDATA[ The Indonesian Capital Market Review Vol. 14, No. 1 ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[The uncertainty due to the COVID-19 outbreak has encouraged investors to look for value hedging instruments to minimize risk, which can be in the form of hedging assets or safe-haven assets. In response to it, this study aims to find out whether Bitcoin, Ethereum, and gold can behave as hedging and safe-haven assets before and amid the pandemic in Indonesia. The strategy is by observing the effects of volatility and return of Bitcoin, Ethereum, and gold on the Indonesian stock market. This study employed both quantile regression and simple linear regression models on data of daily closing price taken before and during COVID-19. This study finds that they can be hedge and safe-haven assets during the COVID-19 pandemic in Indonesia. The findings show some significant correlations between assets that can help investors determine which assets can be hedging instruments.]]>
<![CDATA[Monetary Policy and Herding Behavior: Empirical Evidence From Indonesia Stock Market ]]>
<![CDATA[Wicaksono, Retno Puspita K.]]>;
<![CDATA[Falianty, Telisa Aulia]]>
<![CDATA[ The Indonesian Capital Market Review Vol. 14, No. 1 ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[This study aims to analyze the role of monetary policy, including the spillover of the US Federal Reserve (Fed) monetary policy, in the existence of herding behavior in the Indonesian stock market. We used beta herding to measure the level of herding behavior and analyze the relationship between monetary policy and beta herding using the VECM model, as well as IRF and FEVD. This study shows that monetary policy plays a role in the existence of herding behavior in the Indonesian stock market. Although the effect of monetary policy on herding behavior is relatively small, Fed monetary policy shocks have a greater effect on the existence of herding behavior in the Indonesian stock market. The credibility of Bank Indonesia (BI) and the Fed may play a role in shaping investors’ expectations. Therefore, policymakers have to take into account the volatility of asset prices in formulating monetary policy]]>
<![CDATA[The Relationship between Monetary Policy and the Stock Market Cycle: An Empirical Study in Vietnam ]]>
<![CDATA[ Indonesian Capital Market Review ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[The study examines the relationship between monetary policy and the stock market cycle in Vietnam. Using data from 2007 to 2022 and employing a VAR model, we estimate the impact of monetary policy factors on stock market cycle variables. The findings confirm a two-way causal relationship between monetary policy and the stock market cycle. However, the influence of cyclical fluctuations on the monetary policy transmission mechanism is weak, exhibits a lag, and predominantly occurs in the medium and long term. These results indicate that Vietnam's monetary policy requires time to absorb financial shocks and adjust to economic conditions. The study enhances the understanding of monetary policies in stock market regulation and provides evidence of its bidirectional nature concerning the market cycle.]]>
<![CDATA[Exploring Mean Reversion Dynamics in Financial Markets: Insights from Hurst Exponent Analysis ]]>
<![CDATA[ Indonesian Capital Market Review ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[The current study investigates mean reversion and the speed of mean reversion within financial mar- kets at BSE 200 and NSE Nifty 200 for a data set of 20 years (2004–2024). It employs a variety of techniques, including traditional tests like the Augmented Dickey-Fuller (ADF) and Philips-Perron (PP) tests, as well as long-term dependency analysis using the Hurst exponent. The Ornstein-Uhlen- beck process facilitated the speed of mean reversion. Empirical data demonstrates that mean rever- sion processes exhibit Hurst exponent values less than 0.5, suggesting mean reverting behaviour. This signifies the importance of adopting long-term perspectives in decision-making and trading strate- gies for market participants. Additionally, the half-life values for BSE 200 is 52 days whereas it is 51 days for Nifty 200. The research highlights the significance of integrating mean reversion analysis into investment strategies, showcasing its potential for capitalizing on pricing inefficiencies, mitigat- ing downside risks, and enhancing long-term performance.]]>
<![CDATA[Determinant of ETF Sharia Performance and the Moderating Role of Fund Size ]]>
<![CDATA[ Indonesian Capital Market Review ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[The aim of this research is based on the potential and development of sharia investment products on the Indonesia Stock Exchange, namely the Sharia Exchange Traded Fund in recent years. Sharia ETFs are mutual funds that can be traded on the capital market like shares whose performance adheres to a sharia reference index. Having a hybrid composition that combines the performance of mutual funds and the practicality of shares, makes Sharia ETFs have a special attraction for investors. This research tries to examine the determining factors of fund performance traded on the Islamic exchange which include tracking error, trading volume, index volatility with fund size (AUM) as a moderating variable. Ordinary Least Square (OLS) analysis and moderation analysis (MRA) are used to answer the problem formulation using the Common Effect Model (CEM) approach. The research results show that in the multiple regression results, tracking error and index volatility have a significant negative effect on the performance of sharia ETFs, while trading volume does not have a significant effect on the performance of sharia ETFs. Furthermore, in the moderation analysis, the statistical results concluded that fund size was not able to moderate the relationship between tracking error and Sharia ETF performance, but fund size was able to moderate it in the direction of strengthening the relationship between traded volume and Sharia ETF. performance, but weakens the relationship between index volatility and Sharia ETF performance.]]>
<![CDATA[The Response of MENA Country Stock Markets to the Conflict in the Red Sea: Evidence from an Event Study Approach ]]>
<![CDATA[ Indonesian Capital Market Review ]]>
Publisher : <![CDATA[UI Scholars Hub ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
<![CDATA[The impact of Houthi attacks on commercial vessels in the southern Red Sea and the Gulf of Aden on the stock markets of 10 MENA countries is analyzed using an event study. The event day is 10.01.2024, when the Houthis announced targeting the US navy. Significant results are found regarding stock market efficiency and portfolio investors. The t-test shows that CAR (Cumulative Abnormal Return) values are statistically significant for some MENA countries. Positive abnormal returns are found in Morocco, Bahrain, and Egypt, while negative abnormal returns are found in Lebanon and Tunisia within the event window. In other countries analyzed, no significant effect of the event on stock returns is observed.]]>
