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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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Empirical Tests of the Existence of Industry Momentum on the Indonesian Stock Exchange Verda, Irene Natalia
Indonesian Capital Market Review Vol. 16, No. 2
Publisher : UI Scholars Hub

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Abstract

Momentum is one of strategy to generate return for profit seeker. This research was conducted to see the existence of momentum strategy at the industry level with the object of all stocks on the Indonesia Stock Exchange consists of 880 stocks grouped into 11 industries based on ICB (Industry Classifi- cation Benchmark). Research period start in July 2014 until December 2023. There are 6 industry momentum strategies, 3 strategies to form portfolio quarterly and 3 strategies to form portfolio in each semester. Tests are conducted on mean returns and risk-adjusted returns using the Fama-French Three Factor model. The method of forming an industry momentum portfolio for each strategy is done equally-weighted and value-weighted using the prior month’s market capitalization (t-1). The results show positive alpha values, meaning there is an abnormal return generated in the industry momentum strategy up to 1.9% per month. However, the abnormal return is not statistically signifi- cant, which indicates that the existence of industry momentum cannot be significantly explained on the Indonesian stock market.
Winner’s Curse on Malaysian IPOs: Does the Phenomenon Still Exist? Che Yahya, Norliza; Mohd Rashida, Rasidah; Le Thuy Ngoc, An; Anwar, Ayesha
Indonesian Capital Market Review Vol. 17, No. 1
Publisher : UI Scholars Hub

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Abstract

This study examines the winner’s curse phenomenon through Amihud and Yong’s winner’s curse measurements. Amihud’s allocation rate (ALLOCTJ) is the natural log of the reciprocal of investor demand or oversubscription ratio while Yong’s institutional investor participation is gauged based on a type of IPOs which is issued via private placement (DPRIVATE). Using data set from 560 initial public offerings (IPOs) issued from January 2000 until December 2022 for listing on Bursa Malaysia, the results of the cross-sectional multiple regression analyses show that ALLOCTJ and DPRIVATE are consistently significantly negative in influencing initial returns of the IPOs. The former relationship indicates that uninformed investors are more likely to win IPOs which are not demanded by the informed investors, and subsequently the IPOs produce low or negative initial returns. In the meantime, the latter relationship suggests that IPOs that are not offered to institutional investors are deliberately underpriced to allure all skeptical investors back into the new shares market.
Do Environmental Risks Explain the Sovereign Sukuk Yields in Malaysia? Mohamad Shafi, Roslina; Shaharuddin, Norhasimah; Bakar, Norsaliza Abu; Muhamat, Amirul Afif; Tabash, Mosab I.
Indonesian Capital Market Review Vol. 17, No. 1
Publisher : UI Scholars Hub

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Abstract

Given the increasing risks posed by environmental degradation, severe climate change, and recent pandemics, the establishment of a sustainable economy has become a priority for numerous nations. From this perspective, it is crucial to emphasize sustainable finance since it has the potential to serve as a vehicle for accomplishing a green economic agenda. Sovereign sukuk held a prominent position in the sukuk market, both domestically and internationally, but its influence was particularly significant inside the domestic sphere. The study seeks to examine the link between environmental risks and the yield performance of sovereign sukuk. Sukuk performed less favourably compared to other asset classes in terms of including environmental risk in the calculation of yield. Therefore, it is crucial to conduct additional investigation into the impact of environmental concerns on sukuk yields. The analysis includes Ordinary Least Squares (OLS) and quantile regression techniques, using data from the period 1990-2021. This study examines the relationship between market variables, environmental risk, and sukuk yields in Malaysia. The paper demonstrates that both market variables and environmental concerns have an impact on the yields of sovereign sukuk. Additionally, it introduces a novel approach for modelling these yields.
The Impact of the Covid-19 Pandemic on Corporate Performance and Cash Dividend Distribution in China's Manufacturing Industry Danni, Wang; Sang, Lim Thien; Guangmei, Lei
Indonesian Capital Market Review Vol. 17, No. 1
Publisher : UI Scholars Hub

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Abstract

As an unprecedented global public health emergency with rapid spread and challenging prevention and control measures, the COVID-19 pandemic has profoundly impacted corporate performance worldwide. Notably, the manufacturing industry in China has been severely impacted. To comprehensively understand the influence of significant public health incidents on enterprises and mitigate the epidemic's repercussions, the unbalanced panel data of China's A-share listed manufacturing enterprises from 2018 to 2023 was analyzed by regression analysis. The findings demonstrate that the COVID-19 outbreak has diminished these enterprises' financial and market performance. Moreover, companies with higher cash dividends and more excellent stability exhibit superior future performance in the face of the impact. This finding implies that cash dividends are pivotal in augmenting corporate performance during uncertain periods following unexpected adverse events, suggesting potential adjustments and optimizations to the development strategy and dividend payment policy.
Examining the Industrial Impact of Fintech Lending in the Post-Next Normal Era Ramdhan, Nur 'Asyiqin; Bujang, Imbarine; Muhamat, Amirul Afif; Lisdiono, Purwatiningsih
Indonesian Capital Market Review Vol. 17, No. 1
Publisher : UI Scholars Hub

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Abstract

The financial sector has undergone a substantial paradigm shift as a consequence of the COVID-19 pandemic prompting industries actively innovate their financing method. Utilizing ARDL, our analysis reveals intriguing insights into the interaction of financing determinants interruptions caused by the epidemic, and the P2P lending success. The long-term effects of economic conditions alluding to the significant influence of investment size across various industrial sectors. The industrial differences suggest interesting connections between the size of investments, and loan tenure to the P2P lending in different industries. The wholesale and retail trade sector demonstrates intricate reactions to changes in investment size, while manufacturing sector impacted by BLR. Conversely, the susceptibility of the agriculture sector to exogenous shocks presents a captivating narrative for the investigation. Our study provides significant contributions to the complex domain of P2P lending in the context of global disruptions.
Impact of Firms’ Innovation and Environmental, Social, and Governance (ESG) Score on Financial Performance: A Study of Telecommunications and Information Technology Companies Listed on APEC Member Countries’ Stock Exchanges in the Period of 2018-2022 Apriliani, Navira Putri; Baskoro, Rahmat Aryo
Indonesian Capital Market Review Vol. 17, No. 1
Publisher : UI Scholars Hub

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Abstract

The telecommunications and information technology sectors significantly drive economic growth through continuous innovation. This study investigates how Innovation and Environmental, Social, and Governance (ESG) metrics affect the financial performance of 80 telecommunications firms listed on stock exchanges in APEC member nations from 2018 to 2022. Innovation is evaluated based on research and development expenditures, whereas financial performance is determined by examining revenue and Tobin’s Q. Employing Ordinary Least Squares (OLS) and Two-Stage Least Squares (2SLS) regression methods, the findings reveal that innovation positively influences ESG scores, notably improving governance aspects. ESG scores positively impact revenue but negatively affect Tobin’s Q. Furthermore, the environmental and social scores of ESG contribute positively to revenue while showing significant and negative effects on Tobin’s Q, whereas the governance pillar demonstrates no significant influence. These findings emphasize the need for customized ESG rating approaches and reveal the varied financial impacts of ESG practices in the telecommunications and information technology industry.
The Influence of Corporate Social Responsibility Disclosures on Investment Efficiency in the Asian Emerging Markets Khuong, Nguyen Vinh; Herdianti, Fibi Rizki; Anh, Le Huu Tuan
Indonesian Capital Market Review Vol. 14, No. 2
Publisher : UI Scholars Hub

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Abstract

The aim of the research was to determine the efficiency of investing in companies that report on their corporate social responsibility (CSR) in developing markets. Companies that won the Asia Sustainability Reporting Awards 2020 were chosen for the study. We evaluate the correlation utilizing data from 36 firms from year observations of 2018 to 2020, using modified OLS estimation and regression analysis with modified panel data for heteroskedasticity and/or autocorrelation. In the emerging market, the sample period under examination is quite recent. Research findings show that CSR reporting has a significant negative effect on the company’s investment efficiency (IE) and that CSR reporting influences IE in the overinvestment scenario. The findings from this paper provide several implications for related parties and managers to enhance CSR disclosure and IE. They also contribute significantly to the existing literature about the relationship between CSR and IE when providing evidence from the ASEAN context.
Indonesian Capital Market Reaction to Jakarta’s Large Scale Social Restrictions Catur Wicaksono, Nur Wahyu; Aryani, Y. Anni; Setiawan, Doddy
Indonesian Capital Market Review Vol. 14, No. 2
Publisher : UI Scholars Hub

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Abstract

This study aims to analyze the Indonesian capital market reaction to the Large-Scale Social Restrictions (PSBB) policy in Jakarta in 2020. The findings from this study can be used as a policy evaluation and as a reference to assess similar future policies to be implemented in Jakarta. Four event periods were used based on the number of times this policy was implemented in 2020. Using the event study approach and single index model method, this study used 568 companies listed on the IDX which are then divided into nine sectors. The results of this study showed that the Indonesian capital market reacted in different ways following the four periods of PSBB implementation in Jakarta. It was proven that there was no capital market reaction during the first period, a negative reaction for the second period, a positive reaction for the third period, and finally a negative reaction again for the fourth period.
Covid-19 for Crowdfunding: Catalyst or Deterrent? Evidence from Russia Torkanovskiy, Evgeny; Voinov, Alexander
Indonesian Capital Market Review Vol. 14, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper explores the impact of the COVID-19 pandemic on crowdfunding by analyzing a 2-year sample of 7,024 rewards-based crowdfunding campaigns on the two major Russian platforms. The study employs a digital methods approach to demand and supply and multiple regression analysis. The findings show that COVID-19 and the associated lockdown had no immediate and straightforward effect on the crowdfunding sector, neither on backers nor on campaigns’ initiators. Thus, the crowdfunding sector unlike some other investment classes remains resilient to the global pandemic. Beyond that, empirical analysis revealed the undescribed phenomenon of sponsors’ readiness to finance projects being highly seasonal and depending on the month in which the project starts. The nearer to year end, the more backers are willing to put into crowdfunding projects
Analyzing The Relationship Between Return and Trading Volume in Relation to Cross-Sectional Absolute Deviation (CSAD) In Order to Detect Herding Behavior in Indonesia Emerging Stock Market Malini, Helma; Sakliana, Annisa Dipa
Indonesian Capital Market Review Vol. 14, No. 2
Publisher : UI Scholars Hub

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Abstract

Investor herding behavior is a primary source of speculative bubbles since it implies that investors make identical trading decisions, which can lead to stock prices deviating from their underlying worth. The goal of this study is to detect herding behavior in the Indonesian stock market between 2016 and 2021. The relationship between return and trading volume, known as Cross Sectional Absolute Deviation, is used to assess herding behavior (CSAD). Time-series regression and quantile regression analysis will be employed as data analytic techniques in this study to investigate herding behavior under various market scenarios. Herding behavior is evident in the Indonesian stock market with low trading volume, high market return, and low market return in quantile 0,95. Herd behavior has both beneficial and harmful consequences during certain investing seasons. The best method to reduce the impact is to strengthen the investor’s trading strategy and trading platform

Page 15 of 18 | Total Record : 171

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