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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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Market, Country and World Effects on Regional Equity Market Integration Hooy, Chee Wooi; Goh, Kim Leng
Indonesian Capital Market Review Vol. 2, No. 1
Publisher : UI Scholars Hub

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Abstract

This study explores the fundamental driving forces of regional equity market integration in a trading bloc. The determinant factors are categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of ive regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to August 2005. We measure market integration based on pricing errors as proposed by Korajczyk (1996) and Levine and Zervos (1998). Using panel regressions, our results show that equity integration in these trading blocs is driven internally, where only individual-market volatility and economic fundamentals play a signiicant role in the process. Intra-bloc trade is found to enhance regional equity market integration, supporting the notion that regional convergence extends beyond the trade sector that is promoted in the trade agreements. We also document regime shifting effects during stock market crises, where most of these markets became strongly integrated after a regional crisis, but integration was signiicantly weakened during a crisis that affected the world markets. Also, the level of equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated.
Financial Transmission Mechanism between Financial Centers and Peripheries Masujima, Yuki
Indonesian Capital Market Review Vol. 2, No. 1
Publisher : UI Scholars Hub

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Abstract

The causes of contagion effects during periods of crisis are still unable to be fully explained by fundamental factors. This paper focuses on non-fundamental explanatory factors such as inancial centers' shock ampliication effects induced by global portfolio investors and extends Kaminsky and Reinhart (2003)'s center-periphery framework by introducing three time zones for the analysis of conditional distribution of 37 countries' daily stock returns from 1994 to 2003, and accessibility of stock markets to investigate if inancial centers stabilize or amplify shocks. Centers such as U.S. and Germany played a vital role in propagating turmoil in G7 countries and spreading shocks to countries in other regions during periods of crisis, whereas Japan ampliied turmoil in Asian peripheries only within the same region. In contrast, an emerging center, Hong Kong, appears to have much stronger shock-ampliication effects on developing countries than the three centers
Market Integration and Financial Crisis: New Evidence from Asian Paciic Markets Atmadja, Adwin Surja; Wu, Yanhui; Juli, Wan
Indonesian Capital Market Review Vol. 2, No. 1
Publisher : UI Scholars Hub

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Abstract

We investigated the stock market integration among national equity indices in eight countries from the period of 1995 to 2009, which was then clustered into four sub-sample periods. The multivariate time series analyses were employed to observe the degree and the existence of the integration. We found a cointegrating vector in each of three sub-sample periods. Interestingly, in the 1997 inancial crisis, we found that there was no indication of cointegration relationship among the equity indices. The results of block causality tests and the accounting innovation analysis indicate that the short run dynamic interactions among the stock indices became more intense during the current inancial crisis, and that the U.S. stock market played dominant role in the regional markets.
Performance Measurement Model for the Consumer Industry Listed on Indonesia Stock Exchange: DEA and SFA Approaches Prabowo, T. Handono Eko; Cabanda, Emilyn
Indonesian Capital Market Review Vol. 2, No. 1
Publisher : UI Scholars Hub

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Abstract

This research attempts to provide performance measurement model for the consumer industry listed on Indonesia Stock Exchange (IDX) by using the data envelopment analysis (DEA) and the stochastic frontier analysis (SFA). There were 36 panel irms analyzed over the period of 2000-2005 or 216 pooled observations. The output variable was total sales and input variables were labor, inventory, ixed assets and capital. Z-variables are age of the irm, size of the irm, market share and time period. Empirical indings reveal that the average technical eficiency (mean TE) for consumer industry was 0.6630. The study indicates the existence of output slacks (output deicits) and input slacks (input wastages) in the consumer industry's operation. The study also shows that the joint effect of four z-variables on the technical ineficiencies of the consumer industry was signiicant although the individual effects of one or more variables might not be statistically signiicant.
Price Manipulation in Indonesian Capital Market: Empirical Analysis on Stockbroker’s Behavior and Interaction Pattern between Domestic Investors and Foreign Investors Wibowo, Buddi
Indonesian Capital Market Review Vol. 2, No. 1
Publisher : UI Scholars Hub

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Abstract

Price manipulation in stock market transaction is an important issue when developing investor conidence and market integrity is a priority. Price manipulation is prevalent in emerging markets, which still have institutional problems and lack regulations. A stock market as a mutual company has an institutional problem when a stock broker instead of being an intermediary, behaves like a dealer and a principal for some stocks. A stock broker has strong incentives to give a signal to public investors about price of some stocks in order to get an unfair proit. A usual pattern of manipulation done by stock broker is a pump and dump manipulation. Artiicial price increase was made by manipulators through buying and selling activities among themselves until tend chaser and naive investors jump to this game. When stock price is at the highest level, manipulators start selling their stock. This research measured and identiied behavior pattern of stock brokers in Indonesian Stock Market, concerning their contribution to price manipulation existence. Because of the important role played by foreign investors in Indonesian stock market, this research would also identify interaction pattern between foreign and domestic investors. Empirical researches showed that foreign investors were underperformed domestic investors in Indonesian stock market (Dvorak, 2005, and Agarwal et al. 2009). In spite of their superior experience and inancial support compared to domestic investosr, foreign investors got lower return on average. Agarwal et al. (2009) showed this phenomenon occured because foreign investors were more aggressive than domestic investors. Dvorak (2005) argued that domestic investors had more access and network to collect short run information and were able to transfer those information to proitable trading strategy. This research tested new hypothesis about foreign investors' underperformance, that those foreign investors were entrapped in manipulative mechanism done by domestic investors having short run information through domestic stockbroker companies.
An Investigation of Psychological Factors Inluencing Investment Decision Making Chang, Hsin Hue
Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This study applies a second-order conirmatory factor analysis (CFA) approach to investigate psychological factors inluencing individuals' investment decision-making. A second-order CFA approach consists of ive irst-order psychological factors in terms of mental accounting, regret avoidance, self-control, heuristic and overconidence, and one second-order factor in terms of investment decision-making. Quantitative data was yielded by the questionnaire, and an effective sample of 752 responses was used to execute the estimation procedure. The results reveal that there exist statistically signiicant relationships between ive psychological factors and investment decision-making. Investors are likely to consider a product with different functions as one with different mental accounts (gains). Thus, inancial institutions are advised to provide their potential customers with multi-function products. Since self-control is a signiicant self-imposed mechanism for investment decision-making, inancial institutions can merchandise products that can help their customers to execute the self-imposed rules of thumb.
Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009) Wahyudi, Imam; Robbi, Abdu
Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper studies trading volume of 206 recorded and publicly traded bonds in Indonesian Capital Market on January 4th - March 9th 2009 observed period. The data covers almost all trading data in the market and all brokers that exist. The microstructure data used in this study is a complete understanding for almost every phenomenons in the market, and thus could explain more about bond liquidity. We ind that some bonds are actively traded and most are rare. We also construct some determinant facto tests of bond trading volume, included descriptive statistic, GLS, and other formal test. We ind that bonds with larger par value and more seasoned tend to have smaller trading volume. We also ind that private bonds are actively traded more than public bonds (both government institution and private institution bond). Interest rate risk and bond price volatility are positively inluence bond trading volume, but opposite for bond rating. We ind that bond with higher probability to default have smaller trading volume. While comparing the bond volume data with stock price data, we ind that the relationship in two markets is not linier as the convenient theory in inance said.
Estimating Structural Models of Corporate Bond Prices in Indonesian Corporations Suardi, Lenny; Syamsudin, M.
Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper applies the maximum likelihood (ML) approaches to implementing the structural model of corporate bond, as suggested by Li and Wong (2008), in Indonesian corporations. Two structural models, extended Merton and Longstaff & Schwartz (LS) models, are used in determining these prices, yields, yield spreads and probabilities of default. ML estimation is used to determine the volatility of irm value. Since irm value is unobserved variable, Duan (1994) suggested that the irst step of ML estimation is to derive the likelihood function for equity as the option on the irm value. The second step is to ind parameters such as the drift and volatility of irm value, that maximizing this function. The irm value itself is extracted by equating the pricing formula to the observed equity prices. Equity, total liabilities, bond prices data and the irm's parameters (irm value, volatility of irm value, and default barrier) are substituted to extended Merton and LS bond pricing formula in order to valuate the corporate bond.These models are implemented to a sample of 24 bond prices in Indonesian corporation during period of 2001-2005, based on criteria of Eom, Helwege and Huang (2004). The equity and bond prices data were obtained from Indonesia Stock Exchange for irms that issued equity and provided regular inancial statement within this period. The result shows that both models, in average, underestimate the bond prices and overestimate the yields and yield spread.
Determinants of Financial Behaviours among Malaysians Ahmad, Zauwiyah; Simun, Maimun; Masuod, Md. Shukor
Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

The importance of financial literacy in promoting good financial behaviour has been established in previous studies. Nonetheless, a study that speciically analyses Malaysian or Asian general public is very rare, despite various cases involving bankruptcies, suicides and harassment that result from improper financial decisions within the region. This study focuses on Malaysians' financial literacy and inancial behaviour. It is hypothesized that inancial behaviour is signiicantly correlated with financial literacy. It is also expected that Malaysians' inancial behaviour and financial literacy vary signiicantly among those from different education and income levels. A quantitative approach was adopted for this study, utilizing questionnaire survey as the main research instrument. Results showed signiicant, positive correlation between financial literacy and financial behaviour. Moreover, less educated individuals and lower income earners were found to have lower financial literacy. This paper provides a discussion on educational programmes that could be conducted in order to enhance the public's financial literacy and promotes good financial practices, especially among these groups of individuals.
Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004 – March 2009 Mangiring, Boniarga; Husodo, Zäafri Ananto
Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper explores investment styles and risk exposures of mutual funds in Indonesia using Sharpe's return-based style analysis, a quadratic optimization of an asset class factor model, proposed by William F. Sharpe in 1992. The research observes nine sectoral asset class indexes and ifteen survivor Indonesian equity funds within April 2004 - March 2009. The results suggest that the infrastructure sector has the biggest exposure on average. This study also measures the relative performance of the funds with respect to their style benchmarks. The results indicate that the nine funds have been able to beat their style benchmarks on average. From all funds, Fortis Ekuitas is the best fund based on its average monthly selection return.

Page 2 of 18 | Total Record : 171

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