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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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An Examination of Herd Behavior in The Indonesian Stock Market Purba, Adi Vithara; Faradynawati, Ida Ayu Agung
Indonesian Capital Market Review Vol. 4, No. 1
Publisher : UI Scholars Hub

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Abstract

We examine herd behavior in Indonesian Stock Exchange, using daily and weekly stocks return from 2007 until 2010. We employ the cross sectional standard deviation of returns (CSSD methodology developed by Christie and Huang (1995) and cross sectional absolute dispersion (CSAD methodology developed by Chang et al. (2000) to detect the presence of herd behavior. Using daily and weekly CSSD, we document the nonexistence of herding behavior in Indonesian stock market. However, using CSAD of either data frequency the result demonstrates the presence of herding behavior, particularly on big capitalization and liquid stocks. The result differs from Chang et al. (2000) who find no different impact of herding behavior across size-based portfolios
Tax Incentive, Public Share Proportion, and Firm Performance: Evidence from Indonesian Capital Market Upa, Vierly Ananta
Indonesian Capital Market Review Vol. 4, No. 1
Publisher : UI Scholars Hub

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Abstract

Indonesian government has changed the taxation law in 2007. The regulation revealed that companies listed on capital market can obtain reduced income tax rate by 5 percent. Decrease in income tax rates is granted to domestic corporate taxpayers listed on capital market that have public ownership over 40 percent of the total paid shares and the shares owned by at least 300 parties. The purpose of this research is to analyze the effectiveness of government regulation (PP) No. 81 of 2007. This research used companies listed on Indonesia Stock Exchange (IDX) which have right offering in 2009-2010 as a sample. Sample selection is performed based on purposive sampling method. The result indicates that government regulation related to tax incentives, which was aimed to increase the proportion of public ownership, is still less effective. In addition, this study also showed that the proportion of public ownership has no significant effect on firm performance.
Market Price of Risk Analysis from Three Major Industrial Countries on the Stability of the Brennan-Schwartz Model Handhika, Tri
Indonesian Capital Market Review Vol. 4, No. 1
Publisher : UI Scholars Hub

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Abstract

At any given time, market price of risk must be the same for all derivatives and it is linked in particular to interest rate. The Brennan-Schwartz model is one of the stochastic differential equations for the interest rate under the risk neutral probability measure. To estimate parameters of this model, it is required that the real data which are collected in the real world in which the distribution of interest rate process is under the actual probability measure. Therefore, parameter estimators are obtained by changing the measure which is determined by the market price of risk. Hence, market price of risk must make the Brennan-Schwartz model becomes stable, which is important to describe resistance of the model to the perturbation in the initial state or parameters of the model. This paper aims to analyze the market price of risk from three major industrial countries: USA, Japan, and Canada. This analysis can be used as a guideline to decide that the interest rate of these three major industrial countries can be modeled as Brennan-Schwartz model.
Factors Influencing the Profitability of Listed Indonesian Commercial Banks Before and During Financial Global Crisis Agustini, Menur; Viverita, Viverita
Indonesian Capital Market Review Vol. 4, No. 1
Publisher : UI Scholars Hub

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Abstract

As a country with bank-based economy, stability and soundness of its banking industry are cru-cial matters for Indonesia especially in dealing with the crisis period, such as financial global crisis which occurred in 2008. Considering the crucial impact of the crisis, this study aims to examine determinants of bank profitability (as the measurement of stability and soundness of banking industry) before and during the crisis period. Using the Generalized Method of Moment (GMM), this study analyzes the profitability of listed commercial banks using unbalanced panel data over the period of 2002-2009. To investigate the impact of recent financial global crisis, this study uses time dummy variable to separate the pre-crisis period (2002-2006) and during the crisis period (2007-2009). Findings of this study show that in the pre-crisis period, bank-specific factors i.e. lagged profitability, bank size, bank capitalization, and diversification and external factors which are inflation and stock market-based financial development statistically and significantly affect bank's profitability. Further-more, the crisis is proven to have significant impact on the effect of inflation and stock market-based financial development toward bank profitability. Whereas, through the general model which is not separate the pre and during crisis periods, this study shows that bank-specific factors such as lagged profitability, bank size, and bank capitalization are proven to have significant effects on bank profit-ability while external factors that also have effects are bank-based financial development and bank concentration.
Turn-off-the-Month Effect on Stocks in LQ45 Index and Various Sectors in the Indonesia Stock Exchange using GARCH (p,q) Pandekar, Galih; Putrini, Nadia
Indonesian Capital Market Review Vol. 4, No. 1
Publisher : UI Scholars Hub

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Abstract

There are few types of anomalies that occur in the Indonesia Stock Exchange, for example monthly effect, day-of-the-week effect, January effect, holiday effect, and turn-of-the-month effect. The existence of these anomalies is in contrast to the efficient market hypothesis theory, due to a signifi-cant difference in returns during certain periods. By using time-series analysis and the GARCH(p,q) method, the existence of the turn-of-the-month effect has been found in the Jakarta Composite Index, sectoral indexes, and stocks in LQ45. The turn-of-the-month effect seems to be seen in the last two days and the four previous days of each month. The January effect does not incite the turn-of-the-month effect. The turn-of-the-month effect appears due to an increasing volume of stocks acquired by investment managers who want to see their portfolio performance better.
The Formation of Rational and Irrational Behaviors in Risky Investment Decision Making: Laboratory Experiment of Coping Theory Implication in Investors’ Adaptation Model Wendy, Wendy; Asri, Marwan; Hartono, Jogiyanto
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

This study analyzes the stock investor's rational and irrational behavior formation through Investor's Adaptation model. Hypotheses testings were conducted by manipulating four market conditions using between-subject experimental design. The results supported the hypotheses proposed in this study. When given treatment one (opportunity-high control), investors tended to adapt the profit maximizing strategy (rational). Meanwhile, when given treatment two (opportunity-low control), three (threat-high control) and four (threat-low control), they tended to adapt the profit satisfying strategy (rational-emotional), bad news handling strategy (emotional-rational), and self-preserving strategy (irrational) respectively. The application of rational strategies are intended to obtain personal benefits and profit, while adapting irrational strategy is intended to recover emotional stability and reduce some other tensions. Another finding showed that for the investors, the relatively irrational decision formation was "harder" than that of rational.
Assessing the Efficiency of Jakarta Islamic Index-Linked Investing Salahuddin, Anwar; Hermansyah, Anton
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

The passive investing is getting easier with the fund that mimics indexes or market portfolio. The sharia market instruments is the answer to the need of Muslim investors. In the future, there are possibilities for more index-linked funds, exchange traded funds, and index-based derivatives in Indonesia including their sharia counterpart. We analyze the performance of Jakarta Islamic Index in three aspects, profitability, stability, and efficiency, compared with ordinary indexes, the BISNIS-27 Index and the LQ45 Index. The profitability is analyzed using Fama and French Three Factors model. The stability aspect is analyzed using Sharpe Return Based Style Analysis and Style Drift. The efficiency aspect is analyzed using the simulation of indexes with different assets allocation. The result is the JII needs to tighten the selection criteria for its constituents to be more efficient than the BISNIS-27 and LQ45 indexes and it is better to add fundamental criteria to the constituent selection.
The Impact of 2008 Global Financial Crisis on the Performance of Selected Indonesian Stocks: A Preliminary Study Suparman, Edwin
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

This research is a preliminary study that analyzes the impact of the US financial markets on Indonesian financial markets during the 2008 global financial crisis. It specifically investigates the occurrence of contagion effect in the Indonesian IHSG index and selected LQ45 stocks with the US S&P500 index by the measurement of correlation using simple correlation, EWMA, OGARCH, and DCC GARCH. It also attempts to discuss on the decoupling of Indonesian market and provide recommendations on dealing with future similar events.
A Study of Financial Performance and Stock Return in IPO Underpricing Phenomenon on the Indonesia Stock Exchange (IDX) Irfani, Agus
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

It is widely believed that financial performance of listed companies on stock exchange might potentially affect long-term stock return. However, the impact of financial performance on underpric-ing is still in debate. The purpose of this study is to examine the effect of financial performance on underpricing at the same period and the effect of both financial performance and underpricing on the long-term stock return on the Indonesia stock exchange (IDX). By employing judgemental sampling method, the sample of this reseach includes 43 underpriced stocks taken from the population of 51 initially public offered stocks on the IDX during 2008-2010. This research uses multiple regression technique to test the hypothesis. This study concludes that not all financial performance ratios affect the underpricing and the long-term stock return in 2011. In addition, this study does not find any em-pirical evidence about the effect of underpricing on the long-term stock return.
Does Moving Average Technical Trading Rule Provide Value for Intraday Stock Trading?: Evidence from the Indonesia Stock Exchange Harsanto, Ario; Ekaputra, Irwan Adi
Indonesian Capital Market Review Vol. 4, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper analyzes the value of employing simple moving average (SMA) and moving average (MA) technical trading rules for intraday stock trading in the Indonesia Stock Exchange. We test independently SMA[5], SMA[10], SMA[15], MA[5,50], MA[5,150], and MA[5,200] trading rules. We find all three SMAs and MA[5,200] tend to deliver returns greater than the unconditional basic return (UBR), while MA[5,50] and MA[5,150] generate returns less than UBR. We conclude that SMAs are more valuable than MAs as intraday technical trading rules.

Page 4 of 18 | Total Record : 171

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