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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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Did Focusing on Asia Pacific Emerging Markets Provide Much Benefit to Portfolio Diversification during the Late 2000s Recession? Hermanto, Bambang; Indra, Fajar
Indonesian Capital Market Review Vol. 5, No. 1
Publisher : UI Scholars Hub

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Abstract

This research studies the international co-movement among Asia Pacific emerging markets stock price indices during the late 2000s recession by using the monthly observations start from 1st October 2001 until 1st April 2011. The co-integration analysis and parsimonious Vector Error Correction Model employed in this research reveal a long-term relationship and inter-dependencies among seven Asia Pacific emerging market stock price indices. This research finds that the unique co-integration exists on the equations. Specifically, two indices from China and Taiwan having meteor shower potential while the rest indices from Thailand, Malaysia, and Indonesia are known to have heat waves effects or country specific factors on the equation. Finally, all the results are linked to the international diversification strategies
Influences of Seasoned Equity Offerings on Stock Return of Ho Chi Minh Market Tien, Ho Viet; Ha, Dinh Thi Thu
Indonesian Capital Market Review Vol. 5, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper investigated the impact of seasoned equity offerings (SEO) on stock return of listed companies in Ho Chi Minh City market using the method “event study” which has been basically formed by Campbell, Lo, and MacKinlay (1997). The sample includes 332 SEOs from 2007 to 2010. The main findings show evidence that the Ho Chi Minh City market was not efficient in terms of the semi-strong form because the price has increased significantly on the ex-right date, day 0. In an opposite way, the market also reacted significantly negatively from T-4 to T-2. There are some significant impacts of timing on issue methods – equity right issues were in priority for favorable time and issues as “dividend by stocks” were chosen during unfavorable time.
The Impact of Indonesia Sovereign Credit Rating Upgrades and Investment Grade Status on the Sovereign Spread Changes Novianti, Dwi Anggi; Danarsari, Dwi Nastiti
Indonesian Capital Market Review Vol. 5, No. 1
Publisher : UI Scholars Hub

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Abstract

Getting sovereign credit rating upgrades and achieving investment grade status are main goals for countries in order to gain lower yield spread and cost of borrowing. By using ordinary least square method, this research is aimed to analyze the impact of Indonesia sovereign credit rating up-grade and investment grade status on sovereign spread changes. The result shows that the sovereign credit rating upgrades within speculative grade category and investment grade status for Indonesia do not significantly impact sovereign spread reduction. On the other hand, the global condition, especially global risk appetite, has significant impact to Indonesia sovereign yield spread. The research also indicates that Indonesia macroeconomic fundamentals do not significantly explain the movement of sovereign yield spread.
Applying Monte Carlo Concept and Linear Programming in Modern Portfolio Theory to Obtain Best Weighting Structure Sihombing, Tumpal
Indonesian Capital Market Review Vol. 5, No. 1
Publisher : UI Scholars Hub

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Abstract

The world is entering the era of recession when the trend is bearish and market is not so favorable. The capital markets in every major country were experiencing great amount of loss and people suffered in their investment. The Jakarta Composite Index (JCI) has shown a great downturn for the past one year but the trend bearish year of the JCI. Therefore, rational investors should consider restructuring their portfolio to set bigger proportion in bonds and cash instead of stocks. Investors can apply modern portfolio theory by Harry Markowitz to find the optimum asset allocation for their portfolio. Higher return is always associated with higher risk. This study shows investors how to find out the lowest risk of a portfolio investment by providing them with several structures of portfolio weighting. By this way, investor can compare and make the decision based on risk-return consideration and opportunity cost as well.
The Influence of Good Corporate Governance Mechanism on Earnings Management: Empirical Study in Indonesian Stock Exchange Listed Company for Periods of 2006-2010 Hermiyetti, Hermiyetti; Manik, Evita Nora
Indonesian Capital Market Review Vol. 5, No. 1
Publisher : UI Scholars Hub

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Abstract

The purpose of this research is to examine the influence of good corporate governance mechanism about earnings management in companies listed in Indonesian Stock Exchange during 2006 to 2010. The independent variables include the size of commissioner board, independent commissioner board percentage, size of audit committee, and commissioner meeting frequency. The dependent variable is earnings management which is measured by discretionary revenue model (Stubben, 2010). Size of company is used as the control variable in this research. The population of this research is 465 samples from companies listed at Indonesian Stock Exchange during 2006 to 2010. The sampling method used in this research is purposive sampling method. In addition, the data analysis method used is regression analysis and descriptive statistics. The result of this research indicates that the mechanism of good corporate governance which is represented by the size of commissioner board, independent commissioner board percentage, size of audit committee, and commissioner meeting frequency do not have any significant impact on earnings management. However, the result shows that company size gave positive influence toward earning management.
Trading Mechanisms, Return’s Volatility, and Efficiency in the Casablance Stock Exchange Ferrouhi, El Mehdi; Ezzahid, Elhadj
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper studies the impact of the stock market continuity on the returns volatility and on the market efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanism used is the continuous market which is preceded by a call market pre opening session. Results obtained concerning return volatility and efficiency under the two trading mechanisms show that the continuous market returns are more volatile than the call market returns and 50% of stocks studied show independence between variations.
Response Asymmetry in Spillover Volatility: An Empirical Study in the Indonesia and Singapore Stock Market Saadah, Siti
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

Following the blueprint of the ASEAN integration 2015, the integration of the financial markets in this region will increase. This study investigates the existence of a volatility spillover from the Singaporean stock market into Indonesia, including its transmission pattern. Singapore, as an advanced country in the ASEAN region, has played an important role as the information leader in the market of this region, so that it is very possible that the shocks in the Singapore’s stock market will be transmitted to another stock market in this region. Using TGARCH (1,1) model specification regarding the data of the daily return of the Indonesia market index (IHSG) for the period of January 2008 – August 2012, it is observed that the shock that took place in the Singapore stock market is immediately transmitted to the Indonesia stock market with two important asymmetric patterns. The transmission of the shock from the Singapore stock exchange becomes stronger when this market (1) experiences a negative return, and (2) is in the bearish phase.
CEO Turnover and Market Reaction in Indonesia Setiawan, Doddy; Kee Phua, Lian; Chee, Hong Kok
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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This research examines Chief Executive Officer (CEO) turnover and market reaction in Indonesia. The sample of this research consists of 213 CEO turnover announcements for Indonesia Stock Exchange during 2000–2010 period. T-tests were used to investigate the effect of CEO turnover announcement on abnormal stock return during the event windows periods. The results of this research show that there is positive reaction on the CEO turnover announcements. This research considers both routine and non routine CEO turnover processes. This research finds that both turnover processes have information content to investor. This research also finds positive reaction on the announcements of outsider incoming CEO, while investors do not react on the announcement of insider incoming CEO. Thus, this research provides evidence that CEO turnover announcement have information content.
The Impact of Business Diversification on Performance of IDX Listed Firms Humarseno, Ony; Chalid, Dony Abdul
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

This study analyzes the correlation between business diversification and performances in Indonesian listed companies from 2006-2011. In addition to observing business diversification impact on company’s performance in term of Return on Assets (ROA) and Tobin’s Q, this research also observes the business diversification impact on the performances of different companies at different level. The result of this research indicates that diversification gives negative effect to ROA and Tobin’s Q, while for higher level of diversification, the effect on Tobin’s Q is relatively high. The negative effect of diversification on ROA is higher in the group of companies with higher ROA. The different results show that when using Tobin’s Q as a measure of companies’ performances, diversification gives negative impact to companies’ performance in the intermediate level.
New Liquidity Measurement: Mechanical Approach (Case of Pre Opening Session on IDX) Kholisoh, Luluk
Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

The aim of this study is to develop a new liquidity measurement. The mechanical approach is used to measure the liquidity. This study uses trade order base that is more pronounced than conventional ones. To confirm the result of this study, we use pre opening session in the term of event as Kholisoh and Hermawati (2010) and Kholisoh (2011). This study collects trade base and order base intraday data one month period before and after pre opening session was implemented with the 25 most active stocks in LQ45. This study examines the velocity (how fast the order is executed) as new liquidity measurement. The result of this study confirms Kholisoh (2011), but contradicts to Kholisoh and Hermawati (2010) in the same event. The use of “velocity” as a metric of liquidity measurement is better in understanding the theoretical wisdom. This new liquidity measurement can cover the speed of the order to be executed in all capital market.

Page 5 of 18 | Total Record : 171

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