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Ahmad Mujaddid Ahwali
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Departemen Manajemen, FEB Universitas Indonesia, Jl. Prof. DR. Sumitro Djojohadikusumo, Kukusan, Kecamatan Beji, Kota Depok, Jawa Barat 16424
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INDONESIA
Indonesian Capital Market Review
Published by Universitas Indonesia
ISSN : 19798997     EISSN : 23563818     DOI : https://doi.org/10.21002/icmr.v14i1.1139
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 146 Documents
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The Performance of Shariah Real Estate Investment Trust and Conventional Real Estate Investment Trust in Malaysia Mohamad, Nor Edi Azhar Binti
The Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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This study examines the performances of two Real Estate Investment Trust (REITs) structure in Malaysian capital market by comparing the Dividend Yield (DY), Distribution per Unit (DU), Net asset Value (NAV), and Earning per Unit (EU) of shariah REITSs (iREITs) and conventional REITSs (cREITs) from Malaysia perspective. The secondary data are retrieved from Bloomberg's Database for 13 listed REITs in the Bursa Malaysia main board for a five-year period from 2009 to 2013 with yearly observation. Applying One Way-Anova analysis, an Independent Sample Kruskal-Wallis Test is used to determine any differences in the performance of the two REITs structure. The results provide evidence indicating that the two structures have distinctive and significantly different performances. It also indicates the better performance of iREITs compared to cREITs. The results of this study are useful to provide additional evidence towards the viable of Islamic funds as a significant initiative to broaden and deepen the product base of Islamic capital market in Malaysia.
The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation Rahmanto, Fariz; Riga, Muhammad Hira; Indriana, Vika
The Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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This article contributes to country specific result on the responses of sector stock indices to crude oil price changes. Using linear and asymmetric models and by studying the association of crude oil and stock price, this article aims to explain about the short-term responses of Indonesian sector stock indices to crude oil price changes. Besides, we also try to figure out whether there are asymmetric responses within. Our findings suggest that the strength and the sensitivity of this association vary across sectors, and the effects are positive for all sectors. We also find strong significance of asymmetry reactions for Agriculture and Consumer Goods sector stock returns due to changes in crude oil price
Women in Top Management and Bank Performance: Evidence from Indonesia Sawitri, Hunik Sri Runing; Untoro, Wisnu; Trinugroho, Irwan
The Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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We investigate the impact of the presence of women in top management on bank performance controlling for bank specific factors, ownership and governance. By making use of sample of 70 Indonesian banks in a cross section study, we find strong evidence that the presence of women in the executives is negatively associated with firm performance. Moreover, we examine the moderating effect of TMT organizational tenure and TMT age. However, only little evidence is found in the effect of our moderating variables.
Bank Income Diversification from Stock Market Perspective: Evidence from ASEAN+3 Natalia, Agnes Helena; Kurniawan, Muchamad Rudi; Firsty, Revinska R.
The Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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This paper empirically examines the effect of banks' revenue diversification on the stock-based return and risk measures using data on the ASEAN-5, and addition from China, Japan, and South Korea banking sector. This paper use panel Fixed Effect and robustness test with Random Effect and TSLS. We use non-interest income share as a measure for revenue diversification. We find that revenue diversification has no effect on bank market value but significantly decrease bank total risks. When non-interest income is decomposed, we find that fee-income business has significant positive effect on bank value. Furthermore, it’s important to see characteristic of banks that do diversification, such as bank size and capital. Overall, we give evidence that banks, especially which have big size and good condition on capital, could increase their value and lower their risk by doing diversification in income through non-interest income, especially with fee income and other non-interest income
The Empirical Relationship between Stock Return and Trading Volume based on Stock Market Cycles Christiana, Amanda Melissa; Setiana, Eva; Mamduch, Mamduch
The Indonesian Capital Market Review Vol. 8, No. 1
Publisher : UI Scholars Hub

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In this paper, we use Markov switching autoregressive model and bivariate VAR model to analyze the empirical relationship between stock return and trading volume based on stock market cycles. Using daily data for the IHSG closing price and trading volume from 2010 to 2014, we identify the bull and bear phases in Indonesia stock market, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positive contemporaneous return–volume relationship in both bull and bear markets, which is only significant in bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3) there exists a positive unidirectional causality from stock return to trading volume. In addition, our findings are robust for different sample period and data frequency.
Deposit Insurance and Bank Liquidity: Does Ownership Structure Matter? Trinugroho, Irwan; Muthmainah, Muthmainah; Ariefianto, Mochammad Doddy; Sutaryo, Sutaryo
The Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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We examine how the level deposit insurance coverage affects bank liquidity. We also test the role of ownership in the relationship between deposit insurance coverage and bank liquidity. This study uses quarterly data of Indonesian banks from Q1:2002 - Q2:2008. We argue that the presence of explicit deposit insurance changes a bank‘s behavior in liquidity management in the form of decreasing asset liquidity. We find some evidence on the negative impact of deposit insurance coverage on bank liquidity. However, little is found on the role of ownership structure. The credibility of deposit insurance system and implicit guarantee are the main policy implications.
Is ASEAN Ready for Banking Integration? Evidence from Interest Rate Convergence Sahul Hamid, Fazelina; Lean, Hooi Hooi
The Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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Convergence in prices or returns of assets with similar characteristics indicates that the financial market is integrated with regional markets. This paper is the first that test of the movements of interest rates in ASEAN banking sector for the period 1990 - 2012. The empirical analysis is based on a yearly panel of commercial bank interest rate data from 5 ASEAN countries, namely, Indonesia, Malaysia, Philippines, Singapore and Thailand. We assessed the degree and speed of interest rate convergence using beta and sigma convergence method. The findings show that the difference and the dispersion in the interbank rates have reduced since the Asian financial crisis and this trend has become stronger after the Global financial crisis. The findings of this study confirm that interest rates in the ASEAN banking sector are converging. This provides evidence that the ASEAN banking sector is ready for financial integration.
Are The ASEAN-5 Foreign Exchange Market Efficient? Evidence From Indonesia, Thailand, Malaysia, Singapore, and Philippines: Post-Global Economic Crisis 2008 Putra, Aditya Andika; Lindawati, Hanny; Sari, Sarah Fitri
The Indonesian Capital Market Review Vol. 8, No. 2
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This paper examines market efficiency of foreign exchange markets in South East Asia (Indonesia, Thailand, Malaysia, Singapore, and Philippines) after the global crisis period 2008. The time span covered by the samples are from 2009 to 2014, with the total number of observations for spot and forward exchange rate data amounting to 1565 data points. This study uses three different approaches to examine efficiency within countries and across countries. The result of this study shows that foreign exchange markets in the ASEAN-5 countries are efficient within countries, but have not been efficient across countries, especially when the country has a bivariate relationship with Thailand's foreign exchange market. The main implication of this study is that investors in the ASEAN-5 market cannot obtain abnormal returns using technical analysis on within countries foreign exchange market. In addition, there is no significant differences for participants in the foreign exchange market whether they are using hedging or not hedging.
Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE) Mehrani, Kiarash; Roodposhti, Fereydoon Rahnamay; Nekomaram, Hashem; Saeedi, Ali
The Indonesian Capital Market Review Vol. 8, No. 2
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In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies.
Jakarta Interbank Spot Dollar Rate (JISDOR) as The Reference Rate: Is It Effective? Marwadi, Marwadi; Rokhim, Rofikoh
The Indonesian Capital Market Review Vol. 8, No. 2
Publisher : UI Scholars Hub

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This study analyze the influence of non-deliverable forward (NDF) and the spot rate of USD/IDR against Bank Indonesia reference rate, Jakarta Interbank Spot Dollar Rate (JISDOR). NDF which came earlier than JISDOR is used by the market participant as the reference rate. The simple method of NDF determination had a great impact on the volatility of the rupiah currency, pushing the Bank Indonesia to issue its own reference currency. JISDOR is an indication of the rates issued by Bank Indonesia as the reference rate for the foreign exchange market in domestic and overseas. The method of creating the reference rate is by weighting the average rate of real transactions through a monitoring system which is managed by the central bank. However, the question arises: what should be done by the monetary authority when there is a party outside the jurisdiction issued the NDF rate as a benchmark that may affect the domestic exchange rate of rupiah in accordance with the desired agenda of the party. We use OLS and ARCH/GARCH to see if independent variables have an influence on dependent variable. Granger Causality test is also used to observe whether there are any relations among the variables.

Page 8 of 15 | Total Record : 146

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