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INDONESIA
Journal of Indonesian Economy and Business
Published by Universitas Gadjah Mada
ISSN : 20858272     EISSN : 23385847     DOI : -
Core Subject : Economy,
Economics, Econometrics & Finance
Journal of Indonesian Economy and Business (JIEB) is open access, peer-reviewed journal whose objectives is to publish original research papers related to the Indonesian economy and business issues. This journal is also dedicated to disseminating the published articles freely for international academicians, researchers, practitioners, regulators, and public societies. The journal welcomes author from any institutional backgrounds and accepts rigorous empirical or theoretical research paper with any methods or approach that is relevant to the Indonesian economy and business content, as long as the research fits one of three salient disciplines: economics, business, or accounting.
Arjuna Subject : Bisnis, Menejemen, dan Akutansi (semua kategori) - Bisnis, Menejemen, dan Akutansi (Lain-Lain)
Articles 24 Documents
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Search results for , issue "Vol 17, No 4 (2002): October" : 24 Documents clear
AN INVESTIGATION OF PRICE MOVEMENTS DURING THE ANNOUNCEMENT OF ACQUISITION NEWS: THE CASE OF JAKARTA STOCK EXCHANGE Hanafi, Mamduh M.
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

Paper ini ingin melihat siapa yang berada di balik pergerekan harga selama periode pengumuman merjer dan akuisisi di Bursa Efek Jakarta. Data menunjukkan bahwa harga meningkat cukup tajam selama periode pengumuman. Penelitian ingin membandingkan apakah investor asing atau domestik yang mendorong pergerakan harga tersebut. Disamping itu, penelitian ini ingin melihat apakah pergerekan harga terkonsentrasi pada volume perdagangan (trade size) yang kecil atau tidak dan apakah terkonsentrasi pada investor domestik yang menggunakan volume perdagangan yang kecil. Hasil analisis memperlihatkan bukti yang cukup kuat yang menunjukkan bahwa investor domestik mendorong pergerakan harga tersebut. Untuk hipotesis kedua dan ketiga, tidak ditemukan bukti yang cukup kuat. Pergerakan harga oleh investor domestik tersebut menunjukkan superioritas informasi yang dimiliki oleh investor domestik, yang berarti ada asimetri informasi di Bursa Efek Jakarta.Keywords: Price movement, trading size, acquisition announcement.
PENGARUH PERILAKU RESIKO, KEPEMILIKAN INSTITUSI DAN KINERJA TERHADAP KEBANGKRUTAN BANK UMUM DI INDONESIA Swandari, Fifi
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

This paper investigates the impact of risk taking behavior, institution ownership and performance on bank failure. I predict that risk-taking behavior has positive impact on bank failure, institution ownership and performance have negative impact on bank failure. Result shows that risk taking behavior and institution ownership give little support to hypothesis. Performance has result as predicted. The result suggests that the impact of risk taking behavior and institution ownership needs further investigation.Keyword: risk taking, institutional ownership, performance, bank failure
THE EFFECT OF PROFITABILITY OF MOMENTUM STRATEGIES AND VOLUME ON FUTURE RETURNS: AN EMPIRICAL EVIDENCE FROM JAKARTA STOCK EXCHANGE AND KUALALUMPUR STOCK EXCHANGE Mardiyah, Aida Ainul
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

Tujuan penelitian ini untuk melihat pengaruh strategi momentum dan volume terhadap return yang akan datang. Unit analisis penelitian sebanyak 30 perusahaan yang terdaftar di Bursa Efek Jakarta dan Bursa Efek Kualalumpur dari tahun 1996-1997. Seleksi data dengan menggunakan purposive sampling. Koleksi data dengan metoda archaival. Alat statistik untuk menguji hipotesis dengan regresi.Hasil penelitian ini adalah:1) Hipotesis satu tidak didukung artinya tidak ada pengaruh return yang lalu terhadap return yang akan datang; 2) Hipotesis dua didukung artinya ada pengaruh volume terhadap strategi momentum; dan 3) Hipotesis tiga didukung artinya ada pengaruh volume dan strategi momentum terhadap return yang akan datang.Keywords: Future Returns, Winner-loser Stock, Profitability of Momentum Strategies, and Volume
PENGARUH RISIKO NILAI TUKAR RUPIAH TERHADAP RETURN SAHAM : STUDI EMPIRIS PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BEJ Suciwati, Desak Putu; Machfoedz, Mas’ud
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

Rupiah exchange rate fluctuation occurred since July 1997 has risked rupiah depreciation on US Dollar and other mayor trading parther’s currencies, that are Yen (Jepang), Mark (Germany), Franc (French), Poundsterling (UK), Dollar (Singapore), and Dollar (Hongkong). The objective of this study is to examine the economic exposures differences of rupiah exchange rate before and after rupiah depreciation, and the different effect of rupiah exchange rate on stock return before and after rupiah depreciation.This study use Chow differential test to compare regression results at two different periods, period of 1994-1996 and 1998-2000 with the same sample. Two models regression equation were used and each model was differentially tested in two periods. Independent variable of the two models was average monthly rupiah real effective exchange rate (REER) during a year from December to November following year, and it was controlled by total debt (THUTANG) of the manufacture during a year. Dependent variable for the first regression model was EPS change of companies during a year, and for the second regression model was daily abnormal return accumulated during a year (CAR).Although regression analysis at the second period showed contrary or defferent result, but after tested with Chow test, it was indicated that economic exposure of rupiah exchange rate change on cash flow change at the second period was not different. It was proved, then, that the effects of rupiah exchange rate on stock return were different between period of before and after the rupiah depreciation.Keywords: Real Effective Exchange Rate, Exposure, Capital Adequacy, Earnings per share
THE EXPLANATORY POWER OF MOVING AVERAGE BETA IN THE JANUARY EFFECT Ulansari, Krismiati Mukti
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

Beta sebagai pengukur resiko sistematik saham masih menjadi perdebatan hingga saat ini. Beta pasar didasarkan pada asumsi bahwa pasar adalah ‘frictionless’. Asumsi ini tidak relevan dengan kondisi nyata sehingga nilai beta pasar yang dihasilkan akan bias.Penelitian ini dimaksudkan untuk menguji keunggulan beta moving average (MA) dengan cara menerapkannya di salah satu anomali pasar, yaitu January Effect. Dengan memasukkan unsur ‘friction’ yang ada di pasar ke dalam perhitungan beta, diharapkan beta moving average bisa menjadi pengukur resiko sistematik yang lebih baik.Hasil studi menunjukkan bahwa ketika diterapkan di January Effect, beta moving average lebih unggul (powerful) daripada beta model pasar karena beta moving average mempunyai nilai adjusted R Square yang signifikan, sedangkan beta model pasar tidak memiliki adjusted R Square yang signifikan. Tetapi studi ini tidak bisa menyimpulkan bahwa beta moving average lebih unggul (powerful) daripada beta model koreksi kesalahan karena nilai adjusted R Square dari beta model koreksi kesalahan negatif. Hasil ini sekaligus menunjukkan bahwa January Effect disebabkan oleh friction yang ada di pasar.Keywords: moving average beta, error correction model beta, market model beta, market frictions, January Effect.
PENGARUH STRUKTUR KEPEMILIKAN, PERILAKU MANAJEMEN LABA, FREE CASH FLOW HYPHOTESIS DAN ECONOMIC VALUE ADDED: PENDEKATAN PATH ANALYSIS1 Wilopo, Wilopo; Mayangsari, Sekar
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

This paper investigates whether ownership structures, earnings management, growth opportunities, free cash flow hyphotesis are related to firm performance, as measured by economic value added. This paper use sample nonregulated companies during crisis period, 1998-2001. We find that during this period the management creates value. Our result also suggest that blockholders and free cash flow hyphotesis have indirect effects to economic value added through corporation policy, such as investing and financing. Interestingly, earnings management have direct effect to economic value added. These results imply that separation of management group ownership and control has significantly more negative relation to creating value in countries with low shareholders protection, as in emerging markets, whereas large blockholders have significantly more positive relation.Keywords: Ownership Structures, Earnings Management, Free Cash Flow Hyphotesis, Economic Value Added
THE IMPACT OF ASIAN FINANCIAL CRISIS ON STOCKS’ BEHAVIOR: EVIDENCE FROM JAKARTA STOCK EXCHANGE Tandelilin, Eduardus
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

Penelitian ini menguji pengaruh krisis keuangan di Asia terhadap prilaku saham di Bursa Efek Jakarta (BEJ). Secara spesifik tujuan penelitian ini adalah, pertama melihat perubahan likuiditas, aktivitas perdagangan, dan volatilitas return saham di BEJ dari periode sebelum krisis keuangan. Kedua, menguji stabilitas variabel-variabel yang menetukan likuiditas saham di BEJ ketika terjadi krisis keuangan.Penelitian ini menggunakan paired t-tests, non-parametric sign tests, dan analisis regresi untuk menguji dampak krisis keuangan. Hasil penelitian menunjukkan bahwa bid-ask spread, depth, aktivitas perdagangan, dan volatilitas meningkat signifikan selama krisis. Hasil keseluruhan menunjukkan bahwa krisis keuangan meningkatkan biaya transaksi investor kecil dan investor yang mengalami panik. Hasil penelitian juga menunjukkan penentu spread dan depth adalah harga, volume, dan volatilitas. Namun variabel penentu ini tidak stabil dari periode sebelum dan selama krisis keuangan, pengecualian untuk harga saham.Keywords: bid-ask spread, depth, trading activity, financial crisis.
EMPIRICAL STUDY OF VOLATILITY PROCESS ON ERROR CORRECTION MODEL ESTIMATION Pasaribu, Syamsul Hidayat
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
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Abstract

Ada dua tujuan yang ingin dicapai dalam penelitian ini. Pertama, adalah untuk menyelidiki apakah dalam estimasi model koreksi kesalahan atau error correction model (ECM) terdapat proses volatilitas. Jika ternyata ada, maka model estimasi koreksi kesalahan seharusnya diestimasi dengan menggunakan model volatilitas. Hasil empirik estimasi ECM ternyata mengindikasikan adanya proses volatilitas yang ditunjukkan oleh signifikannya pengujian Autoregressive Conditional Heteroscedasticity (ARCH).Tujuan kedua adalah untuk menentukan model yang paling baik antara estimasi ECM dan estimasi ECM yang diikuti dengan proses volatilitas. Setelah dilakukan estimasi terhadap kedua model tersebut ternyata dapat disimpulkan bahwa estimasi model ECM dengan proses Generalized ARCH (EC-GARCH) lebih baik dibandingkan dengan estimasi model ECM. Sebagai contoh kasus digunkan model estimasi indeks harga saham gabungan di bursa efek Jakarta (BEJ).Keywords: error correction model, volatility process, GARCH, EC-GARCH.
RELEVANSI NILAI DIVIDEND YIELD DAN RASIO P/E DENGAN PERTUMBUHAN PERUSAHAAN Saputro, Julianto Agung
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

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Abstract

Analysts use valuation model in determining and evaluating share prices. Survey evidence suggests that the dominant valuation model is the price-earnings (P/E) ratio, but that other approaches such as the dividend yield are also important. This study develops and tests a market valuation models whose main prediction is that equity value is a function of earnings, dividends and book value. This study demonstrates that growth firms relevant use P/E ratio approach, and that not growth firms more relevant use dividend yield ratio approach than P/E ratio.Keywords: P/E ratio, dividend yield, market valution model, growth firm
WHAT BLINKS STOCK MARKET PRICES? AN EMPIRICAL STUDY FROM JAKARTA STOCK EXCHANGE Sukamulja, Sukmawati
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
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Abstract

Banyak orang sering bertanya-tanya bagaimana harga saham terbentuk di pasar. Volatilitas harga berdasarkan pada Wall Street Adage (kata-kata klasik yang bijak dari para pemain di Wall Street) adalah volume trading yang mengerakkan harga. Volume trading dalam kenyataannya dapat dikelompokkan ke dalam jumlah perdagangan dan rata-rata jumlah transaksi setiap perdagangan. Penelitian ini dengan menggunakan kapitalisasi pasar dalam pembentukan portofolionya akan melihat manakah yang mendorong volatilitas harga, jumlah/banyaknya transaksi atau rata-rata besarnya volume saham per transaksi. Penelitian ini juga melihat jenis informasi yang mempengaruhi perusahan. Informasi yang bersifat umum dan informasi yang bersifat spesifik. Hasil penelitian ini menyimpulkan bahwa jumlah transaksi secara signifikan positip mempengaruhi volatilitas harga saham di Bursa Efek Jakarta. Perusahaan dengan kapitalisasi besar secara signifikan berhubungan dengan informasi yang bersifat umum. Untuk informasi spesifik secara signifikan berhubungan baik untuk perusahaan berkapitalisasi kecil maupun perusahaan berkapitalisasi besar.Kata kunci: number of trades, trade size, marketwide information, firm specific information, dan volatility.

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