Дисертації з теми "Indonesian stock market"

The overall aim of this study is to improve the understanding of how two market elements within microstructure theory, namely the regulatory and behavioural aspects, influence trading dynamics in the Indonesian Stock Exchange (IDX). This market was chosen because it is my country’s exchange and has distinctive features, including its outstanding performance among developing equity markets and its requirement for information transparency. As trade initiators are an important part of our methodology but neither of the two databases (the Detailed Trading History by the IDX and Thomson Reuters Tickscope History by SIRCA) provide this information, four different trade initiation rules are applied to assist the study of this issue. They are 1) the tick rule, (2) the Lee & Ready method (1991), (3) the Ellis, Michaely, & O’Hara (2000) method, and (4) the chronological order rule. We demonstrate that the methods of Lee and Ready (1991) and Ellis, Michaely, and O'Hara (2000) provide results which conform closely to the chronological rule; however, this is not the case for the tick rule. In terms of the regulatory viewpoint, this study investigates the impact of tick size changes in 2000 on liquidity provision in the IDX. Our methodology follows Engle & Lange (2001) who combined price durations (time needed for a price to move at or more than a tick size) with the cumulative signed volume (the difference between the number of shares purchased and number of shares sold) transacted over the price duration, expressed as the V-Net, to study the impact of tick size on market time, size and price dimensions. The results suggest that the implementation of a single tick size for different price levels is inappropriate for the IDX, and the current policy of multiple tick sizes is preferable. For frequently-traded stocks, a small tick size is not necessarily helpful for improving liquidity with high price shares but it is for those with low prices. Both price durations and V-Net metrics were higher during periods with coarse tick sizes. Moreover, lower price duration and V-Net metrics are identical to the circumstances featuring lower spreads and lower depth during small tick sizes. In terms of the behavioural perspective, this research identifies the characteristics of the stock holdings of foreign and domestic investors, and their trading behaviour, relative profitability, and trading impact along with the associated implications for the price discovery process. We found that foreign institutional investors consistently hold high market capitalisation stocks and have a long-term investment horizon in the IDX. Therefore, they are willing to pay high buy prices and accept low sell prices. Subsequently, their trades are more likely to be associated with changes in midpoint quotes and have a high impact on price changes. Local investors are generally short-term traders; they trade frequently and submit non-competitive orders because they obtain profits from the bid and ask differences. However, there are some local investors who trade based on information and are able to update their private information quicker than foreign investors.

Liquidity refers to the ability of a financial market to trade large volumes of assets quickly at low cost, and it covers a wide range of market dimensions including size, time and cost. Prior studies have found that liquidity is one of the most significant of an efficient financial market and that it affects costs of equity, returns and valuations, market stability, and economic growth. Although studies and discussions on various aspects and dimensions of liquidity have been well documented, the sources of liquidity variation vary greatly across markets. The main research question of this thesis is: What are the determinant factors of liquidity at market and at firm levels in Indonesia?

碩士
逢甲大學
國際貿易所
98
This study examines the long run stock market relationship between Indonesia and its major trading partners (Japan, U.S., and Singapore) and compare it with long run stock market relationship between Indonesia and its regional markets (Singapore, Malaysia, Thailand, and Philippine). Then Singapore is alternately included and excluded from both models. This study uses cointegration approach and takes into account the interdependence of stock prices and foreign exchange rates in the model. It also studies the effect of financial crisis on these stock markets co-movements. VAR/VECM is used to estimate the interdependence between stock markets and exchange rates and the dynamics of the system. Impulse response function is used to examine the short-run dynamic interactions among the variables in the system. The results suggest that Indonesian stock market is more cointegrated with its regional stock markets than with stock markets of its major trading partners. And this cointegration relationship strengthened during crisis and after crisis. The VAR and VECM results show that the dependence of Indonesian stock market upon its past value and other stock markets remains unchanged whether when Singapore is included or excluded from the models. The impulse response analysis indicates that shock from stock markets has greater effect on Indonesian stock markets relative to shock from exchange rates.

碩士
國立臺北科技大學
管理國際學生碩士專班 (IMBA)
105
This study was conducted to determine the effect of foreign trade activity to the stock liquidity in the Indonesian stock market. Through panel data regression method with the foreign trade activity as independent variables, ASEAN index and the exchange rate as a control variable, and liquidity, which are divided into tightness, resiliency, and depth dimensions as dependent variables. It was found that there is a significant negative relationship between foreign trade activities with liquidity stock in tightness and resiliency dimensions, and positive relationship in depth dimension. When the samples of state-owned companies are eliminated, the result and level of significance is same, which means asymmetric information does not occur in the state-owned company. The result supports previous research from Rhee and Wang (2009), Agarwal et al., (2009), Kabigting and Hapitan (2009) and Varga (2013).

A great amount of research has been undertaken into the patterns of, and the contributing factors to, the volatility of emerging equity market returns. One of the most common findings in the research is that the volatility of emerging market returns is high compared to that of developed markets. One factor contributing to the high volatility of returns in emerging markets is a lack of informational efficiency in the markets. The objective of this thesis is to examine the informational efficiency of the Indonesia Stock Exchange (IDX) by looking at the impact of the arrival of public information on the volatility of returns and investigating the relationship between trading volume, which is used as a proxy for the arrival of information, and volatility. Scheduled U.S. and Indonesian macroeconomic announcements are used as indicators for the arrival of public information. High-frequency data and an autoregressive econometric models are employed to examine the extent to which the volatility is affected by the macroeconomic announcements. Contrary to the literature, this thesis has found that, while most domestic macroeconomic announcements impact significantly on the volatility, there is no evidence that the U.S. Federal Open Market Committee announcements have an impact on volatility. In addition, the 2008 Global Financial Crisis significantly influenced the impact of macroeconomic news on the volatility of Indonesian equity market returns. This study also examines the relationship between market-wide realized volatility and trading volume of the Indonesian equity market. Trading volume has been used to indicate the arrival of new information, and its use as a proxy for information can improve understanding of the IDX’s microstructure. Consistent with the literature, this thesis reports different patterns of trading volume and returns volatility of the IDX during intraday trading. Using the Granger-causality test model, the study finds mixed results on the significance and direction of volume-volatility relationships. There are no Granger-causality relations between trading volume and volatility of returns of the Indonesian equity market during the full sample period. However, there is evidence of bi-directional causality relationships when observations are decomposed into subsample periods and days of the week.

A lack of prudent corporate governance practice has been identified as a significant contributor to the Asian economic crisis, which hit the region, including Indonesia, in 1997. In response to the crisis aftermath, in 2001, Indonesia implemented an improved set of corporate governance principles through the establishment of a national committee and corporate governance code. These corporate governance principles have also been incorporated into relevant laws and regulations. With the adoption of corporate governance principles, the remaining issue is the assessment of the effectiveness of corporate governance in Indonesia. On the one hand, reviews by the World Bank and the International Monetary Fund (IMF) (2004, 2010) have highlighted that Indonesia has mostly incorporated good corporate governance principles into its regulatory framework in the form of law, regulations and sanctions. However, these same commentators point out that corporate governance practices in Indonesia are often distant from what is required by regulation and code, and they recommended that Indonesia improve the effectiveness of its good corporate governance implementation and enforcement. Past studies have mostly focused on the effect of corporate governance on the behaviour of management, company performance, reporting quality and firm value. These studies appear less relevant for developing countries like Indonesia because the findings are inconclusive and are specific to the countries or regions in which the studies are conducted. Further, they are largely based on the conditions and environment of developed countries. Only a handful of studies have evaluated the relationship between corporate governance and the incidence of sanctions in developing countries. Even in these cases, the findings of these studies are subject to the legal, social and political environmental conditions of the economies in which they are conducted, and the findings have little or no relevance for the Indonesian situation. Further, Indonesia follows a civil law legal system and two-tier board system structure that differs from the one-tier systems found in many other countries. As such, in-depth analysis of corporate governance practices under a variety of governance structures and regulatory regimes, including under two-tiered systems such as that of Indonesia, is required.

This study is a comprehensive analysis of Initial Public Offerings (IPO) in the Indonesian market. The aim is to provide evidence on the: 1) characteristics and main determinants of gross spread and underpricing; 2) relationship of gross spread and underpricing; and 3) post-listing day performance of IPO in the Indonesian IPO market. The relationship between gross spread, underpricing, and the determinants of gross spread and underpricing was examined under 1) pooled data analysis; and 2) panel data analysis. The data used in this research are 150 IPO firms from 2007 to 2016. The data was arranged into three panel data of industry, firm size, and offer size of IPO. Further evaluation was employed to identify the relationship of gross spread and underpricing. The two-stage least squares (2SLS) regression model is adopted to identify the relationship of two IPO costs.The last evaluation on cost of IPO was the evaluation of post-listing day performance of IPO. The distribution of gross spread components shows that the Indonesian underwriting market has different fee setting practices with greater focus on management fees. Evaluation of gross spread revealed that the gross spread level of 2% emerges as the common spread, however, gross spread showed weak clustering pattern at 2%. The pooled regression model result shows that underwriter reputation is the sole significant variable in explaining gross spread in the Indonesian IPO. The relationship of underwriter reputation and gross spread is negative and significant. This indicates that more reputable underwriters have lower gross spreads than less reputable underwriters. The result is contrary from previous works and this result can be explained by the competition hypothesis and economies of scale. The panel regression provided different results on the main determinant in gross spread. The main determinant of the industry panel analysis are firm size and firm age; and the main determinant of firm size and offer size panel analysis is offer price. The result from the distribution of underpricing shows that all IPO firms in the sample were underpriced on the first day of trading at 23.73%. Hypothesis testing of the pooled analysis shows that in general, Shanghai Stock Exchange Index (SSE), firm size and firm age were significant in explaining underpricing in the Indonesian IPO market for both pooled regression model and panel regression model. Further analysis of relationships between underpricing and the determinants of underpricing was examined under a panel regression model of industry, firm size and IPO offer size. The main determinants of the industry panel were fixed asset investment, inflation rates and SSE. The main determinants of the firm size panel were SSE, firm age, and profitability. The determinant variables of SSE and all variables included in firm-specific characteristics (firm size, firm age and profitability) were significant in explaining underpricing. Hypothesis testing on the pooled data and panel analysis provided different results on the main determinants of underpricing in Indonesian IPO market. In general, the result from both analyses indicates that the SSE and firm-specific characteristics (firm size, firm age and profitability) are more significant in explaining underpricing in Indonesia. This finding confirms that investors primarily use firms’ information and the regional stock market index influence in making decision to participate in the Indonesian stock market. The evaluation on the relationship between gross spread and underpricing, found that the two IPO costs had negative relationship or substitute related. Further, the post-listing day performance of IPO in Indonesia showed lower Cumulative Average Abnormal Returns (CARs) at the 20th-day after the listing day which indicates the return received by investors decreased.

碩士
國立中山大學
應用數學系研究所
104
Liberalization and economic integration become topics of discussion and research in recent years. Indonesia is one of the countries that actively participates in the achievement of liberalization and economic integration, especially in the ASEAN region. Indonesia stock market has a high degree of volatility which can be used to produce high investment returns, which is one of the reasons to attract foreign investors to enter Indonesia stockmarket. Volatility plays an important role for market participants to control and reduce their market risk of financial assets In this study we establish the volatility models for the stocks listed in the Indonesia stock market index LQ45. The models we considered include the Autoregressive Conditional Heteroskedasticity (ARCH) proposed by Engle (1982), Generalized Autoregrassive Conditional Heteroskedasticity (GARCH) by Bollerslev (1986), the Stochastic Volatility Model (SVM) by Jacquier, Polson and Rossi (1994), and Autoregressive Moving Average (ARMA) by Box, Jankins, and Reinsel (1994). We use the daily log returns to establish the models and select the best one via Akaike information criterion (AIC).Moreover, we use it to predict the future volatility. In the end, we also apply machine learning application such as the K-means method to figure out how itsmovement of the clusters volatility in Indonesia stocks.

In 2015, government of Indonesia introduced new policy which remove the fossil fuel subsidy applying since the freedom of Indonesia. The Premium gasoline is now unsubsidized, and the Solar diesel is remove. Some previous studies found that there is positively relationship of oil price change to the stock market. However, as the literatures we have, there has not been study regarding to the effect of fossil-fuel price change caused by subsidy removal. Therefore, this new policy attracts us to find whether there is impact of new subsidy policy applied to Indonesia Stock Market, represented by using the data of Jakarta Composite Index (JKSE), since the fossil-fuel price changes dramatically Because there is heteroskedasticity in the residual error in the natural regression model that we compute, we consider the GARCH model in order to deal with the problem. Besides, we also proceed the GJR and EGARCH to explain the asymmetry effect. We conclude that the subsidy removal do affect the Jakarta Composite Index (JKSE), yet the oil price return do not. Additionally, the subsidy removal (bad news for market participants) give more negative shock to conditional variance than subsidy existence (positive news). Then, taking into account the model selection using Akaike Information Criterion (AIC) and Schwarz’s Bayesian Criterion (SBC), we found that, in this study, the GJR can explain better than GARCH and EGARCH.

Financial reporting timeliness is one of the characteristics that enhance and improve the quality of useful financial information, which can affect stock prices. Given the importance of financial reporting timeliness, this research extends prior studies regarding determinants of, and stock market reactions to, financial reporting lag. However, the impact of tax-related variables (related party transactions, capital structure and tax audits) on financial reporting lag was analysed in this as well as other determinants (audit report lag, firm size, profitability, and audit opinion). The related party transactions and a high level of debt on capital structure are notoriously popular for achieving tax benefits and possibly considered as bad news. Investors could consider that gaining tax benefits or minimising tax payment as a negative behaviour in business. This study uses a stratified random sampling method to obtain the data from various industry sectors on the Indonesia Stock Exchange (IDX) from 2014 to 2017. The sample consists of 468 firm-year observations. Two-stages least squares regression method, the OLS model, and dynamic GMM model were used to analyse the relationship between stock market reactions and financial reporting lag. In addition, the least square model and Wald test were also used to analyse the asymmetric stock market reactions between timely and late financial reporting lags. Using LASSO Regression, the findings show that leverage, related party transactions, and tax audits are found to have no relationship with financial reporting lag. These findings indicate that the tax-related variables do not affect financial reporting timeliness. This means that the IDX firms do not consider related party transactions, high level of loan on capital structure, and tax audit results as bad news. Also, profitability and audit opinion have no relationship with financial reporting lag. Meanwhile, audit report lag and firm size are the variables, which are found to show a relationship with financial reporting lag. Moreover, the Wald tests on least square model reveal some evidence about asymmetric stock market reactions between timely and late financial reporting lag. Also, the data analysis using two-stage least-square model, the OLS model, and the dynamic GMM shows significantly negative relationship between predicted financial reporting lag and stock market reactions. However, the dynamic GMM model presents better results than those from the two-stage least square model and the OLS model due to the endogeneity problem on panel data used in this study. The results are consistent with the semi-strong form of the efficient market hypothesis. It indicates that the stock markets react to the publicly available information including prior stock prices and annual financial reporting during the event windows. The academic contributions of this study are as follows: 1. Investigating the audit report lag and tax-related variables into financial reporting lag and stock market research for emerging economies. 2. Selecting samples from various industry sectors for stock market reactions to financial reporting lag because prior studies used the sample from listed manufacturing firms in Indonesia. 3. Applying the two-stage least square method and the dynamic GMM model to analyse the stock market’s reactions to financial reporting lag because this method considers and tackles the endogeneity problem experienced in the model particularly on the panel data by the dynamic GMM model. 4. Using the Wald test to analyse the asymmetric stock market reactions between timely and late financial reporting lag. Finally, the practical contributions of this study are as follows: 1. The Financial Service Authority of Indonesia (OJK) could enhance its supervision toward the non-compliant firms in submitting their annual financial reports. 2. Investors may discover that publicly listed corporations do not take related party transactions, a high degree of debt on a capital structure, and tax audit results into consideration when releasing their annual financial reports. As a result, to make an investment choice, investors do not need to seek information about listed corporations declaring those accounts. 3. The investors also may find the appropriate timeliness to invest or divest their money from the timely and late financial reporting firms. 4. The companies’ managers could assess the impact of timely and late financial reporting of the listed firms. 5. The findings of this study have implications for investors in countries, which have similar financial reporting and tax regulations to Indonesia.

One of the essential elements of adequate financial reporting is the provision of financial information that is relevant to its users in their decision-making. This financial information should be made available to users within a regulated short period after the end of the financial year. Agency theory suggests that shareholders require protection because management may not always act in the best interests of shareholders. Therefore, timely reporting is important in reducing information asymmetry between management and shareholders, and it may reduce leaks of financial information in an emerging market, such as in Indonesia‘s capital market.

碩士
國立臺灣科技大學
財務金融研究所
106
ABSTRACT As Indonesia’s economy continues to grow, the profitability of stock market has become increasingly attractive for the many of investors. This research aims to investigate the usefulness of two commonly used technical analysis, which are simple moving average and stochastic oscillator in providing excess return to the large-cap stocks in Indonesia stock market. Statistic tests are used as tools to measure the performances of both technical indicators based on 30 samples of large-cap stocks in Indonesia for the period of 2007-2017. To avoid the undesirable effect of market’s net trend on the back-test result, the performance is measured during a sub period in which the data has no trend. The result shows that both simple moving average and stochastic oscillator do not provide a statistically significant excess return on large-cap stocks in Indonesia. Also, no significant difference is found between the return provided by both trading rules. The results support the Efficient Market Hypothesis (EMH) that is if the market is efficient, then any trading rule will not provide excess return. Besides, it is also found that a high winning probability does not necessarily guarantee that the trading rule can generate a profitable return as well. Keyword: Technical analysis, Simple Moving Average, Stochastic Oscillator, Indonesia

博士
國立中央大學
企業管理學系
107
This paper examines whether the Islamic law (Shariah), corporate governance and growth opportunities affect dividend policy. Using a sample of 2,125 firm-years for companies listed on the Indonesia Stock Exchange (IDX) over the period of 2012-2016, we find evidence that Shariah-compliant firms (SCFs) have higher dividend payouts, mainly driven by insider ownership and external large ownership. In addition, institutional ownership of SCFs plays a strong role in corporate governance since it is negatively related to dividend payouts when firm growth is high while this relationship becomes positive when firm growth is low. These results suggest that the Islamic law is an important factor affecting dividend policy in Islamic countries.

碩士
國立雲林科技大學
財務金融系
104
The purpose of this empirical study is to describe the effect of Minimum Trading Unit (MTU) reduction. Period which is used is from January 2013 to January 2015. MTU applied in Indonesia Stock Exchange (IDX) is different from Tokyo Stock Exchange (TSE) in several ways. This study explains the effect of MTU after introduction during one year. To elaborate the changes, one year is divided to be three periods. The results show that MTU leads to decreasing of trading volume and volatility. However, they are greater in the sample than in overall in composite index. Market capitalization is also rising due to stock price appreciation. Frequency, foreign investor, and value are increasing respectively after application of MTU. Most of reactions upon introduction show positive trend and declining in the end of period. Classification based on price range is used to observe the impact in samples. Further, there is finding that negative relationship between volatility and price.

碩士
國立虎尾科技大學
財務金融系碩士班
104
Religious effect in stock markets has been well documented. Ramadan is one of the most celebrated religious events in the world. All Muslim (Islamic people) in the world tend to concern on their worship rather than other activities including trading activity during Ramadan. This paper investigates the stock returns, volatility and liquidity during Ramadan. Using asymmetric GARCH model and the data of the composite and Islamic indexes of Indonesia and Malaysia stock markets which are the two largest Muslim countries in Southeast Asia, this study documents some evidence of significant Ramadan effect in both stock markets. The findings show that the stock returns of both stock markets are not significantly affected by Ramadan. On the other hand, this study reports significantly higher volatility for both stock markets during Ramadan. Surprisingly, during Ramadan 27th this study documents lower volatility for all stock indexes except for Indonesia composite index which shows insignificant result. Furthermore, there is higher significant change in liquidity for all stock indexes during Ramadan. This finding is consistent with the notion that Ramadan affects investor behavior.

碩士
國立高雄第一科技大學
財務管理研究所
102
This study discusses the stock co-movement between Tiger Cub Economics (included Indonesia, Thailand, Malaysia, and Philippines) and China, United States through time-varying regressions to understand information transmission between those countries. Using totally 8,663 weekly data from 1992 to 2012, and distinguish research data into three parts including full sample period, before and after exchange rate regime change in Tiger Cub Economics, as well as before and after ASEAN–China Free Trade Area (ACFTA) established. The empirical result shows that the influence of China stocks to the stock of Tiger Cub Economics is stronger after exchange rate regime change in Tiger Cub Economics, and much stronger after ACFTA established. During three periods, the stock of United States has influence in full sample period and ACFTA established. During the period of exchange rate regime change in Tiger Cub Economics, United States only has no significant influence in Thailand and Philippines, but shows positive influence to others. During other periods, the stock between United States and Tiger Cub Economics shows positive connection. This study also finds the stock between United States and Tiger Cub Economics shows positive connection, but after the global financial crisis, the influence of the stock of United States to the stock of Tiger Cub Economics decrease. In contrast, after ACFTA established, the influence of China stocks to the stock of Tiger Cub Economics is keeping pace with the stock of United States. The result points out the influence for stocks information of China to Tiger Cub Economics is equally the same as United States.

碩士
國立屏東科技大學
企業管理系所
104
Capital flows as one part of this economic growth is sourced from the capital markets namely Indonesia stock exchange. The capital markets have a function of economics because capital markets provide a facility or vehicle which brings together two interests, namely those who have excess funds and those who need funds. Before investing, investors should set a goal of investing and the magnitude of the funds invested. Any investment decisions taken have the risks borne by the investor, either investment in bonds or stocks. Stocks with known characteristics of high risk-high return, which means the stock provides an opportunity to earn high profits but also potentially high loss risk. Value at Risk (VaR) model has been extensively used not only in the banking sector but also in other sectors. The aim of this paper is to outline Value at Risk methodology by giving more emphasis on variance covariance method, historical simulation, and Monte Carlo model. The model used to investigate the applicability and usefulness of VaR in stock investment in Indonesia Manufacturing companies. Using the methodologies as described, the maximum potential loss on each stock and its portfolio of nine stocks calculated at 95% confidence level. The models were validated using back testing and Kupiec test. The research found that there are different results of VaR calculated using variance covariance, historical simulation, and Monte Carlo models. However, variance covariance model is the valid one to measure the maximum potential loss of stocks.

碩士
大葉大學
國際企業管理學系碩士班
103
This study is aimed to explore the relationship among the real estate market, stock market and VIX of ASEAN-evidence of Thailand, Malaysia, Indonesia and Philippines. We adopt cointegration test to examine the long-term equilibrium relationship between variables, also examine the Granger causality relationship between variables and the predictability of Variance Decomposition under the model framework of Vector Autoregressions Model and Vector Error Correction Model. The results can provide the reference for investors to map out the investment strategies. The data period of variables is from the first quarter of 2006 to the fourth quarter of 2014. The empirical results are shown as follows: First of all, in addition to Thailand, there is a long-term equilibrium relationship with a co-integrate among the housing price, stock price and the VIX in the other three countries. Moreover, from the results of causality test, it indicates that the housing price of the Philippines is unidirectional causality affected by the VIX and stock price, meaning that the real estate development of the Philippines will be affected by the fluctuation of VIX and stock price. While the housing price Granger-cause the stock prices of Thailand and Indonesia, indicating that the real estate development of Thailand and Indonesia mobilizes the flourish of their stock markets. Finally, from the results of Variance Decomposition, it is found that VIX is the most important factor to predict the short-term changes of the housing price in the Philippines, suggesting VIX can make the reference to reduce the investment risk in the real estate market of the Philippines. Therefore, when investors evaluate the investment in the real estate market of ASEAN countries, they should observe attentively the different development trends of the countries. To draw up different investment strategies in the consideration of the relationships among the real estate market, stock market and VIX, and achieving the purpose of risk circumvention and asset allocation.

碩士
中國文化大學
財務金融學系
103
Indonesia is one of the developing countries most preferable by international investors in 1990s. It is also one of the countries that hit by Asian Financial Crisis in 1998 the most. The crisis led to riots by the people demanding then-president whom has been in the office for thirty-two years to step down from the presidency sit. Indonesia Stock Exchange that has been cultivated to grow since 1970s was also halted due to poor economy and is facing loss in investors’ faith. Global Financial Crisis 2008 affects every countries economy worldwide, including Indonesia. Indonesia economy is significantly influenced by the global economy as the country production and investment are heavily depended on international market. This study aims to investigate the effect of Twin Crises 1998 and Global Financial Crisis 2008 on Indonesia Stock Exchange. Daily indices data of Indonesia Stock Exchange during the specified phase of the events will be used to examine the stock return and volatility using Exponential General Auto Regression Conditional Heteroscedasticity (EGARCH) Mean model. The results show Twin Crises 1998 has no effect on the stock market return, though the market is more volatile during the crisis. The Global Financial Crisis 2008 affects the stock market return positively, while causing the market to be more volatile. The results will be useful consideration for investors in their investment decision-making process and government in responding crisis in the future.

碩士
東吳大學
經濟學系
101
2008 U.S. subprime mortgage loans and risk detonated enough to shake global economy into financial tsunami in this century, This study mainly focus Indonesia stock index, one of the emerging Asian countries, as a sample, and use the swarm intelligence and bionic calculation method to forecast its stock price ups and downs. Our sample is selected from weekly closing stock price in Indonesia, one of Asian emerging market, while the period is January,1 2003 to December 31, 2012. In this paper, in addition to introducing Genetic Back-propagation Neural Network (GABPN), generalized regression neural network (GRNN), we also introduce two new method of artificial intelligence –Shuffled Frog Leaping Algorithm (SFLA) and Fruit-Fly Optimization Algorithm (FOA) to optimize the parameter of GRNN, stock price change in Indonesia. The empirical resultsshow: (1) Based on forecasting performance,comparing with the other three methodsit can be foundthat SFLAis betterthan the other, followed by GABPN, FOA, andfinallyGRNN. (2) Based ontype I errorrate, thedescendingorder is as follow: FOA> GRNN> GABPN = SFLA, while based ontype I errorrate, itsorder is as follow: GRNN>GABPN>SFLA>FOA. (3) To optimize the smoothing parameter values of GRNN, both SFLA and FOA can indeed significantly improve its forecasting performance. Key Words:Genetic Back-propagation Neural Network,General Regression Neural Network, Shuffled Frog Leaping Algorithm,Fruit-Fly Optimization Algorithm

碩士
國立高雄科技大學
國際管理碩士學位學程
107
The main objective of this paper is to find a connection between four important macroeconomic variables; foreign direct investment net inflow to Indonesia, stock market prices developments which focus on index LQ 45, exchange rate volatility between Indonesian Rupiah versus Singaporean Dollar and Indonesian economic growth. This study used secondary start from 2006 – 2016. All of data and information were obtained from official Indonesian websites and trusted third party financial websites. Various methodologies were used in this study, example to determine stock prices from year to year using total share return (TSR) and to locate connection between four test variables using Spearman Rho correlation. In order to robust dataset and get solid result, the Bias Corrected accelerated (BCa) technique was used before conduct correlation test and to patch missing data in dataset using multiple imputation technique. The result of this research is still relevant nowadays. Indonesia as one of south east Asia emerging market has a good opportunity in future. However, it still requires foreign investments to maintain Indonesian growth momentum. Stock market with its “hot money” could be a special gift but also could be a serious risk. Exchange rate with its floating exchange regime has a huge influence toward economic growth. If they are miss manage, they would be a serious threat eroding national economic growth.