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1
Rahma Tri Benita, Siti Damayanti, and Irwan Adi Ekaputra. "Information Distribution and Informed Trading in Mixed and Islamic Capital Markets." International Journal of Business and Society 21, no. 3 (April 27, 2021): 1333–51. http://dx.doi.org/10.33736/ijbs.3353.2020.
Повний текст джерелаАнотація:
The correlation between volume and frequency with return volatility can explicate the information distribution process and informed traders' transaction behavior in a stock market. In this study, the Indonesian stock market represents the mixed market, while the Saudi Arabian stock market represents the Islamic market. We find that 94% and 96% of sharia-compliant stocks in Indonesia and Saudi Arabia follow the Mixture of Distribution Hypothesis (MDH). Consequently, we may conclude that sharia-compliant stocks in both markets are informationally efficient. However, we find that informed traders tend to behave differently in both markets. In the Indonesian market, informed traders exhibit competitive behavior in 95% of shariacompliant stocks and strategic transaction behavior in only 5% of the stocks. In contrast, in the Saudi Arabian market, we find that informed traders exhibit competitive behavior in only 38% of the stocks and strategic behavior in 62% of the stocks. The findings suggest that social and religious contexts may affect market participants' behavior.
2
Fauzi, Ahmad, and Asri Sitompul. "The Impact of Internationalization of Sarbanes-Oxley Act to the U.S. Listed Indonesian Companies." Randwick International of Social Science Journal 1, no. 2 (August 1, 2020): 31–41. http://dx.doi.org/10.47175/rissj.v1i2.43.
Повний текст джерелаАнотація:
In every country the existence of capital markets is fundamental in the development of the economy. Capital market, in addition to its function as a means to gather and allocate the public funds. Numerous companies attempted to fix up in order to get into a stock market and do the Initial Public Offering (IPO). But it is not an easy job, various preparations should be carried out and of course it takes some time and effort and considerable cost. In addition to stock market laws, the market is also governed by various regulations issued by the market authorities and stock exchanges as the SRO. In the U.S., the authority is the SEC and in Indonesia the capital market authority is the OJK. Stock exchanges such as the NYSE in the U.S. and Indonesian Stock Exchange (BEI) in Indonesia also issued various rules regulate all companies listed the shares in the stock exchanges. Internationalization means to bring something local to the international level. The Sarbanes-Oxley Act is supposed to applicable only in the U.S, it is not applicable in Indonesia. But the law is brought from the U.S brought to Indonesia to be applied to Indonesian companies that have the stocks listed with the U.S stock market. The application of the Act brought some problems to Indonesian companies that have to comply with all requirements stipulated in the Act.
3
Gumanti, Tatang Ary, Nurhayati Nurhayati, and Yeni Maulidia. "Determinants of Underpricing in Indonesian Stock Market." Journal of Economics, Business and Management 3, no. 8 (2015): 802–6. http://dx.doi.org/10.7763/joebm.2015.v3.289.
Повний текст джерела
4
Adisetiawan, R. "GLOBALISASI PASAR MODAL DUNIA DAN PENGARUHNYA TERHADAP PASAR MODAL INDONESIA." EKONOMIS : Journal of Economics and Business 1, no. 1 (September 30, 2017): 10. http://dx.doi.org/10.33087/ekonomis.v1i1.19.
Повний текст джерелаАнотація:
This study aims to prove causality, cointegration and the influence of global capital markets with a market capital of Indonesia for the period 2001-2016 with a Granger causality test statistics, cointegration tests and Multiple Regression testing. These results prove that the 99% confidence interval occurred a long term relationship (cointegration) and the significant influence of global market indices with the Indonesia capital market index (CSPI) in Indonesia Stock Exchange (IDX) for the period 2001 to 2016, it indicates that Indonesia's economy has been integrated with global capital markets with varying levels of integration, but is causally there is only one country that has a causal relationship with the Indonesian stock market index (CSPI), the Taiwan stock market index (TWSE).Keywords: Capital Market Integration
5
Karim, Bakri Abdul, M. Shabri Abdul Majid, and Samsul Ariffin Abdul Karim. "Integration of Stock Markets between Indonesia and Its Major Trading Partners." Gadjah Mada International Journal of Business 11, no. 2 (May 12, 2009): 229. http://dx.doi.org/10.22146/gamaijb.5526.
Повний текст джерелаАнотація:
Using Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) frameworks, this study examines the integration between the emerging stock market of Indonesia and its major trading partners (i.e., Japan, the U.S., Singapore, and China). During the period of July 1998 to December 2007, the Indonesian stock market is found to be integrated with its major trading partners. Thus, this implies that there is a limited room available for investors to gain risk-reduction benefits through diversifying their portfolio in those markets. Meanwhile, in the short run, the Indonesian market responds more to shocks in the U.S. and Singapore than in Japan and China. In designing policies pertaining to its stock market, the Indonesian government should take into account any development in the stock markets of its major trading partners, particularly the U.S. and Singaporean markets.
6
Rizal, Nora Amelda, and Mirta Kartika Damayanti. "HERDING BEHAVIOR IN THE INDONESIAN ISLAMIC STOCK MARKET." Journal of Islamic Monetary Economics and Finance 5, no. 3 (November 1, 2019): 673–90. http://dx.doi.org/10.21098/jimf.v5i3.1079.
Повний текст джерелаАнотація:
Indonesia Stock Exchange provides Islamic stocks for Muslim investors who want toinvest, with the first Islamic stock index in Indonesia being Jakarta Islamic Index or JIIthat consists of thirty of the most liquid Islamic stocks. The market capitalization of JIItends to increase every year. This paper examines the presence of herding behavior inemerging Islamic stock market of Indonesia using daily return of Indonesia CompositeIndex and JII from October 6, 2000 to October 5, 2018. Herding behavior could generallytrigger shifting market prices from equilibrium values. Herding behavior may beidentified from the relation between stock return dispersion and market return. Stockreturn dispersion is measured using Cross Sectional Absolute Deviation or CSAD.Generalized Auto Regressive Conditional Heteroskedasticity or GARCH method isused to detect herding behavior. GARCH does not see heteroskedasticity as a problem,instead uses it to make a model. The result indicates that herding behavior exist inIslamic stock market of Indonesia. Asymmetric herding occurs in Indonesia Islamicstock market where herding behavior exists during falling market condition only.
7
Indrayono, Yohanes. "What Factors Affect Stocks’ Abnormal Return during the COVID-19 Pandemic: Data from the Indonesia Stock Exchange." European Journal of Business and Management Research 6, no. 6 (November 4, 2021): 1–11. http://dx.doi.org/10.24018/ejbmr.2021.6.6.1139.
Повний текст джерелаАнотація:
This study identifies Indonesian investors’ reactions to the drop in stock prices on the Indonesia Stock Exchange market, during the early months of the COVID-19 crisis, before and after the World Health Organization (WHO) announced that its global spread constitutes a pandemic. It also explores variables that influence stock returns on this market during the financial crisis caused by the COVID-19 pandemic. This study uses a regression analysis of 70 firms, listed on the Indonesia Stock Exchange to examine the pandemic’s influence on trading volume, market capitalization, profitability, and book value for the period December 31, 2019, to April 30, 2020. The results show that stock returns were lower in the early period of the financial crisis caused by the pandemic. Firms’ trading volumes, profitability and book values positively affected stock returns and their market capitalization negatively affected stock returns during the study period. This study contributes useful insights to the finance literature and stock-market participants in terms of dealing with stock markets during financial crises. This study recommends that in any crisis investors should begin buying stocks or increasing their stock purchases to achieve abnormal returns by choosing stocks that perform well in terms of firm profitability and book value by looking a number of financial factors.
8
Habibi, Ahmad, Khavid Normasyhuri, and Erike Anggraeni. "The Indonesian Sharia Capital Market in Shock Covid-19: Global Market Interaction." Equilibrium: Jurnal Ekonomi Syariah 10, no. 2 (December 5, 2022): 381. http://dx.doi.org/10.21043/equilibrium.v10i2.16457.
Повний текст джерелаАнотація:
<p><em>Covid-19 has caused problems, including the global Islamic capital market. The rapid and extraordinary development of Covid-19 has rocked sharia investment in Indonesia. This study looks at the interaction of the global Islamic stock market with the Indonesian Islamic stock market, namely the Jakarta Islamic Index (JII), in the Covid-19 shock. Data is collected from within the global Islamic capital market sourced from the Dow Jones Islamic Market World Index, and the Indonesian Islamic capital market is sourced from the Indonesia Stock Exchange (IDX). They are generalizing the research period carried out during the covid-19 period starting from March 2020 to November 2022. This research used several stages of the Cointegration Test, Granger Causality Test, IRF (Impulse Response Function) Test and Forecasting Error Variance Decomposition (FEVD) Test. The study results show that the global Islamic stock market has had a significant impact on the Indonesian Islamic stock market both in the short and long term in the era of the covid-19 shock.</em></p>
9
Sembiring, Ferikawita M. "How Well is the Implementation of CAPM in Condition of Market Anomaly? Case in Market Overreaction Anomaly at Indonesia Stock Exchange." INFLUENCE: International Journal of Science Review 4, no. 1 (April 6, 2022): 166–78. http://dx.doi.org/10.54783/influencejournal.v4i1.14.
Повний текст джерелаАнотація:
This study aims to test the occured of the market anomaly, iemarket overreactions in Indonesian stock market at the Covid-19 pandemic. If the event occurs then be tested whether a contrarian investment strategy is relevant to be implemented. It will also be tested whether the CAPM's market risk factor will affect the returns. The data from the Indonesia Stock Exchange (IDX) used are the stock price in periods of January 2019-December 2020, which during the pandemic were have the potential to be profitable or detrimental. Through the formation of the portfolios that called as as the winner and the losers, testing of returns reversals could be done to prove the occurs of the market overreaction. The results of this research are as follows: First, markets overreaction anomaly event has occured in Indonesian stock market in periods of Covid-19 pandemic. The reversal of return occurs for most shares those have the potential to be profitable or detrimental, or have been proven those it profits rates has increased or decreased in the periods of the pandemic. Second, the contrarian strategy is relevant to be implemented in the short term in Indonesian stock market, which is in this pandemic. By implementing the contrarian strategy, a profitable return is obtained from the difference between the returns of the losers and the winners through their each of observation period. Third, market risk factors based on the CAPM have a significant effect only for the losers stocks.
10
Abimanyu, Yoopi, Nur Sigit Warsidi, Sunu Kartiko, Ridiani Kurnia, and Tety Mahrani. "INTERNATIONAL LINKAGES TO THE INDONESIAN CAPITAL MARKET : COINTEGRATION TEST." Kajian Ekonomi dan Keuangan 16, no. 2 (November 9, 2015): 56–75. http://dx.doi.org/10.31685/kek.v16i2.43.
Повний текст джерелаАнотація:
This paper explores the international linkages of the Indonesian capital market using cointegration tests to examine the long-run equilibrium relationship between the stock markets of Indonesia with China, France, Germany, Hong Kong, Japan, Korea, Malaysia, Netherlands, Philippine, Singapore, Thailand, Taiwan, the United Kingdom, and the United States. The method used in this paper is visual inspection, followed by Johansen cointegration. Our results show that there exist cointegration between these stock market indices except between Indonesia and Philippine.
11
Fadlilah, Fadlilah, and Bayu Arie Fianto. "REAKSI PASAR ATAS STOCK SPLIT PADA PASAR MODAL SYARIAH INDONESIA DAN MALAYSIA PERIODE 2015-2019." Jurnal Ekonomi Syariah Teori dan Terapan 7, no. 4 (June 29, 2020): 734. http://dx.doi.org/10.20473/vol7iss20204pp734-744.
Повний текст джерелаАнотація:
This study aims to determine the market reaction to the stock split in the market. This research uses a quantitative approach using the event study method to analyze market reactions to an event. The analysis technique uses the One Sample t-Test to see market reactions and the Independent Sample t-Test to determine whether there is a difference between the Indonesian and Malaysian Islamic capital markets with a 21-day observation period consisting of 10 days before the stock split announcement (t -10), day of stock stock announcement (t0 or t = 0), and 10 days after stock split announcement (t + 10). The results of this study, based on statistical tests with α = 5%, found a significant abnormal return around the stock split announcement on the Indonesian Islamic capital market. AAR significant as much as 4 days and CAAR significant as much as 18 days during the observation period. In the Malaysian Islamic capital market, abnormal returns were also found to be significant around the stock split announcement. AAR is significant for 3 days during the observation period, 1 day before the announcement of the stock split, during the announcement of the stock split, and 1 day after the announcement of the stock split. A significant CAAR of 19 days during the observation period. In the independent sample t-test, AAR Indonesia and Malaysia obtained sig. (2-tailed) of 0.658. In the CAAR test, Indonesia and Malaysia obtained sig. (2-tailed) of 0.563. So there is no difference between the Indonesian and Malaysian sharia capital market reactions.Keywords: Market Reaction, Stock Split, Abnormal Return, Event Study
12
Salim, Jul Fahmi. "PENGARUH PANDEMIC COVID-19 DAN PASAR SAHAM ASEAN TERHADAP PASAR SAHAM INDONESIA." EKOMBIS: JURNAL FAKULTAS EKONOMI 8, no. 2 (November 7, 2022): 112. http://dx.doi.org/10.35308/ekombis.v8i2.6270.
Повний текст джерелаАнотація:
This study examines the effect of the number of COVID-19 cases and the price of shares in ASEAN countries on the stock market in Indonesia. The ARDL model is used in research in order to see the long-term and short-term effects. The results of the analysis show that in the long term only the Malaysian stock market has a significant effect on the Indonesian stock market, besides that in the short term it is found that the Malaysian stock market, Singapore stock market and the number of Covid cases in Malaysia have a significant effect on the Indonesian stock market.
13
Endri, Endri, Zaenal Abidin, Torang Simanjuntak, and Immas Nurhayati. "Indonesian Stock Market Volatility: GARCH Model." Montenegrin Journal of Economics 16, no. 2 (May 28, 2020): 7–17. http://dx.doi.org/10.14254/1800-5845/2020.16-2.1.
Повний текст джерела
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Suparno, Ervano Nurriyadi, Sung Kyun Jo, Kyuseong Lim, Acep Purqon, and Soo Yong Kim. "Group identification in Indonesian stock market." Journal of Physics: Conference Series 739 (August 2016): 012037. http://dx.doi.org/10.1088/1742-6596/739/1/012037.
Повний текст джерела
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Sumatrani Saragih, Maulana Majied, Sarman Sinaga, Faisal Faisal, Rico Nur Ilham, and T. Nurhaida. "The Impact of the Covid-19 Pandemic on Stock Investment in the Indonesian Capital Market." Management Research and Behavior Journal 1, no. 1 (June 30, 2021): 1. http://dx.doi.org/10.29103/mrbj.v1i1.3784.
Повний текст джерелаАнотація:
The COVID-19 pandemic has hit various sectors, including the stock market where many people are hesitant to invest in stocks. Many industries have been affected by Covid-19, where since March 2020 the Indonesia Stock Exchange Composite Stock Price Index (IHSG) has decreased because many investors sold their shares, but since the third week of May 2020 to early June 2020 has shown an increase indicating stock trading has begun to show improvement. This study aims to analyze which sector stocks are still able to survive during the COVID-19 pandemic, by using stock trading volume data, Composite Stock Price Index (IHSG), weekly and monthly market capitalization values with a sample of 20 stocks - the highest stocks. based on sales volume and transaction value on the Indonesian stock exchange for the period March 2020 to June 2020 obtained from the Financial Services Authority (OJK) weekly report and the Indonesia Stock Exchange (IDX) Monthly Report. The results show that during the COVID-19 pandemic, investors can still get benefits in investing in stocks if every decision made by these investors is supported by careful calculations.
16
Dwiputri, Catherine, and Vina Christina Nugroho. "PERAN LIKUIDITAS DALAM ASSET PRICING DI BURSA EFEK INDONESIA." Jurnal Ilmiah Bisnis dan Ekonomi Asia 15, no. 1 (February 21, 2021): 41–56. http://dx.doi.org/10.32815/jibeka.v15i1.179.
Повний текст джерелаАнотація:
Purpose of this study is to obtain empirical evidence about the role of liquidity in asset pricing in the Indonesian stock market. This study compares the role of liquidity as a characteristic of stocks and liquidity as a source of systematic risk. This study uses a total of 280 sample companies listed on the Indonesia Stock Exchange during the period 2006 - 2016. In measuring liquidity, this study uses the proportion of zero returns and because liquidity predicts future returns and also moves according to the past. For this reason it is necessary to have innovations to avoid stationarity issues because of the high persistence in liquidity so we use ARMA structure in the portfolio as data analysis method. Data processing was performed using the Fama-Macbeth (1973) model. The results of this study prove that market liquidity has a negative influence on stock returns on the Indonesian market. Thus, the role of liquidity as a systematic risk has an effect on asset pricing on the Indonesian stock market.
17
Trihantoro, Johan. "Hubungan Kausalitas Pasar Saham Indonesia dengan Beberapa Pasar Saham Global Saat Terjadi Pandemi Covid-19 (Periode Januari-Juni 2020)." Journal of Economics and Business UBS 10, no. 1 (June 24, 2021): 33–46. http://dx.doi.org/10.52644/joeb.v10i1.53.
Повний текст джерелаАнотація:
This study aims to identify whether there is a causal relationship between the Indonesian stock market and the global stock market during the Covid-19. Quantitative research methods and using secondary data and samples in this study are IHSG (Indonesia), Nikkei-225 (Japan), SHCOM (China), DJA (United States), and FTSE-100 (England) using daily data from January 2-30 June 2020. The empirical research model used to test the hypothesis using Granger Causality. The results showed that the causal relationship between the Indonesian stock market and the Japan and China stock markets, the relationship that occurs is independent or does not influence each other, while with the United States it has a Uni-direction relationship and with England has a Bi-direction relationship. Causality between the China and Japan stock markets has an independent relationship or does not affect each other. The causality between the US and Japan stock markets has a Bi-direction relationship. The causality between the England and Japan stock markets has a Bi-direction relationship. The causality between the US and China stock markets has a Uni-direction relationship. The causality between the England and Chinastock markets has a Uni-direction relationship. The causality between the England and US stock markets has an independent relationship or does not influence each other.
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Utami, Datien Eriska, and Zulfa Irawati. "The Role of the Financial and Macroeconomy Industry on the Development of the Sukuk (Sharia Compliant Bonds) Market: The Case of Indonesia." Academic Journal of Interdisciplinary Studies 10, no. 4 (July 8, 2021): 225. http://dx.doi.org/10.36941/ajis-2021-0112.
Повний текст джерелаАнотація:
The purpose of this study is to empirically determine whether the banking sector, bond market and conventional stock market as well as macroeconomic variables can influence the development of the Sukuk (Sharia Compliant Bonds) market in Indonesia. This study uses secondary data taken from the Indonesian Stock Exchange, OJK and the Indonesian Statistics Agency. The data used is monthly data from January 2014 to December 2018 which includes the outstanding value of Sharia Compliant Bonds, outstanding bonds value, stock capitalization value and macro variable data in the form of GDP data and export-import trade data. Based on the results of data analysis, it shows that the variables of all financial investment variables, namely the banking sector, the bond market and stocks have a positive effect on the development of the Sharia Compliant Bonds market. in Indonesia, while for the macroeconomic variables only the GDP variable affects the development of the Sharia Compliant Bonds market in Indonesia. The trade-to-foreign ratio variable has no effect on the development of the Sharia Compliant Bonds market in Indonesia.
Received: 4 March 2021 / Accepted: 6 May 2021 / Published: 8 July 2021
19
Robiyanto, Robiyanto. "Gold VS Bond: What Is the Safe Haven for the Indonesian and Malaysian Capital Market?" Gadjah Mada International Journal of Business 20, no. 3 (December 30, 2018): 277. http://dx.doi.org/10.22146/gamaijb.27775.
Повний текст джерелаАнотація:
This study scrutinizes the potency of gold and bonds as safe haven assets for the Indonesian and Malaysian capital markets, because some previous studies have been undertaken in established market settings. The research period for this study was from June 2008 to September 2016. The quantile regression technique was used to analyze the data. The results of this study indicated that gold did not have a role as a safe haven for the Indonesian capital market, but did have a role as the safe haven for the Malaysian capital market. This study also found that Indonesian government bonds, Malaysian government bonds, and Malaysian corporate bonds could not act as safe haven assets. In contrast, corporate bonds in Indonesia had the potency to perform the function of a safe haven for stocks on the Indonesian Stock Exchange.
20
Luxianto, Rizky, Usman Arief, and Muhammad Budi Prasetyo. "Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market." Journal of Indonesian Economy and Business 35, no. 3 (September 16, 2020): 257. http://dx.doi.org/10.22146/jieb.54377.
Повний текст джерелаАнотація:
Research Aims: This research examines investors’ psychological moods which cause day-of-the-week anomalies in highly mispriced stock markets. Design/methodology/approach: We use a sample from the Indonesian capital market as, in the Asian region, this country is considered to have a highly mispriced capital market. We decompose the stock price index in Indonesia into speculative, less speculative, and non-speculative indexes. We employ the mean and variance regressions to control the heteroscedasticity and serial correlation. Novelties: Our novelties are two fold. We postulate a method to decompose stock price indexes in Indonesia (the JKSE, LQ 45, and Kompas 100) into speculative, less speculative, and non-speculative indexes. Secondly, we estimate the mean and variance levels simultaneously to get a robust estimation result of the anomaly. Research Findings: We empirically find that the behavior mood hypothesis is supported only during normal periods, when investors tend to be irrational and use their good mood to trade on speculative stocks on a Wednesday and sell them on Monday. In other periods, rationality and psychological effects play a role with Indonesian investors, when their mood is good they are more active in trading less speculative stocks, to avoid higher risks and earn higher returns from those less speculative and non-speculative stocks.
21
Maksar, Muhammad Sofian, Kusdhianto Setiawan, and Al Asy Ari Adnan Hakim. "INTEGRATION OF SOUTHEAST ASIAN STOCK MARKETS WITH THE WORLD STOCK MARKET: APPLICATION OF INTERNATIONAL ASSET PRICING MODEL." Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT) 13, no. 1 (May 25, 2022): 1. http://dx.doi.org/10.36694/jimat.v13i1.381.
Повний текст джерелаАнотація:
This study aims to determine the integration level of Southeast Asian stock market with the world stock market using an international capital asset pricing model. The countries that were sampled in this study were Indonesia, Malaysia, Philippines, Singapore and Thailand. The sample period starts from January 2000 until August 2016. This study uses an partially-segmented international capital asset pricing model by including the assumption of residual that were correlated between asset pricing equations. Because of this assumption, the seemingly unrelated regression (SUR) estimation method is more appropriately compared to the ordinary least square (OLS) method. The results of this study indicate that the integration level of Southeast Asian stock market varies. The Singapore and Thailand stock markets are fully integrated with the world stock market, the Indonesian and Malaysian stock markets are partially integrated with the world stock market, while the Philippine stock market is segmented with the world stock market. This finding shows the difference in the effectiveness of the stock market liberalization process in Southeast Asia
22
Yuliana, Ashalia Fitri, and Robiyanto Robiyanto. "PERAN EMAS SEBAGAI SAFE HAVEN BAGI SAHAM PERTAMBANGAN DI INDONESIA PADA PERIODE PANDEMI COVID-19." Jurnal Ilmiah Bisnis dan Ekonomi Asia 15, no. 1 (February 21, 2021): 1–11. http://dx.doi.org/10.32815/jibeka.v15i1.217.
Повний текст джерелаАнотація:
The purpose of this study is to analyze the role of gold as safe haven or hedge for mining stocks in Indonesia during the COVID-19 pandemic period. The data used in this study are mining stock index data (JASICA) daily closing on the Indonesia Stock Exchange and daily closing gold price data on the international market during the period January 2020 - May 2020. Data analysis was performed using QREG to see the potential of gold as a safe haven and GARCH 1.1 to see the potential of gold as a hedge. The results of this study are gold can serve as a robust safe haven for Indonesian mining stocks when there is extreme shocks occur in the stock market. In addition, in this study gold also can serve as a hedge for mining stocks in Indonesia. So investors are advised when the Indonesian Capital Market conditions are experiencing uncertainty as it is today and investors want to move their assets into safe and liquid instruments, gold is the first choice for investors to secure their assets because gold is proven to be the safe haven.
23
Panjaitan, Yunia, and Siti Saadah. "Volatility Spillover Analysis Post Implementation of AEC 2015 Agreement: Empirical Study on ASEAN-5 Stock Market." International Journal of Financial Research 9, no. 2 (February 5, 2018): 105. http://dx.doi.org/10.5430/ijfr.v9n2p105.
Повний текст джерелаАнотація:
Efforts to improve financial integration that continue to be implemented after the implementation of the Asean Economic Community 2015 agreement, can encourage increased integration of capital markets in countries within the region. This study was conducted to investigate the spillover of volatility between stock markets that accompanied the ongoing efforts of financial integration carried out by ASEAN member countries. Investigation of volatility spillover is done by applying Exponential GARCH method on time series daily data of stock return of ASEAN-5 countries period September 2016 - December 20, 2017. If previous studies found significant spillover of volatility from Singapore, Malaysia, Thailand and Philippines, the results of this study show that only Singapore's stock exchanges consistently have a significant impact on the Indonesian stock market. The turmoil in the Singapore stock market will be consistently transmitted to the Indonesian stock market. However, efforts to improve the financial integration carried out by ASEAN member countries have not consistently caused the turmoil in Malaysia, Thailand and the Philippines stock exchange to be transmitted to the Indonesian stock market.
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Juniarwoko, Dadang Wahyu, Tony Irawan, and Lukytawati Anggraeni. "Day-of-The-Week Anomaly on Different Stock Capitalization: Evidence from Indonesian Stock Market." AFEBI Economic and Finance Review 2, no. 01 (August 7, 2017): 7. http://dx.doi.org/10.47312/aefr.v2i01.47.
Повний текст джерелаАнотація:
<p>The aim of this study is to determine whether the “Day-of-The-Week Anomaly” (DOWA) exists on different stock capitalization in Indonesian stock market. A total of 58 stocks listed in both LQ45 index and Pefindo25 index used to represent large cap stocks and small and medium cap stocks respectively. The Ordinary Least Squares (OLS) method and ARCH/GARCH model were employed to capture the DOWA and the daily volatility behavior for the period between January 2010 and December 2015. The result reveals that DOWA exist for a significant proportion of individual stocks in both LQ45 and Pefindo25. Monday was found to have the lowest mean returns while Wednesday has the highest mean return. The differences between Monday’s return and return of the other days ranged from 0.15 to 0.41 percent. LQ45 stocks also found to have slightly higher Wednesday’s volatility than of Pefindo25 stocks. It indicates that the higher return of the LQ45 is naturally accompanied by a higher risk.</p><p><br />JEL Classification: G02, G10, G17<br />Keywords: Day-of-The-Week Anomaly, Indonesia, LQ45, Pefindo25, Stock Market</p>
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Mujisukamto, Aprinta Trisna, and Aftoni Sutanto. "ANALISIS EFISIENSI PASAR MODAL SYARI’AH DAN KONVENSIONAL BENTUK LEMAH BURSA EFEK INDONESIA." Jurnal Fokus Manajemen Bisnis 4, no. 1 (March 31, 2014): 65. http://dx.doi.org/10.12928/fokus.v4i1.1351.
Повний текст джерелаАнотація:
The analysis in this study was to test the efficiency of the Indonesian capital market in the form of weak. this research has two objeactives, the first objectives is analyze whether Indonesia capital market (convensional and syari’ah) has been efficient (weak-form). The second one is to analyze differentiation efficient market between convensional and syari’ah capital market. This study uses monthly stock price data, from 23 conventional stocks included in the index LQ45 and 2 Islamic stocks included in the index during the observation period 2012-2013 JII. To test the hypothesis efficiency of capital markets weak form using the Run Test, this test is used to test randomness stock price changes. Results from this study are in the period 2012-2013 of conventional and islamic capital market is efficient in the weak form and analyze by looking for a random number of shares on the capital market conventional and islamic capital market, the results showed that there were 22 (95.7%) share price conventional random and 2 (100%) the share price of sharia are random. Based on the analysis of Islamic capital markets more efficient than the conventional capital market.
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Nguyen, Dat Thanh, Dinh Hoang Bach Phan, Reza Anglingkusumo, and Aryo Sasongko. "US government shutdowns and Indonesian stock market." Pacific-Basin Finance Journal 67 (June 2021): 101521. http://dx.doi.org/10.1016/j.pacfin.2021.101521.
Повний текст джерела
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Alexandri, Mohammad Benny, and Raeny Dwisanti. "GLOBAL FINANCIAL CRISIS: THE BUBBLE EFFECT IN INDONESIA." EUrASEANs: journal on global socio-economic dynamics, no. 6(13) (November 30, 2018): 27–33. http://dx.doi.org/10.35678/2539-5645.6(13).2018.27-33.
Повний текст джерелаАнотація:
US and Indonesia stock markets are entering record heights without being offset by economic growthand profitability growth of their traded companies. There are several indicators for the stock marketbubble: (1) Price Ratio (Ear Ratio); (2) Price Ratio / Book (PB Ratio), the latter comparing thenominal price of one share at a market with the book value (the value of company's assets). Thecurrent PB ratio of the composite stock price index being 3.3 means that for each shares the assetvalue of which is 1 IDR, the stock would be worth 3.3 IDR. This is one of the most expensive price in the world today. Based on the above, for Indonesian stock market sharp decline is just a matter of time and waiting. This decline will be much sharper if triggered by the US financial crisis. We can also also see a bubble emerging from increasingly irrational investment attitudes. Currently, in addition to high prices for stocks and bonds, investors have started looking at investment opportunities in digital currencies. This research tries to know the potential of financial crisis and itseffect for the financial market in Indonesia.
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Noviarti. "ANALISIS MAKRO EKONOMI DAN INDEKS DOW JONES TERHADAP VOLATILITAS PASAR SAHAM INDONESIA." Jurnal Manajemen 3, no. 1 (August 1, 2018): 47–61. http://dx.doi.org/10.54964/manajemen.v3i1.118.
Повний текст джерелаАнотація:
This study aims to determine how macroeconomic factors and the Dow Jones Index affect the volatility of the Indonesian stock market. Volatility The Indonesian stock market is represented by Indonesia Composite Index, and macroeconomic factors are represented by variables of Inflation, Exchange Rate, BI Rate, Gold Price and American Capital Market Performance represented by the Dow Jones Index. Observation period from January 1, 2018 to January 15, 2018 with daily data. From the results of the test data obtained results that the Exchange Rate and Dow Jones Index significantly affect the volatility of Indonesian stock market prices during the observation period. Inflation variables, BI rates and gold prices have no significant effect.
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Perez, Gerardo “Gerry” Alfonso. "Do Small Indonesian Companies Have a Better Performance in the Stock Market than Larger Ones?" International Journal of Financial Research 8, no. 4 (September 14, 2017): 1. http://dx.doi.org/10.5430/ijfr.v8n4p1.
Повний текст джерелаАнотація:
Company specific characteristics, such as size, might have an impact on stock performance. In fact, there is an extensive literature supporting the existence of a small capitalization effect stock in many markets, such as the U.S. (Fama, 1992), UK (Andrikopoulus, 2008)) and Thailand (Alfonso, 2016). In this article the Indonesian case is presented. Indonesia has a growing economy and financial markets and is one of the ASEAN countries. The performance of small and large capitalization stock from 2010 to 2016 was analyzed in this article. The results, at a 5% confidence level, indicate that the assumption that the returns from small and large capitalization stocks for that period being the same cannot be rejected. The result was consistent when analyzing the entire period or when analyzing every single year independently. The test used to compare the performance of small and large capitalization stocks was the Wilcoxon test. The risk adjusted returns were also compared with the conclusion remain the same. The returns of the index as well as the logarithmic returns, during the same, period did not appear to follow a normal distribution. Normal distribution is not an assumption required by the Wilcoxon test. The idea that small capitalization stocks outperformed large capitalization stocks cannot be supported by either the results of the statistical tests or by the actual returns during that period. The finding supports that there are significant differences between the behavior of the stock market in Indonesia and other comparable countries like Thailand.
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Majid, M. Shabri Abd. "Assessing Volatilities of Monetary Policy and their Effects on the Islamic and Conventional Stock Markets in Indonesia." Signifikan: Jurnal Ilmu Ekonomi 7, no. 2 (March 25, 2018): 161–72. http://dx.doi.org/10.15408/sjie.v7i2.7352.
Повний текст джерелаАнотація:
The main objective of this study is to empirically assess the volatilities of the monetary policy instruments and their effects on the Indonesian Islamic and conventional stock market. The changes in exchange rate, interest rates, and money supply and their effects on the stock markets are investigated using the using the Generalized Autoregressive Conditional Heteroskedasticity frameworks. As a big-open economy, the capital market of Indonesia is vulnerable to the global monetary shocks changes, thus the US federal funds rate is also incorporated into the GARCH model. The study documented that, with the exception of the US interest rate, the volatilities of all monetary policy variables of interest rate, exchange rate, and money supply were documented affecting the volatilities of both Islamic and conventional stock markets. These findings imply that the volatilities of Islamic and conventional stock markets have similar determinants, thus to stabilize the markets, the investigated monetary policy variables should be controlled for by the policy-makers. Any monetary policy design imposed by the policy-makers would have a similar effect on both conventional and Islamic stocks in Indonesia.DOI: 10.15408/sjie.v7i2.7352
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Adisetiawan, R. "KAUSALITAS EKONOMI MAKRO DAN GLOBAL TERHADAP PASAR MODAL INDONESIA." EKONOMIS : Journal of Economics and Business 2, no. 1 (March 23, 2018): 66. http://dx.doi.org/10.33087/ekonomis.v2i1.32.
Повний текст джерелаАнотація:
This study aims to determine causality macroeconomic variables and the influence of the Indonesian capital market during the period 2001-2017 by means of Granger causality test statistics and test of Multiple Linear Regression. The results of this study revealed that during the period 2001-2017 there is a relationship of causality between the money supply (M2) with the Indonesia Stock Exchange composite index, but there is no causal relationship between the BI rate, inflation, the price of crude oil, gold, exchange rate IDR/USD, Dow Jones and Nikkei 225 index on the Indonesia Stock Exchange composite index over the same period. The results of model testing research at 99% confidence level, obtained adjusted R-square values simultaneously at 98.4%, meaning that changes in the macro economy is able to provide a very significant variation in movement patterns of stock price index in Indonesia's capital market. This is also evidenced by the magnitude of the correlation values obtained in the model by 99.3%, meaning that there is a very close relationship between macroeconomic variables of the Indonesian capital market. However, the partial rate of inflation that occurred in Indonesia in the period 2001-2017 did not have a significant influence on the movement of stock market indices of Indonesia. Keywords: JCI, macroeconomic, globalization
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Fajri, Salman, Tony Irawan, and Trias Andati. "THE STUDY OF MARKET TIMING IMPLEMENTATION IN INDONESIAN STOCK MARKET." Jurnal Manajemen Indonesia 19, no. 2 (August 30, 2019): 176. http://dx.doi.org/10.25124/jmi.v19i2.1641.
Повний текст джерелаАнотація:
This study is intended to discuss about implementation of market timing as an investment alternative strategic in Indonesian Stock Market. Market timing is procedure for changing portfolio asset allocation to deal with changes in business cycle. The market timing indicator used in this study is interest rate of Bank Indonesia. The active portfolio consist of IHSG and bond for simple rotation strategy. Sector rotation strategy consist of cyclical and non cyclical sector index. The dissecting cycle analyse by two methods, Hamilton Filter and indicator change assumptions. The secondary data used in this study have a span of time from January 2005 - December 2017. The result showed that active strategies produced better performance than passive strategy, and sector rotation were the best performance among other alternative strategies. Optimal performance of simple rotation occurs when change of variable BI rate by ±2% and optimal performance of sector rotation occurs when change of variable BI rate by ±4%.
Keywords—Hamilton Filter; Market Timing; Sector Rotation; Simple Rotation
AbstrakPenelitian ini bertujuan untuk membahas tentang penerapan market timing sebagai tindakan strategi investasi aktif di pasar modal Indonesia. Market timing merupakan prosedur perubahan alokasi aset portfolio untuk menghadapi perubahan siklus bisnis di suatu negara. Indikator market timing yang digunakan dalam penelitian ini adalah suku bunga acuan Bank Indonesia. Portfolio aktif terdiri dari IHSG dan obligasi untuk strategi aktif rotasi sederhana dan indeks sektor siklikal dan non siklikal untuk rotasi sektoral. Pemilahan siklus dilakukan dengan dua metode yaitu Hamilton Filter dan asumsi perubahan variabel indikator. Seluruh data sekunder yang digunakan dalam penelitian ini memiliki rentang waktu dari Januari 2005 - Desember 2017. Hasil penelitian menunjukkan bahwa strategi aktif menghasilkan kinerja lebih baik relatif terhadap strategi pasif, dan strategi rotasi sektoral secara keseluruhan lebih baik dibandingkan dengan alternatif strategi lain. Strategi rotasi sederhana optimal pada penggunaan asumsi perubahan variabel ±25 bps (basis point) dan strategi rotasi sektoral optimal pada penggunaan asumsi perubahan variabel ±100 bps (basis point).
Kata kunci— Hamilton Filter, Market Timing, Rotasi Sederhana, Rotasi Sektoral
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Citasti, Ni Nyoman, and Gede Sri Darma. "MENAKAR ASA OPTIMALISASI PROFIT MELALUI KONSEP “YUK NABUNG SAHAM”." E-Jurnal Manajemen Universitas Udayana 9, no. 8 (September 7, 2020): 3169. http://dx.doi.org/10.24843/ejmunud.2020.v09.i08.p14.
Повний текст джерелаАнотація:
The pattern of public consumption has shifted towards an increasingly complex direction. Good financial management is aimed at ensuring financial security and development in the long term. One way to manage finances is by investing. The low literacy and utility of stocks which are worrying have even been followed up by the Indonesia Stock Exchange. Through the "Yuk Nabung Saham" campaign, the Indonesia Stock Exchange is pursuing a movement capable of encouraging an increase in the number of active investors (especially domestic investors) in the Indonesian capital market. The aim of this study is to determine a strategy to optimize stock investor profits by adopting the concept of "Yuk Saving Stocks". Data analysis in this study used qualitative methods. Research using qualitative methods departs from the phenomenon that occurs in the community itself. The 'Let's Save Stocks' campaign has benefits for the community, especially BNI Sekuritas customers. The resulting benefit is the start to open people's minds about investing in the capital market. We recommend that the stakeholders make policies that can invite or influence investors in stock transactions. This is due to the high number of additional investors, but this is not balanced by the number of transactions.
Keyword: Indonesia stock exchange, let's save stocks, stocks, capital market, IDX
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Rorizki, Fitri, Sakinah Sakinah, Arpin Dalimunthe, and Purnama Ramadhani Silalahi. "Perkembangan dan Tantangan Pasar Modal Indonesia." Economic Reviews Journal 1, no. 2 (July 14, 2022): 147–57. http://dx.doi.org/10.56709/mrj.v1i2.24.
Повний текст джерелаАнотація:
The main indicator of economic health for any country is the capital market. Cities of Presence in Indonesia experience several ups and downs which can be seen from the fluctuating JCI indicator. As a result of globalization and economic integration, the work of currency exchange is very different from that of national, regional and international economics. Local investors are required to make a significant contribution to the Indonesian stock market to make it more resilient to various crises and dangers. With the rapid growth of Indonesia's youth population, there may be an opportunity that can be used to encourage people to refrain from active trading in the stock market. In addition, several other issues in capital development markets should be discussed, including the types of fixed price contracts transacted, policies to protect holder rights, the "game" involved in stock transactions, and a minimal level of understanding.
Keywords: Capital Market, Development, Challenges
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Rorizki, Fitri, Sakinah Sakinah, Arpin Dalimunthe, and Purnama Ramadhani Silalahi. "Perkembangan dan Tantangan Pasar Modal Indonesia." Economic Reviews Journal 1, no. 2 (July 14, 2022): 147–57. http://dx.doi.org/10.47467/mrj.v1i2.24.
Повний текст джерелаАнотація:
The main indicator of economic health for any country is the capital market. Cities of Presence in Indonesia experience several ups and downs which can be seen from the fluctuating JCI indicator. As a result of globalization and economic integration, the work of currency exchange is very different from that of national, regional and international economics. Local investors are required to make a significant contribution to the Indonesian stock market to make it more resilient to various crises and dangers. With the rapid growth of Indonesia's youth population, there may be an opportunity that can be used to encourage people to refrain from active trading in the stock market. In addition, several other issues in capital development markets should be discussed, including the types of fixed price contracts transacted, policies to protect holder rights, the "game" involved in stock transactions, and a minimal level of understanding.
Keywords: Capital Market, Development, Challenges
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Wulandari, Vera Pipin, and Kusdhianto Setiawan. "ANALYSIS OF MARKET TIMING TOWARD LEVERAGE OF NON-FINANCIAL COMPANIES IN INDONESIA." Journal of Indonesian Economy and Business 30, no. 1 (September 16, 2015): 42. http://dx.doi.org/10.22146/jieb.7333.
Повний текст джерелаАнотація:
ABSTRACTThis study aimed to examine the effect of market timing on leverage on non-financial compa-nies in Indonesia. Market timing was tested on the hot and cold market conditions. Hot and cold markets are determined by the monthly market to book ratio. A hot (cold) market occurs when the average market to book ratio of a particular month is above (below) the value of the moving average of the monthly market to book ratio. This study also aimed to test whether non-financial companies in Indonesia persistently applied leverage policies. This study used two research models. The first model was a panel data with a sample size of 77 non-financial companies listed on the Indonesian Stock Exchange from 2002-2013.The second model was a cross section data with a sample size of 157 non-financial companies that conducted their IPO in Indonesia from 2003-2013. The dependent variable in both the research models was leveraget (levt). The independent variables were markett and leveraget-1 (levt–1). The control variables were profitabi-lityt-1 (proft-1); and sizet-1. The results of this study indicated that market timing affected the lev-erage of non-financial companies listed on the Indonesian Stock Exchange. However, market timing did not affect the leverage of non-financial companies that had their IPO in Indonesia. The non-financial companies in Indonesia were not persistently applying a leverage policy. The capital structure of non-financial companies in Indonesia changed because of the influence of variable profitability and size (which supports the pecking order and trade off theory).Keywords: market timing theory, leverage, hot and cold market, market to book ratio
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Jumintang, Franciskus, and Kery Utami. "Analysis of efficient market anomaly on stock returns on Indonesia's composite stock price index and global stock price index." International Journal of Business Ecosystem & Strategy (2687-2293) 4, no. 1 (February 25, 2022): 57–67. http://dx.doi.org/10.36096/ijbes.v4i1.309.
Повний текст джерелаАнотація:
Market anomaly is an occurring phenomenon in the market. Supposedly, an anomaly does not exist in markets that are considered efficient. An anomaly is an aberration in the efficient market theory where existing information does not reflect stock prices; therefore, investors can earn abnormal returns. This study examines how The Day Of The Week Effect and The Month Of The Year Effect affect stock returns on the Indonesian Stock Price Index and the Global Stock Price Index. Samples in this study are daily stock return data and return data on stocks of IHSG, DJIA, SSEC, and N225. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to analyze data. The results show that in IHSG and SSEC, there was no The Day Of The Week Effect. The DJIA and N225 were found in The Day of the Week Effect. The Month of the Year Effect was found in IHSG, DJIA, SSEC, and N225.
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Yuliani, Isnurhadi, and Ferry Jie. "Risk perception and psychological behavior of investors in emerging market: Indonesian Stock Exchange." Investment Management and Financial Innovations 14, no. 2 (August 19, 2017): 347–58. http://dx.doi.org/10.21511/imfi.14(2-2).2017.06.
Повний текст джерелаАнотація:
Capital market functions as a mediator between parties who have excess funds that is, investors and those who need the funds that is, emitents. Decision to sell and buy shares of a financial asset is very strategic decision for investors because it is associated with the chances of return to be earned in the future. The objective of this paper is to investigate the investor’s psychology on buying and selling common stock in the stock exchange in emerging market. The specific purpose of this research is to provide the simultaneous empirical evidence about the perception of risk, psychology aspects towards the confidence and performance. The sample consists of 100 individual investors in Palembang, South Sumatera, Indonesia. The data were collected during March-May 2016 using questionnaire. Research findings show that perception of risk and psychology significantly affect confidence. Furthermore, confidence has a significantly positive impact on performance. This research has not been explained entirely towards the investor’s psychological behavior aspects, so the additional variable may be needed as the full reflection of investor’s psychology. The further research may use experimental study, starts from buying stocks, and factors that can be considered in selling stock.
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Katmas, Ekarina, and Nur Aisyah Indarningsih. "The Effect of BI Interest Rate, Exchange Rate, and Inflation on The Indonesian Sharia Stock Index (ISSI)." Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE) 5, no. 2 (July 31, 2022): 769–83. http://dx.doi.org/10.31538/iijse.v5i2.2144.
Повний текст джерелаАнотація:
The development of the capital market has experienced quite good growth in Indonesia, including the Islamic capital market. The existence of a sharia capital market with various investment instruments such as sharia shares, sukuk, and sharia mutual funds provides investment opportunities for those who wish to invest with sharia principles. The development of sharia investment instruments, especially sharia shares, continues to show improvement. It is then supported by the Indonesia Stock Exchange (IDX) by issuing the Indonesian Sharia Stock Index (ISSI) which is a benchmark for the performance of sharia shares in Indonesia. The development of the Sharia Stock Index has continued to increase since it was published although it experienced fluctuations in several periods. It is presumably due to changes in macroeconomic variables. Therefore, the study aims to analyze the effect of the BI interest rate variable, exchange rate, and inflation on the Indonesian Sharia Stock Index (ISSI) for the period 2015 to 2020. The study uses quantitative methods, with data analysis The Error Correction Model (ECM) uses the EViews version 9 application, ECM analysis to determine long-term and short-term economic phenomena from the interaction of several research variables. The results obtained show that in the long term, the exchange rate and BI interest rate variables have an influence on the Indonesian Sharia Stock Index (ISSI) while in the short term the exchange rate variable has an influence on the Indonesian Sharia Stock Index (ISSI). Whereas, the inflation variable has no effect on the Indonesian Sharia Stock Index (ISSI) in the long and short term.
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Yolanda, Fransiska Shasa, Maria Theresia Ernawati, and Caecilia Wahyu Estining Rahayu. "Market Anomaly Testing: Phenomena of Day of the Week Effect and Month of the Year Effect on IDX80 in Indonesia Stock Exchange." Journal of Management and Business Environment (JMBE) 4, no. 1 (August 5, 2022): 20–42. http://dx.doi.org/10.24167/jmbe.v4i1.4664.
Повний текст джерелаАнотація:
This study aims at determining occurrence of day of the week effect, Monday effect, weekend effect, month of the year effect, and January effect on IDX80 stock trading in the Indonesia Stock Exchange. This is an empirical study on trading time (daily and monthly) and stock returns using comparative method. The population is companies incorporated in the IDX80 index on the Indonesia Stock Exchange. Applying purposive sampling method, the sample was 70 companies consistently listed in the IDX80 index and were actively trading. The data covering daily and monthly stock returns for the period 1 February 2019 - 31 January 2020 were analyzed using Kruskal Wallis and Mann Whitney U Test/Wilcoxon Sum Rank Test. The results show that during the study period, market anomalies occurred in the Indonesian Capital Market were the day of the week effect, Monday effect, and month of the year effect. While market anomalies that haven’t been proven to occur in the Indonesian Capital Market were the weekend effect and the January effect.
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DEWI, Cynthia Sari, Florentina KURNIASARI, Helena DEWI, Eko ENDARTO, and Nurhuda NIZAR. "RETURN SPILLOVER BETWEEN THE U.S., JAPANESE, AND INDONESIAN STOCK MARKET DURING COVID-19." BUSINESS EXCELLENCE AND MANAGEMENT 11, S.I.2 (October 2021): 196–207. http://dx.doi.org/10.24818/beman/2021.s.i.2-15.
Повний текст джерелаАнотація:
The Covid-19 pandemic brings effects to global stock market. Information from one country is integrated to the whole world which causes the return transmission between stock markets. This research investigates the return spillover effect between the US (S&P 500), Japanese (Nikkei 225), and Indonesian (JCI) stock market during the peak of Covid-19 pandemic period. Data is examined using Eviews version 12 with Granger-causality test. Results show that S&P 500 and Nikkei 225 indexes influence the return of JCI, but not the other way around. On top of that, S&P 500 and Nikkei 225 indexes influence each other. Moreover, results also indicate that information about Covid-19 is integrated between the US, Japanese, and Indonesian stock market hence affecting the return in JCI. These findings are useful to investors and policymakers regarding to US and Japan economic information which can influence return in JCI.
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Sembiring, Ferikawita M., and V. Santi Paramita. "Market Overreaction at the Beginning of Covid-19 Pandemic Periods in Indonesia Stock Exchange." 12th GLOBAL CONFERENCE ON BUSINESS AND SOCIAL SCIENCES 12, no. 1 (October 8, 2021): 122. http://dx.doi.org/10.35609/gcbssproceeding.2021.12(122).
Повний текст джерелаАнотація:
This study aims to determine whether the markets overreaction occurred in Indonesian capital market in the beginning of Covid-19 pandemic periods, especially in Indonesia Stock Exchange. This market overreaction is the one of anomalies in capital market and is opposite the efficient market hypotheses. Bad or good information is a trigger for investors reactions that cause anomalies such as this market overreaction. The information can be sourced from internal and external conditions of the company. The external condition that is currently affecting the national and international economy are the Corona pandemic (Covid-19) which has spread around the end of 2019. Based on the phenomenon occurs, the purposes of this study are to test: (a) Did market overreaction occur in Indonesian capital market in the beginning of Covid-19 pandemic periods? (b) Is a contrarian strategy relevant to be implemented? (c) Does the market risk factor based on the CAPM will affect the abnormal return? Keywords: CAPM; Market Overreaction; Return Reversal
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Sembiring, Ferikawita M., and V. Santi Paramita. "Market Overreaction at the Beginning of Covid-19 Pandemic Periods in Indonesia Stock Exchange." 12th GLOBAL CONFERENCE ON BUSINESS AND SOCIAL SCIENCES 12, no. 1 (October 8, 2021): 122. http://dx.doi.org/10.35609/gcbssproceeding.2021.12(122).
Повний текст джерелаАнотація:
This study aims to determine whether the markets overreaction occurred in Indonesian capital market in the beginning of Covid-19 pandemic periods, especially in Indonesia Stock Exchange. This market overreaction is the one of anomalies in capital market and is opposite the efficient market hypotheses. Bad or good information is a trigger for investors reactions that cause anomalies such as this market overreaction. The information can be sourced from internal and external conditions of the company. The external condition that is currently affecting the national and international economy are the Corona pandemic (Covid-19) which has spread around the end of 2019. Based on the phenomenon occurs, the purposes of this study are to test: (a) Did market overreaction occur in Indonesian capital market in the beginning of Covid-19 pandemic periods? (b) Is a contrarian strategy relevant to be implemented? (c) Does the market risk factor based on the CAPM will affect the abnormal return? Keywords: CAPM; Market Overreaction; Return Reversal
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Machdar, Nera Marinda. "Does CEO Turnover Affect Stock Market Performance through Company Performance in Indonesian Companies?" International Journal of Applied Economics, Finance and Accounting 4, no. 1 (March 6, 2019): 15. http://dx.doi.org/10.33094/8.2017.2019.41.15.21.
Повний текст джерелаАнотація:
This study analyzes whether CEO turnover affects stock market performance through company performance in Indonesian companies. Specifically, this study examines: (1) Does the CEO turnover affect the stock market performance? (2) Does the CEO turnover affect the company performance and (3) Does the CEO turnover affect the stock market performance through the company performance? This study does not test the CEO turnover due to death, forced resignation, voluntary departures, and age-related retirement considering that almost all companies in Indonesia are family companies. This study uses the manufacturing companies listed on the Indonesia Stock Exchange as an analysis unit with the study period during 2010-2015. The finding of this study concludes that (1) the CEO turnover has a positive effect on the stock market performance, (2) the CEO turnover has a positive effect on the company performance, and (3) the CEO turnover does not affect the stock market performance through the company performance. This study has an implication from a theoretical perspective, i.e. the CEO turnover has a positive effect on the stock market performance and the company performance. However, CEO turnover does not affect the stock market performance through company performance. Then, the company performance is not an intervening variable of the effect of the CEO turnover on the stock market performance.
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Fahira, Suri Rahma, and Islahuddin Islahuddin. "THE ANALYSIS OF PRICE AND TRADING VOLUME OF STOCKS IN THE INFRASTRUCTURE SECTOR LISTED ON IDX BEFORE AND AFTER THE PRESIDENTIAL ELECTION 2019." Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi 5, no. 3 (August 1, 2020): 412–28. http://dx.doi.org/10.24815/jimeka.v5i3.16054.
Повний текст джерелаАнотація:
The purpose of this research is to analyze the market reaction to the presidential election year 2019 indicated by the average price and trading volume of stocks in the infrastructure sector listed on the Indonesia Stock Exchange before and after the Presidential Election. This research used t-test model. It was found that there was no reaction in stock price, both between sectors and within infrastructure sector. While in the volume of trading, there was reaction between sectors, but there was no reaction within infrastructure sector. So, there is market reaction in Indonesia capital market during the event, but the reaction may not be affected by political event. In other words, Indonesian capital market (in this case IDX) did not react to the presidential election
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Kristanti, Farida Titik, Dwi Fitrizal Salim, Arum Indrasari, and Zaenal Aripin. "A stock portfolio strategy in the midst of the COVID-19: Case of Indonesia." Journal of Eastern European and Central Asian Research (JEECAR) 9, no. 3 (June 4, 2022): 422–31. http://dx.doi.org/10.15549/jeecar.v9i3.822.
Повний текст джерелаАнотація:
Stock price movements are interesting to discuss, because from these price movements investors will get capital gains. Problems arose, however, when Covid-19 hit the world, especially in Indonesia. The purpose of this study, then, is to determine whether there is a relationship and difference in return and risk between Economic Value Added (EVA) and Market Value added (MVA) portfolios in the Indonesian stock market. The sample used is 24 stocks with daily stock return data for the 2015-2020 period. The results of the study found something new, namely that there was a relationship and difference between returns and risks in the EVA and MVA portfolios in Indonesia. In addition, the research succeeded in forming EVA and MVA portfolios that exceeded market returns in Indonesia. The best strategy that investors can apply in investing is to use an active strategy, especially during conditions, such as the Covid-19 pandemic, which have an impact on high market fluctuation.
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Hanafi, Mamduh M. "Unusual Market Activity Announcements: A Study of Price Manipulation on the Indonesian Stock Exchange." Gadjah Mada International Journal of Business 12, no. 2 (May 12, 2010): 159. http://dx.doi.org/10.22146/gamaijb.5511.
Повний текст джерелаАнотація:
We investigate stocks involved in the Unusual Market Activity (UMA) Announcements. The Indonesian Stock Exchange occasionally issues UMA announcements when it suspects that there are unusual price increases (positive UMAs) or price decreases (negative UMAs), as well as unusual increases in trading volumes. We believe that UMA announcements signal a high probability that stocks are being manipulated. We find no differences in fundamentals and trading variables between stocks in the UMA announcements and those not in the UMA announcements. Any stock is vulnerable to market manipulation. Stocks in the UMA announcements do not exhibit reversal patterns, suggesting that price effect is permanent. UMAs seem to convey relevant information, which is most likely in the form of insider type of information.Keywords: emerging market; price manipulation; unusual market activity announcement.
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Chairunnisa, Ananda, and Zuliani Dalimunthe. "Indonesian Stock’s Influencer Phenomenon: Did Financial Literacy on Millennial Age Reduce Herding Behavior?" Jurnal Akuntansi dan Keuangan 23, no. 2 (November 23, 2021): 62–68. http://dx.doi.org/10.9744/jak.23.2.62-68.
Повний текст джерелаАнотація:
In Indonesia's capital market, there was a phenomenon that famous influencers seem to lead to behavioral bias in the stock market. The stock price changed significantly after those stock influencers shared information or recommended certain stocks. This research examined how the stock influencer's credibility affected investors' investment in recommended stock. We collected data from 132 individual investors who participated in the research. We used a questionnaire with a 5-Likert scale. The result showed that an influencer's credibility had a significant influence on investors' herding behavior. However, there was no significant evidence that financial literacy matters in that relationship. Interestingly, we found there was no significant difference in herding behavior between millennial and non-millennial investors.
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Setianingrum, Pristina Hermastuti, and Doddi Prastuti. "Analisis Korelasi dan Kointegrasi Indeks Pasar Saham Utama Dunia dan IDX Tahun 2013 - 2019." Jurnal Akuntansi dan Manajemen 19, no. 01 (June 23, 2022): 22–48. http://dx.doi.org/10.36406/jam.v19i01.531.
Повний текст джерелаАнотація:
The Indonesia Stock Exchange (IDX) is one of the fastest growing capital markets. The relatively large proportion of foreign investment in the IDX is expected to cause a high frequency of inflows and outflows of funds from the IDX. There is a possibility that the inflows and outflows of the IDX will move to the stock exchanges of other countries which provide better profit opportunities. This study is to find out how big the correlation and cointegration of the world's major stock market indices, namely the European stock market represented by the London stock market (FTSE-100), the American stock market represented by the New York stock market (DJI), the Asian stock market represented by stock market in Singapore (STI) and Hong Kong (HKEX) against the composite stock price index on the Indonesia Stock Exchange (IDX). The conclusions obtained are (i) there is a positive (weak to moderate) and significant correlation between FTSE-100 with IDX, DJI with IDX, STI with IDX and HKEX with IDX, (ii) there is cointegration between FTSE-100 with IDX, DJI with IDX , STI with IDX and HKEX with IDX. Cointegration between the IDX composite stock price index and the stock market index in four other countries minimizes the possibility for investors to gain arbitrage profits by investing in foreign exchanges. (iii) FTSE-100, DJI, STI, HKEX and IDX do not have a unit root test, this means that the data in period t-1 does not affect the data in period t. This also means that the stock market in this study is a random walk
Keywords: correlation, cointegration, arbitrage profit, Indonesian stock exchange, world's major stock market, random walk
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Da Costa, Giovaninho Ferreira, and I. Made Sukartha. "Perbandingan Reaksi Pasar di AS, China dan Indonesia terhadap Perundingan Perang Dagang AS-China." E-Jurnal Akuntansi 30, no. 9 (September 27, 2020): 2270. http://dx.doi.org/10.24843/eja.2020.v30.i09.p08.
Повний текст джерелаАнотація:
This study aims to examine the market reaction in the American, Chinese, and Indonesian stock markets about the announcement of the results of the US-China trade war negotiations. The events of the trade war negotiations took place on 10-11 October 2019. This research used the event study method and the purposive sampling method. The population in this study consisted of Dow 30, SSE 50 and LQ45 stock indices with a total sample of 123 companies. The study used Cumulative Abnormal Return (CAR) as a variable which was data from the Dow 30, SSE 50, and LQ45 stock indices during the event window. Based on the results of the analysis, it was found that there was a market reaction on the American, Chinese, and Indonesian stock markets on the announcement of the results of the US-China trade war negotiations. So there is information content for the event. The results also showed that there were differences in reactions between the American, Chinese, and Indonesian stock markets on the announcement of the results of the US-China trade war negotiations.
Keywords: Market Reaction; Cumulative Abnormal Return; Trade War Negotiations.