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Optimal level, Partial Speed of Adjustment and Determinants of Corporate Cash Holding: Evidence from MENA Countries 企业现金持有量的最优水平、部分调整速度与决定因素:来自中东和北非国家的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2021-01-13 DOI: 10.21002/ICMR.V13I1.12840
Abdessamad Raghibi, Cuong Nguyen Thanh, L. Oubdi
{"title":"Optimal level, Partial Speed of Adjustment and Determinants of Corporate Cash Holding: Evidence from MENA Countries","authors":"Abdessamad Raghibi, Cuong Nguyen Thanh, L. Oubdi","doi":"10.21002/ICMR.V13I1.12840","DOIUrl":"https://doi.org/10.21002/ICMR.V13I1.12840","url":null,"abstract":"This paper investigates the existence of an optimal cash level, speed of adjustment, and cash holding determinants. The threshold regression and dynamic model were used in this study on four MENA countries from 2007 to 2018. The findings show there is a nonlinear relationship between cash level and firm’s value which is consistent with the trade-off theory. Furthermore, our study confirms that firms holding cash above the optimal level of having a lower speed of adjustment than the firms with cash levels below the optimal level with size, growth, and net-working capital being key corporate cash determinants. Our results extend the theoretical implications of the trade-off theory to MENA countries and would help corporate policymakers to adjust their cash levels within the thresholds’ levels to maximize their firm value.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":"26-38"},"PeriodicalIF":0.4,"publicationDate":"2021-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47733720","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Determinants and Prediction Accuracy of Price Multiples for South East Asia: Conventional and Machine Learning Analysis 东南亚价格倍数的决定因素和预测精度：传统和机器学习分析
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-11-06 DOI: 10.21002/ICMR.V12I1.12051
Himanshu Joshi, R. Chauha
{"title":"Determinants and Prediction Accuracy of Price Multiples for South East Asia: Conventional and Machine Learning Analysis","authors":"Himanshu Joshi, R. Chauha","doi":"10.21002/ICMR.V12I1.12051","DOIUrl":"https://doi.org/10.21002/ICMR.V12I1.12051","url":null,"abstract":"The present study evaluates determinants of price multiples and their prediction accuracy using ordinary least square (OLS) regression and machine learning-based shrinkage methods for the South East Asian markets. Price multiples examined in the research are price to earnings (P/Es), price to book (P/B), and price to sales (P/S). Data has been collected from Thomson Reuters Eikon. The study recommends that the P/B ratio is the best price multiple for developing a price-based valuation model. Beside fundamental determinants of the multiple, various firm-level control variables, namely, firm size, cash holding, strategic holding, stock price volatility, firms’ engagement in Environment, Social, and Governance (ESG) activities, dividend yield, and net profit margin impact firm’s P/B multiple. Positive coefficients of consumer non-cyclical and healthcare dummies indicate a preference for defensive stocks by the investors. Application of machine learning-based shrinkage methods ensures the accuracy of prediction even with out-of-sample forecasting.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":"42-54"},"PeriodicalIF":0.4,"publicationDate":"2020-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46972686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Volatility Forecasts Jakarta Composite Index (JCI) and Index Stock Volatility Sector with Estimated Time Series 波动率预测雅加达综合指数(JCI)和指数股票波动率部门估计的时间序列
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-11-06 DOI: 10.21002/ICMR.V12I1.12049
Muhammad Rifki Bahtiar
{"title":"Volatility Forecasts Jakarta Composite Index (JCI) and Index Stock Volatility Sector with Estimated Time Series","authors":"Muhammad Rifki Bahtiar","doi":"10.21002/ICMR.V12I1.12049","DOIUrl":"https://doi.org/10.21002/ICMR.V12I1.12049","url":null,"abstract":"This study aims to explore the comparative ability of forecasting models and the time series volatility of capital markets in Indonesia using JCI daily index data and sectoral indices from January 2010 to December 2014. The use of ARCH-family ARCH model (1.1) and GARCH (1.1) used to capture symmetrical effects, while TGARCH (1.1), EGARCH (1.1), APGARCH (1.1) on asymmetric effects. The results show that JCI return has an asymmetrical effect and the closest forecasting model is EGARCH (1.1). Returns for AGRI, MINING, BASICIND, INFRA, FIN, TRADE indices also have asymmetrical effects but are modeled with TGARCH (1.1). Meanwhile, the MISCIND, CONSUMER, PROPERTY indexes have a symmetrical effect and are modeled with GARCH (1.1). These models can explain forecasting closest to the real as well as provide guidance investors in the Indonesia capital market as one of the emerging markets","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":"12-27"},"PeriodicalIF":0.4,"publicationDate":"2020-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46701716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Capital Market and Financial Development on Growth: A Panel ARDL Analysis 资本市场和金融发展对增长的影响:一个面板ARDL分析
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-11-06 DOI: 10.21002/ICMR.V12I1.12050
Michael Appiah (PhD), Derrick Yaw Idan Frowne, Derrick Tetteh
{"title":"Capital Market and Financial Development on Growth: A Panel ARDL Analysis","authors":"Michael Appiah (PhD), Derrick Yaw Idan Frowne, Derrick Tetteh","doi":"10.21002/ICMR.V12I1.12050","DOIUrl":"https://doi.org/10.21002/ICMR.V12I1.12050","url":null,"abstract":"This study evaluates the influence of capital market development and financial development on growth in the three West African countries. Data used for the research is from the World Bank and Pen World Table (PWT). This research uses the Panel ARDL test to examine the long-term relationship, as well as the error correction model to analyze the existence of a short-term relationship. The results show that in both the long term and short term, there is a negative influence of capital market development on economic growth. On the same line, in the long term, financial development is also negatively associated with growth and has no significant impact on economic growth. The ECM results indicate that there is a long-run causality effect between capital market development, financial development, and economic growth.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":"28-41"},"PeriodicalIF":0.4,"publicationDate":"2020-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43622550","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
The Impact of Trade Openness and Financial Openness on Information Efficiency of Five ASEAN Countries’ Stock Market 2000-2014 贸易开放和金融开放对2000-2014年东盟五国股市信息效率的影响
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-10-09 DOI: 10.21002/ICMR.V11I2.12352
S. Nugroho, D. Danarsari
{"title":"The Impact of Trade Openness and Financial Openness on Information Efficiency of Five ASEAN Countries’ Stock Market 2000-2014","authors":"S. Nugroho, D. Danarsari","doi":"10.21002/ICMR.V11I2.12352","DOIUrl":"https://doi.org/10.21002/ICMR.V11I2.12352","url":null,"abstract":"This paper investigates the impact of trade openness and financial openness towards information efficiency of the ASEAN countries’ stock market. The sample consists of the five most developed stock markets in the ASEAN region – Indonesia, Malaysia, the Philippines, Singapore, and Thailand, covering research period of 2000-2014. This study employs panel data analysis in the model. The result suggests that, when Singapore is excluded from the sample, de facto trade openness has a negative impact on information efficiency, while de facto financial openness has a positive impact on information efficiency. De jure measure is shown to have no significant impact on information efficiency.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2020-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43007232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Impact of Founder on the IPO Flipping Activity during Pre and Post-Global Financial Crisis 全球金融危机前后创始人对IPO转投活动的影响
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-07-23 DOI: 10.21002/ICMR.V12I2.12186
Hon-Wei Leow, Wee‐Yeap Lau
{"title":"Impact of Founder on the IPO Flipping Activity during Pre and Post-Global Financial Crisis","authors":"Hon-Wei Leow, Wee‐Yeap Lau","doi":"10.21002/ICMR.V12I2.12186","DOIUrl":"https://doi.org/10.21002/ICMR.V12I2.12186","url":null,"abstract":"This study examines the impact of the founder on the IPO flipping activity in the Malaysian stock market, especially the Main and ACE Market, across the Global Financial Crisis (GFC) period from January 2006 to December 2016. Multiple regression models have been used to evaluate the interaction of the founder and other independent variables. Using three sub-periods, namely pre- GFC, GFC, and Post-GFC, our results show: Firstly, the founder by itself does not have any impact on flipping activity. However, the interaction of founder and oversubscription ratio reduces flipping activity in the pre-crisis period. Secondly, the interaction of founder and firm age is significant during the GFC period. Thirdly, in post-GFC, the interaction between founder-firm age, founder-offer period are essential factors. Overall, it is found that firm age and IPO offer period have an impact on flipping activity in the Main and ACE Market.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47680634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Examining Causality Effects On Stock Returns, Foreign Equity Inflow, and Investor Sentiment: Evidence From Indonesian Islamic Stocks 考察股票回报、外国股本流入和投资者情绪的因果关系效应：来自印尼伊斯兰股票的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-07-23 DOI: 10.21002/ICMR.V12I2.12750
Rizal Ansari, Rizqi Umar Al Hashfi, B. Setiyono
{"title":"Examining Causality Effects On Stock Returns, Foreign Equity Inflow, and Investor Sentiment: Evidence From Indonesian Islamic Stocks","authors":"Rizal Ansari, Rizqi Umar Al Hashfi, B. Setiyono","doi":"10.21002/ICMR.V12I2.12750","DOIUrl":"https://doi.org/10.21002/ICMR.V12I2.12750","url":null,"abstract":"Our study aims to examine the relation of stock return, foreign equity inflow, and investor sentiment in Indonesian Islamic stocks. We use monthly data from 2012 to 2018 and 109 firms with 9,156 total observations. Considering heterogeneity and endogeneity assumption, our models are estimated by the system generalized method of moment. Our research found a positive bi-directional effect between stock return and investor sentiment on the contemporaneous period and the uni-directional effect in which investor sentiment negatively impacts stock return. Our research also found a between stock return and foreign investor inflow. Last but not least, those imply to asset pricing, trading strategy, and portfolio management in Islamic shares.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43856602","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
How Corporate Political Strategies Are Related to Cost of Debt? 企业政治策略与债务成本的关系?
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-07-23 DOI: 10.21002/ICMR.V12I2.12187
Aamir Amanat, Ahmed Imran Hunjra, F. Ahmed
{"title":"How Corporate Political Strategies Are Related to Cost of Debt?","authors":"Aamir Amanat, Ahmed Imran Hunjra, F. Ahmed","doi":"10.21002/ICMR.V12I2.12187","DOIUrl":"https://doi.org/10.21002/ICMR.V12I2.12187","url":null,"abstract":"There are many factors, which play a vital role in the financing decisions of firms, and one of the important factors is corporate political strategies. This study examines the impact of corporate political strategies on the cost of debt of non-financial firms listed in the Pakistan Stock Exchange (PSX). Corporate political strategies are measured through political connections. We use panel data of 250 firms from 2001 to 2018. Panel regression is applied to analyze the results. This study finds corporate political strategies negatively affect the cost of debt. This study provides useful policy implications for corporate stakeholders to know the importance of political connections while making the financing decision.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":"85-92"},"PeriodicalIF":0.4,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43336871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Systemically Important Banks in Indonesia: Findings From Multivariate GARCH Conditional Value at Risk 印度尼西亚具有系统重要性的银行:来自多变量GARCH风险条件价值的研究结果
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-07-23 DOI: 10.21002/ICMR.V11I2.12185
Usman Arief, Z. Husodo
{"title":"Systemically Important Banks in Indonesia: Findings From Multivariate GARCH Conditional Value at Risk","authors":"Usman Arief, Z. Husodo","doi":"10.21002/ICMR.V11I2.12185","DOIUrl":"https://doi.org/10.21002/ICMR.V11I2.12185","url":null,"abstract":"We investigate the systemically important banks in the Indonesian financial system using Multivariate GARCH Conditional Value at Risk (CoVaR). The systemic risk measurement, ΔCoVaR, defined as the change from CoVaR in its benchmark state as a one-standard-deviation event to its CoVaR under financial distress. We estimate the systemic risk contribution using 21 commercial banks from January 2007 to December 2018. Our study reveals that the top five ranking systemic banks are dominated by state-owned banks, and its ranking is consistently the same in the period before, during, and after the global financial crisis. Finally, we empirically find that systemic risk in Indonesia is strongly affected by external factors rather than bank characteristics. Based on this finding, we suggest that the government should maintain the regulation of external effect rather than the domestic effect.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47370005","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index 亚洲股票价格指数与雅加达综合指数的协整与联动
IF 0.4
Indonesian Capital Market Review Pub Date : 2020-06-11 DOI: 10.21002/ICMR.V12I1.12175
Stevanius Stevanius, Sukmawati Sukamulja
{"title":"Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index","authors":"Stevanius Stevanius, Sukmawati Sukamulja","doi":"10.21002/ICMR.V12I1.12175","DOIUrl":"https://doi.org/10.21002/ICMR.V12I1.12175","url":null,"abstract":"The profit from international diversification to eliminate risks has caused investors to spread their capital to different international stock exchanges. The dynamic relations among stock exchanges indicate the presence of one or two-way relations among the stock exchanges. This happens because of the interdependence and integration that takes place among stock exchanges, such as interdependence among Asian markets.  This research aims to analyze and discuss co-integration and co-movement between Asian stock price index and Indonesia. The research design used Vector Error Correction Model. The results of this research prove that in the short-term, there is a relationship between Kuala Lumpur Composite Index, Stock Exchange of Thailand Index, and Hang Seng Index against Jakarta Composite Index. In the results of co-integration test, there are co-integration and co-movement between the capital markets of Malaysia, Thailand, South Korea, Japan, Singapore, and Hong Kong with Indonesia capital market.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"53 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2020-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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