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High-Frequency Trading Activities and Brokerage Firms Effect : Empirical Evidence From the Indonesia Stock Exchange 高频交易活动与经纪公司效应:来自印尼证券交易所的经验证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-08-28 DOI: 10.21002/ICMR.V11I1.11175
Redik Brasiano, Mamduh M. Hanafi, Usman Arief
{"title":"High-Frequency Trading Activities and Brokerage Firms Effect : Empirical Evidence From the Indonesia Stock Exchange","authors":"Redik Brasiano, Mamduh M. Hanafi, Usman Arief","doi":"10.21002/ICMR.V11I1.11175","DOIUrl":"https://doi.org/10.21002/ICMR.V11I1.11175","url":null,"abstract":"This research studies the trading activity of type of traders through their brokers. Order imbalance is believed to be a better proxy for explaining trading activity. This paper presents some empirical test that on brokerage level analysis exhibit information paradigm in Indonesia which market makers and specialist are not available. We divide imbalances into groups of samples (all stocks and most liquid stocks), trader type (foreign or domestic) and size of brokerage firm (small to big). Our results show that order imbalances generally have a positive serial correlation for all the traders and brokers analyzed. However, we find that the determinant of order imbalances is a particular phenomenon at the brokerage level, whose results differ from our market-wide analysis. We do not find that previous order imbalances can predict market returns across trader type and brokerage class. In contrast, for the inventory paradigm, the evidence from the brokerage level analysis indicates that information dissemination is induced order imbalance by brokerage house.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V11I1.11175","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42578959","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
Domestic and Foreign Investor Dynamics in Indonesian Stock Exchange : Evidence from 10 Years High-Frequency Data 印尼证券交易所的国内外投资者动态:来自10年高频数据的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-08-28 DOI: 10.21002/ICMR.V11I1.11176
Abdurrahman Arroisi, Deddy P. Koesrindartoto
{"title":"Domestic and Foreign Investor Dynamics in Indonesian Stock Exchange : Evidence from 10 Years High-Frequency Data","authors":"Abdurrahman Arroisi, Deddy P. Koesrindartoto","doi":"10.21002/ICMR.V11I1.11176","DOIUrl":"https://doi.org/10.21002/ICMR.V11I1.11176","url":null,"abstract":"This study analyses price impact, herding behaviour, and feedback trading of domestic and foreign investors in Indonesia Stock Exchange (IDX) by employing vector autoregressive models using high-frequency transaction data in the period of 2008 – 2017. We find that domestic investors impact return negatively whereas foreign investors have no impact to return. In terms of herding behavior, domestic and foreign investors herd to themselves strongly. Domestic investors reverse-herd to foreign investors in the short-term (1 day) but no consistent pattern in the opposite direction. Regarding feedback trading, both domestic and foreign investors are contrarian in the big and medium cap portfolios but employ momentum strategy in the small cap portfolio. We also find that, in the crisis period, price impact is more pronounced in terms of economic and statistical significance. On the other hand, evidence of herding behavior and feedback trading decreases in market downturns, although with the same patterns overall.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V11I1.11176","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41716262","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
The Profitability of Momentum Strategies : A Study of Indonesian Stock Exchange 动量策略的盈利能力:以印尼证券交易所为例
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-08-28 DOI: 10.21002/ICMR.V11I1.11174
Rakhmat Luthfiansyah Mosii, S. Wibowo
{"title":"The Profitability of Momentum Strategies : A Study of Indonesian Stock Exchange","authors":"Rakhmat Luthfiansyah Mosii, S. Wibowo","doi":"10.21002/ICMR.V11I1.11174","DOIUrl":"https://doi.org/10.21002/ICMR.V11I1.11174","url":null,"abstract":"We investigate the profitability of style and price momentum strategy in the Indonesian stock market from the year 2000 to 2015. We find the style momentum strategy yields significant positive returns while the price momentum strategy tends to produce negative returns. This result confirms the findings of Lewellen (2002) that style momentum returns are generally stronger than the conventional momentum. The average monthly returns of the double-sorted size-B/M style momentum are ranging from 1.98% to 2.64% and persistent after controlling for market factor using JSX index. Our findings suggest investors should utilize publicly available information such as size and book-to-market ratio on their investment decision in the Indonesian stock market.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44591055","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
Bowman’s Paradox: Prospect-Theory-Based Risk-Return Relationship (Some Recent Evidence in Indonesia) 鲍曼悖论：基于前景理论的风险收益关系（印尼最近的一些证据）
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-08-28 DOI: 10.21002/ICMR.V11I1.11173
Rikko Sajjad Nuir, Asri Marwan
{"title":"Bowman’s Paradox: Prospect-Theory-Based Risk-Return Relationship (Some Recent Evidence in Indonesia)","authors":"Rikko Sajjad Nuir, Asri Marwan","doi":"10.21002/ICMR.V11I1.11173","DOIUrl":"https://doi.org/10.21002/ICMR.V11I1.11173","url":null,"abstract":"There is extensive evidence indicating a negative risk–return relation when a firm’s performance is measured based on accounting measures, such as its Return on Assets (ROA) and Return on Equity (ROE). Previous studies show that the risk-return paradox can be explained by the prospect theory, which predicts that managers’ risk attitudes are different for firms with differing performance. This study will test whether there is a risk-return paradox in the context of Indonesian companies. This study uses ROA and its standard deviation to define return and risk. Industry level and market level median ROA are used as reference points. Three control variables (firm size, leverage as a proxy of firm risk, and company age) are included in the model to increase the robustness of this research. A new sample of nine industries (about 488 firms) over a 10-year period (2008-2017) provides strong evidence that the risk-return paradox exists in Indonesia. In particular, firms which are below their target level are found to be risk takers (Hl) while organizations above their target level are risk averse (H2); moreover, the below-target slope was generally steeper than the above-target slope (H3). These results support the basic propositions of the prospect theory.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48426456","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
Trading Frequency in KSE – 100 Index Using Pastor and Stambaugh Model 基于Pastor和Stambaugh模型的KSE–100指数交易频率
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-08-28 DOI: 10.21002/ICMR.V11I1.11177
F. Ahmed, M. Ali, M. Raza, Mohamed Sajid Ullah
{"title":"Trading Frequency in KSE – 100 Index Using Pastor and Stambaugh Model","authors":"F. Ahmed, M. Ali, M. Raza, Mohamed Sajid Ullah","doi":"10.21002/ICMR.V11I1.11177","DOIUrl":"https://doi.org/10.21002/ICMR.V11I1.11177","url":null,"abstract":"The study aims to asses Pastor & Stambaugh model on Pakistan Stock Exchange (KSE-100 Index) from 2007 to 2017. Four commonly asset pricing factors are tested including market risk, size, value and liquidity premium. Except for the value premium, all factors are statistically found significant. Pertinent to mention that liquidity factor is initially found insignificant since annual returns are calculated. H owever, after taking most liquid sector during the period (Chemical Sector) the liquidity measure is derived through monthly returns. The result of the study is backed with Utility preference theory because it is observed that investors do prefer more liquid stocks and as a result when pricing securities liquidity factor holds an important position.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48674725","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
Cost of Financial Distress and Firm Performance 财务困境成本与企业绩效
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-05-04 DOI: 10.21002/ICMR.V10I2.10831
Estu Widarwati, D. Sartika
{"title":"Cost of Financial Distress and Firm Performance","authors":"Estu Widarwati, D. Sartika","doi":"10.21002/ICMR.V10I2.10831","DOIUrl":"https://doi.org/10.21002/ICMR.V10I2.10831","url":null,"abstract":"The business performance become an important thing to be main goal of firm activities to get the competitive advantage, but it is contrary with the recession may bring a probability of firm’s decreasing and liquidation. The uncertainty of global economy provides the importance in developing model to monitor, identify and asses potential risks which can threat business sustainability. Cost of Financial Distress (CFD) is one of tools for identifying firm performance decline early risk such as sales growth and stock return, so it can reduce the loss possibility before all lead to bankruptcy. This research aims to explain the evidence of CFD in Indonesia by using opportunity loss and consequency to firm performance. The datas used are 231 firms of Indonesia Stock Exchange (IDX) in 2011 – 2015 and panel regression used for presenting the impact of CFD to firm performance.  Consistency of the theory that cost tend to increase following cash flow realization which may be lower in uncertainty of economiy.  The analysis finds that Indonesia’s industry have higher CFD and low sales growth after base d year of uncertainty economy. The regression result also finds CFD have negative impact to firm’s sales growth. The result propose that CFD can be used as an early detection tool for reducing loss possibility of firm’s market share.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V10I2.10831","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41577392","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
Effects of Corporate Governance and Capital Structure on Firms’ Performance: Evidence from Major Sectors of Pakistan 公司治理和资本结构对企业绩效的影响:来自巴基斯坦主要行业的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-04-24 DOI: 10.21002/ICMR.V10I2.10873
F. Ahmed, Suman Talreja, Muhammad Kashif
{"title":"Effects of Corporate Governance and Capital Structure on Firms’ Performance: Evidence from Major Sectors of Pakistan","authors":"F. Ahmed, Suman Talreja, Muhammad Kashif","doi":"10.21002/ICMR.V10I2.10873","DOIUrl":"https://doi.org/10.21002/ICMR.V10I2.10873","url":null,"abstract":"This study aims to examine the effects of corporate governance and capital structure on firm’s performance. Panel pooled regression method were applied on annual data of two major sectors: automobile & fertilizers from 2006 to 2016. Findings show that board size have positive relationship & audit committee has negative relationship with profitability of automobile sector and vice versa for fertilizers sector. Capital structure is measured by current ratio, debt to equity, short term & long term debt whereas profitability is measured by ROA and ROE. Positive relation of current ratio and profitability of both sectors is observed and the negative relationship of debt to equity of both the sectors has been observed whereas short and long-term debt has no significant relationship in fertil- izers sector. The results should be of great importance to investors, creditors, financial analysts and academicians especially after global financial crisis and collapses of giant organizations worldwide.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V10I2.10873","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46459849","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: 13
Financial development and total factors productivity channel: Evidence from Africa 金融发展与全要素生产率通道:来自非洲的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-04-04 DOI: 10.21002/icmr.v10i2.10827
E. Ezzahid, Zakaria Elouaourti
{"title":"Financial development and total factors productivity channel: Evidence from Africa","authors":"E. Ezzahid, Zakaria Elouaourti","doi":"10.21002/icmr.v10i2.10827","DOIUrl":"https://doi.org/10.21002/icmr.v10i2.10827","url":null,"abstract":"We explore the links between financial development and economic growth through Total Factors Productivity canal in African economies. First, we use a composite index to gauge the levels of financial development in 40 African economies during the period 2004-2014. Second, we study the Finance-Total Factors Productivity (TFP) relationship in a panel of 22 economies classified by their income level. The main results of our study show that financial development in Africa promotes economic growth, improves the allocation investment, and stimulates total factors productivity, but affects negatively saving mobilization. Results by group of countries show that financial development does not promote total factors productivity in low-income and upper-middle-income countries. For low-income countries, this is due to the inadequacy of financial services available to the needs of economic agents. For the second category of countries, this result is probably due to the fact that the financial system is biased toward the formal sector, which does not make enough efforts to increase TFP. The Finance-TFP relationship is significantly positive in the lower middle-income countries. the reforms of African financial systems have to be designed and directed to increase the adequacy of financial services to the needs of each economy and its development level. Financial sectors should encourage the accumulation of inputs in factors-driven economies, improve the reallocation of resources to high-productivity sectors in efficiency-driven economies, and finance Innovation in innovation-driven economies.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/icmr.v10i2.10827","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46448485","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
Long Memory in the Indonesia Stock Exchange 印尼证券交易所的长记忆
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-04-04 DOI: 10.21002/ICMR.V10I2.10826
M. P. Panggabean
{"title":"Long Memory in the Indonesia Stock Exchange","authors":"M. P. Panggabean","doi":"10.21002/ICMR.V10I2.10826","DOIUrl":"https://doi.org/10.21002/ICMR.V10I2.10826","url":null,"abstract":"The aim of this study is to investigate the existence of long-memory process in the Indonesia stock market. This study provides two major contributions and one anomaly. First, this is the first study on long-memory conducted on the Indonesia Stock Exchange at individual stocks. Second, this study uses the method of Detrended Fluctuation Analysis (DFA), supplemented by empirical confidence interval introduced by Weron (2002) and Kristoufek (2010). Our analysis uncover an anomaly that three out of thirteen of the most liquid shares in the Indonesia Stock Exchange exhibit mild long memory process in the daily return data. This result, however, is not robust to length of series utilized. All thirteen stocks exhibit long memory process in the absolute daily return which represent risk.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43834427","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
Investigating the Impact of Oil Price and Exchange Rate Uncertainty on Stock Return using Whitening Linear Transformation and Vector Autoregressive Model 利用白化线性变换和向量自回归模型研究油价和汇率不确定性对股票收益的影响
IF 0.4
Indonesian Capital Market Review Pub Date : 2019-04-04 DOI: 10.21002/ICMR.V10I2.10828
M. Farahani, Alireza Heidarzadeh Hanzaee
{"title":"Investigating the Impact of Oil Price and Exchange Rate Uncertainty on Stock Return using Whitening Linear Transformation and Vector Autoregressive Model","authors":"M. Farahani, Alireza Heidarzadeh Hanzaee","doi":"10.21002/ICMR.V10I2.10828","DOIUrl":"https://doi.org/10.21002/ICMR.V10I2.10828","url":null,"abstract":"This study aims at investigating the impact of oil price and exchange rate uncertainty on stock returns in Tehran Securities Exchange (TSE). To this end, \"oil price uncertainty\" and \"exchange rate uncertainty\" are considered as independent variables and \"return on stocks\" as the dependent variable. Daily data on the price of heavy oil, official exchange rate and Tehran Exchange Price Index (TEPIX) are used from 1 January 2002 to 31 December 2012. To evaluate the impact of oil price and exchange rate uncertainty on stock returns, the uncertainty is measured using Whitening Linear Transformation method and is estimated using the Vector Auto Regressive model. Results of the estimations of the model show that there is a significant relation between the uncertainty of oil price and stock returns and another between the uncertainty of exchange rate and stock returns. Thus, the hypothesis of this study are confirmed by the error level of 0.05","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2019-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V10I2.10828","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47605492","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
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