发布求助
文献互助 智能选刊 最新文献

Indonesian Capital Market Review最新文献

筛选
英文 中文
DCC-GARCH Application in Formulating Dynamic Portfolio between Stocks in the Indonesia Stock Exchange with Gold DCC-GARCH在印尼黄金交易所股票动态投资组合中的应用
IF 0.4
Indonesian Capital Market Review Pub Date : 2018-10-21 DOI: 10.21002/ICMR.V10I1.10821
R. Robiyanto
{"title":"DCC-GARCH Application in Formulating Dynamic Portfolio between Stocks in the Indonesia Stock Exchange with Gold","authors":"R. Robiyanto","doi":"10.21002/ICMR.V10I1.10821","DOIUrl":"https://doi.org/10.21002/ICMR.V10I1.10821","url":null,"abstract":"T his study tries to form a portfolio by using a method which may accommodate the dynamic of assets correlation and the abnormality of stock return distribution namely DCC-GARCH. Th e objective of th is study is to combine individual stocks with gold, so retail investor can also apply this method. This study us ing data from January 200 9 –December 201 7 period. Samples in this study were nine stocks. The results of this study showed that there were two stocks with higher Sharpe Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA -Gold and SMCB -Gold than unhedged portfolio . And there are three stocks with higher Treynor Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA -Gold , SMCB -Gold and UNTR-Gold than unhedged portfolio . This finding proves that the DCC-GARCH application can improve the risk-adjusted return of these stocks when combined with gold.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2018-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V10I1.10821","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45992682","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: 7
The High-Low Intraday Performance of Initial Public Offerings during Global Financial Crisis: Evidence from Malaysian Stock Market 全球金融危机期间首次公开募股日内表现的高低——来自马来西亚股市的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2018-10-21 DOI: 10.21002/ICMR.V10I1.10015
Wee‐Yeap Lau
{"title":"The High-Low Intraday Performance of Initial Public Offerings during Global Financial Crisis: Evidence from Malaysian Stock Market","authors":"Wee‐Yeap Lau","doi":"10.21002/ICMR.V10I1.10015","DOIUrl":"https://doi.org/10.21002/ICMR.V10I1.10015","url":null,"abstract":"This study investigates the high-low intraday Performance of Initial Public Offering (IPO) during Global Financial Crisis (GFC) from January 2006 to December 2011. Models comprise of hierarchical and dummy variable regressions are evaluated. Our results show: Firstly, it can be observed that intraday IPOs performance are generally lower due to the GFC; Secondly, investors receive 7 to 30 percent IPO intraday returns on average in the first trading day of pre-GFC, -5 to 11 percent during GFC, and -4 to 14 percent in the post-GFC; and thirdly, the GFC does not act as a moderator that worsens the relationship between intraday IPO performance and oversubscription ratio. The empirical results are robust as both results from the dummy variable and hierarchical regressions yield a similar conclusion. As for policy implication, this study dispels the notion that investors should totally shun the IPOs during GFC period as there are still positive intraday returns among the new issues .","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2018-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49490068","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
The High-Low Intraday Performance of Initial Public Offerings during Global Financial Crisis : Evidence from Malaysian Stock Market 全球金融危机中首次公开发行的高-低盘中表现:来自马来西亚股市的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2018-03-21 DOI: 10.21002/icmr.v10i1.10818
Wee-Yeap Lau,Hon-Wei Leow
{"title":"The High-Low Intraday Performance of Initial Public Offerings during Global Financial Crisis : Evidence from Malaysian Stock Market","authors":"Wee-Yeap Lau,Hon-Wei Leow","doi":"10.21002/icmr.v10i1.10818","DOIUrl":"https://doi.org/10.21002/icmr.v10i1.10818","url":null,"abstract":"","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"10 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2018-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138530663","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
Sensitivity of Liquidity, Investment Decision, and Financial Constraints 流动性、投资决策和财务约束的敏感性
IF 0.4
Indonesian Capital Market Review Pub Date : 2018-03-21 DOI: 10.21002/ICMR.V10I1.10872
Riskin Hidayat, Sugeng Wahyudi, Harjum Muharam
{"title":"Sensitivity of Liquidity, Investment Decision, and Financial Constraints","authors":"Riskin Hidayat, Sugeng Wahyudi, Harjum Muharam","doi":"10.21002/ICMR.V10I1.10872","DOIUrl":"https://doi.org/10.21002/ICMR.V10I1.10872","url":null,"abstract":"This research aims to test the sensitivity level of liquidity and investment opportunity to investment decision between non-financially and financially constrained firms. The sampleon this research is the firms of Jakarta Islamic Index listed on Indonesia Stock Exchange from period 2011 to 2015. There are 13 sample firms obtained with 65 observations. This research uses moderating regresssion analysis. Independent variable is liquidity and investment opportunity, dependent variable is investment decision, moderating variable is financial constrains, and variable control is debt.This research classifies non financially constrains (NFC) and financial constrains (FC) firms into four steps by observing dividend policy, cash flow, debt (leverage), and investment opportunity. The result of research refers that liquidity and investment opportunity have a positive influence to investment decision. Liquidity is more sensitive to investment decision for financially constrained firms. Investment opportunity is more sensitive to investment decision for non-financially constrained firms. The result of robbusness test using sample of the firms LQ 45 period 2011 to 2015 with 23 sample firms obtained with 115 observations also shows the same result and consistent with sample firms in Jakarta Islamic Index.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"10 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2018-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42561460","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: 6
Trading Friction and Spread Decomposition in Indonesian Stock Exchange 印尼证券交易所的交易摩擦与价差分解
IF 0.4
Indonesian Capital Market Review Pub Date : 2018-03-21 DOI: 10.21002/ICMR.V10I1.10825
Immas Nurhayati, I. A. Ekaputra, Z. Husodo
{"title":"Trading Friction and Spread Decomposition in Indonesian Stock Exchange","authors":"Immas Nurhayati, I. A. Ekaputra, Z. Husodo","doi":"10.21002/ICMR.V10I1.10825","DOIUrl":"https://doi.org/10.21002/ICMR.V10I1.10825","url":null,"abstract":"We examine the intraday trading and price change for frequently traded stocks in Indonesian Stock Exchange. Using bid and ask price, trade price, number of trade, trade volume, we estimate trading friction and spread decomposition. The objective of the estimation is  to infer what is the biggest component of trading friction. The result of 50 most frequently traded stocks in the Indonesian Stock Exchange using trading friction estimator  conclude that  t he average trading friction of high market capitalization and the most relatively liquid stocks , scattered in various fractions price is equal to 1 % per year ,  and  the highest trading frictions derived from the information and it is consistent with spread decomposition estimator.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2018-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46922034","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 Objectives, Strategies and Characteristics of Individual Investors in the Tehran Stock Exchange 德黑兰证券交易所个人投资者的目标、策略和特点
IF 0.4
Indonesian Capital Market Review Pub Date : 2017-10-07 DOI: 10.21002/icmr.v9i1.6472
Shahmansuri Esfandyar, F. R. Roodposhti, N. Hashem, V. Reza
{"title":"The Objectives, Strategies and Characteristics of Individual Investors in the Tehran Stock Exchange","authors":"Shahmansuri Esfandyar, F. R. Roodposhti, N. Hashem, V. Reza","doi":"10.21002/icmr.v9i1.6472","DOIUrl":"https://doi.org/10.21002/icmr.v9i1.6472","url":null,"abstract":"The present study aims to investigate and classify individual investors' objectives and strategies in the Tehran Stock Exchange. This study used two sets of data, investors' questionnaire and real data in TSE to comparing individual investors' strategies versus market strategies and used T-test, ANOVA and (LSD) to test hypotheses. Investment objectives are classified into five groups: building a financial buffer, capital growth, saving for retirement, investing as a hobby, and speculation; and three most common investment strategies are fundamental, technical and intuitive. Ultimately,t he correlation between objectives and strategies is examined with the behavioral characteristics of investors, such as risk appetite, aspiration level and overconfidence. The results show that, investors with technical strategies have higher aspiration levels and appetite for risk than other investors. In addition, Investors with overconfidence have capital growth and building financial buffer objectives, and monthly average return of the fundamental strategy is higher than other strategies.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"9 1","pages":"11-26"},"PeriodicalIF":0.4,"publicationDate":"2017-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48121491","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 Dual-Beta Model: Evidence from the Malaysian Stock Market 双重贝塔模型：来自马来西亚股市的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2017-09-14 DOI: 10.21002/icmr.v9i1.6367
Kim-Sin Teh, Wee‐Yeap Lau
{"title":"The Dual-Beta Model: Evidence from the Malaysian Stock Market","authors":"Kim-Sin Teh, Wee‐Yeap Lau","doi":"10.21002/icmr.v9i1.6367","DOIUrl":"https://doi.org/10.21002/icmr.v9i1.6367","url":null,"abstract":"The study analyzes the beta-return characteristic, considering the asymmetric beta behavior in the up market versus the down market for the Bursa Malaysia (BM). This study uses a sample period from 2001-2015 with two dual-beta models, the capital asset pricing model (CAPM), and the Fama-French, three-factor (FF3F) model, to examine 60 stocks listed on the bourse. The estimated return and beta indicate that most stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is inferred that investors are rewarded with a positive risk premium for holding an asset in the down market, while the upside beta carries a negative premium. If news asymmetry captures a significant part of investors' risk perception in the market, there is evidence that a conditional FF3F model is more useful than a conditional CAPM, which is likened to both the dual-beta FF3F and the CAPM in an unconditional context. The purpose of this study is to analyze the beta-return characteristic, taking into account the asymmetric beta behavior in the upmarket versus the down market in the Bursa Malaysia (BM). This study takes place over a period of 15 years from 2001 to 2015 and utilizes dual beta models of CAPM and Fama-French model to examine 60 BM-listed stocks. The estimation of return and beta indicates that majority of stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is also inferred that investors are rewarded with positive risk premium for holding the asset in down market, while upside beta carries the negative premium. If news asymmetry is considered to capture a significant part of investors' risk perception in the Malaysian market, the findings constitute evidence that conditional Fama-French model is more useful than the conditional CAPM likened with both dual beta Fama-French 3-factor model and CAPM in unconditional context.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"9 1","pages":"39-52"},"PeriodicalIF":0.4,"publicationDate":"2017-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49277116","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 relationship between Malaysia’s residential property price index and residential properties loan supply 马来西亚住宅物业价格指数与住宅物业贷款供应的关系
IF 0.4
Indonesian Capital Market Review Pub Date : 2017-07-14 DOI: 10.21002/ICMR.V9I1.7207
C. Law, G. Lim
{"title":"The relationship between Malaysia’s residential property price index and residential properties loan supply","authors":"C. Law, G. Lim","doi":"10.21002/ICMR.V9I1.7207","DOIUrl":"https://doi.org/10.21002/ICMR.V9I1.7207","url":null,"abstract":"This paper examines the linkages between residential property prices and residential property loans in Malaysia from 1999 to 2015. Even though residential properties are a basic necessity, there are few studies that estimate the long-run and short-run relationships between loans and price levels in residential properties in Malaysia. The estimations are divided into two parts: the detection of long-run relationships and the estimation the long-run and short-run elasticities from an ARDL model. The results support the hypothesis that the loan supply has a positive impact on residential price levels ; the robustness test and Granger causality test also support this conclusion. This suggests the importance of closely monitoring the housing loan activities of banks via monetary or macroprudential policy to control residential property prices.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"9 1","pages":"27-38"},"PeriodicalIF":0.4,"publicationDate":"2017-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V9I1.7207","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44688484","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: 4
Stock Returns and Inflation: Evidence from Emerging Markets in Asia 股票收益与通胀:来自亚洲新兴市场的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2017-07-11 DOI: 10.21002/icmr.v9i1.8554
Melati Laksmindra Isnandari, D. Chalid
{"title":"Stock Returns and Inflation: Evidence from Emerging Markets in Asia","authors":"Melati Laksmindra Isnandari, D. Chalid","doi":"10.21002/icmr.v9i1.8554","DOIUrl":"https://doi.org/10.21002/icmr.v9i1.8554","url":null,"abstract":"This study examines the capability of stock from various industries to act as an inflation-hedge instrument, specifically in eight emerging-market Asian countries. By using monthly data for the period from 2001 to 2014, this study focuses on the relation between stock returns and inflation. The results of this study indicate that stocks from some non-cyclical industries have the capability to act as inflation-hedge instruments. Stocks that have the capability to inflation-hedge are come from industries with the natural characteristic of being a defensive industry.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"9 1","pages":"53-61"},"PeriodicalIF":0.4,"publicationDate":"2017-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/icmr.v9i1.8554","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45112389","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
CEO Turnover and Firm Performance In Indonesia 印尼CEO离职与企业绩效
IF 0.4
Indonesian Capital Market Review Pub Date : 2017-06-30 DOI: 10.21002/ICMR.V9I1.6300
D. Setiawan, L. Phua, H. Chee, Irwan Trinugroho
{"title":"CEO Turnover and Firm Performance In Indonesia","authors":"D. Setiawan, L. Phua, H. Chee, Irwan Trinugroho","doi":"10.21002/ICMR.V9I1.6300","DOIUrl":"https://doi.org/10.21002/ICMR.V9I1.6300","url":null,"abstract":"We investigated the effect of changes in CEO position on subsequent firm performance by studying 91 CEO turnovers in Indonesia. Our results show that firm performance decreases during the turnover year. Moreover, the incoming CEO does not increase firm performance in subsequent years. Indeed, there is evidence that firm performance decreases after such turnovers. We ultimately conclude that CEO turnovers in Indonesia do not have a positive effect on firm performance. Going further, we divided CEO turnovers into routine and non-routine turnovers on the basis of the turnover process. Both routine and non-routine CEO turnovers show similar results with all samples, in which the incoming CEO in a routine or non-routine turnover does not have a positive effect upon firm performance. Further evidence suggests that the incoming CEO tends to upsize firm assets rather than downsize them.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"9 1","pages":"1-10"},"PeriodicalIF":0.4,"publicationDate":"2017-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V9I1.6300","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43566645","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: 7
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书