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Jakarta Interbank Spot Dollar Rate (JISDOR) as The Reference Rate: Is It Effective? 雅加达银行间美元即期汇率(JISDOR)作为参考汇率是否有效?
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-08-24 DOI: 10.21002/icmr.v8i2.6148
Marwadi Marwadi, R. Rokhim
{"title":"Jakarta Interbank Spot Dollar Rate (JISDOR) as The Reference Rate: Is It Effective?","authors":"Marwadi Marwadi, R. Rokhim","doi":"10.21002/icmr.v8i2.6148","DOIUrl":"https://doi.org/10.21002/icmr.v8i2.6148","url":null,"abstract":"This study analyze the influence of non-deliverable forward (NDF) and the spot rate of USD/IDR against Bank Indonesia reference rate, Jakarta Interbank Spot Dollar Rate (JISDOR). NDF which came earlier than JISDOR is used by the market participant as the reference rate. The simple method of NDF determination had a great impact on the volatility of the rupiah currency, pushing the Bank Indonesia to issue its own reference currency. JISDOR is an indication of the rates issued by Bank Indonesia as the reference rate for the foreign exchange market in domestic and overseas. The method of creating the reference rate is by weighting the average rate of real transactions through a monitoring system which is managed by the central bank. However, the question arises: what should be done by the monetary authority when there is a party outside the jurisdiction issued the NDF rate as a benchmark that may affect the domestic exchange rate of rupiah in accordance with the desired agenda of the party. We use OLS and ARCH/GARCH to see if independent variables have an influence on dependent variable. Granger Causality test is also used to observe whether there are any relations among the variables.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"110-121"},"PeriodicalIF":0.4,"publicationDate":"2016-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/icmr.v8i2.6148","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240841","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
Are The ASEAN-5 Foreign Exchange Market Efficient? Evidence From Indonesia, Thailand, Malaysia, Singapore, and Philippines: Post-Global Economic Crisis 2008 东盟五国外汇市场有效吗?来自印度尼西亚、泰国、马来西亚、新加坡和菲律宾的证据:2008年后全球经济危机
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-07-30 DOI: 10.21002/ICMR.V8I2.5680
Aditya Andika Putra, H. Lindawati, S. F. Sari
{"title":"Are The ASEAN-5 Foreign Exchange Market Efficient? Evidence From Indonesia, Thailand, Malaysia, Singapore, and Philippines: Post-Global Economic Crisis 2008","authors":"Aditya Andika Putra, H. Lindawati, S. F. Sari","doi":"10.21002/ICMR.V8I2.5680","DOIUrl":"https://doi.org/10.21002/ICMR.V8I2.5680","url":null,"abstract":"","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"83-93"},"PeriodicalIF":0.4,"publicationDate":"2016-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I2.5680","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68241003","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
Is ASEAN Ready for Banking Integration? Evidence from Interest Rate Convergence 东盟为银行业一体化做好准备了吗?利率趋同的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-07-30 DOI: 10.21002/ICMR.V8I2.5712
Fazelina Sahul Hamid, H. Lean
{"title":"Is ASEAN Ready for Banking Integration? Evidence from Interest Rate Convergence","authors":"Fazelina Sahul Hamid, H. Lean","doi":"10.21002/ICMR.V8I2.5712","DOIUrl":"https://doi.org/10.21002/ICMR.V8I2.5712","url":null,"abstract":"Convergence in prices or returns of assets with similar characteristics indicates that the financial market is integrated with regional markets. This paper is the first that test of the movements of interest rates in ASEAN banking sector for the period 1990 - 2012. The empirical analysis is based on a yearly panel of commercial bank interest rate data from 5 ASEAN countries, namely, Indonesia, Malaysia, Philippines, Singapore and Thailand. We assessed the degree and speed of interest rate convergence using beta and sigma convergence method. The findings show that the difference and the dispersion in the interbank rates have reduced since the Asian financial crisis and this trend has become stronger after the Global financial crisis. The findings of this study confirm that interest rates in the ASEAN banking sector are converging. This provides evidence that the ASEAN banking sector is ready for financial integration.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"72-82"},"PeriodicalIF":0.4,"publicationDate":"2016-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I2.5712","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68241130","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
Deposit Insurance and Bank Liquidity: Does Ownership Structure Matter? 存款保险与银行流动性：股权结构重要吗？
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-07-26 DOI: 10.21002/ICMR.V8I2.6037
Irwan Trinugroho, M. Muthmainah, M. D. Ariefianto, S. Sutaryo, A. Probohudono
{"title":"Deposit Insurance and Bank Liquidity: Does Ownership Structure Matter?","authors":"Irwan Trinugroho, M. Muthmainah, M. D. Ariefianto, S. Sutaryo, A. Probohudono","doi":"10.21002/ICMR.V8I2.6037","DOIUrl":"https://doi.org/10.21002/ICMR.V8I2.6037","url":null,"abstract":"We examine how the level deposit insurance coverage affects bank liquidity. We also test the role of ownership in the relationship between deposit insurance coverage and bank liquidity. This study uses quarterly data of Indonesian banks from Q1:2002 - Q2:2008. We argue that the presence of explicit deposit insurance changes a bank‘s behavior in liquidity management in the form of decreasing asset liquidity. We find some evidence on the negative impact of deposit insurance coverage on bank liquidity. However, little is found on the role of ownership structure. The credibility of deposit insurance system and implicit guarantee are the main policy implications.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"59-71"},"PeriodicalIF":0.4,"publicationDate":"2016-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I2.6037","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240762","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
Behavioral trading strategies and investor sentiment: Empirical research in Tehran Stock Exchange (TSE) 行为交易策略与投资者情绪：德黑兰证券交易所的实证研究
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-06-08 DOI: 10.21002/ICMR.V8I2.5708
K. Mehrani, F. R. Roodposhti, Hashem Nekomaram, A. Saeedi
{"title":"Behavioral trading strategies and investor sentiment: Empirical research in Tehran Stock Exchange (TSE)","authors":"K. Mehrani, F. R. Roodposhti, Hashem Nekomaram, A. Saeedi","doi":"10.21002/ICMR.V8I2.5708","DOIUrl":"https://doi.org/10.21002/ICMR.V8I2.5708","url":null,"abstract":"In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies .","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"94-109"},"PeriodicalIF":0.4,"publicationDate":"2016-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I2.5708","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68241070","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: 8
The Empirical Relationship between Stock Return and Trading Volume based on Stock Market Cycles 基于股票市场周期的股票收益率与交易量的实证关系
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-04-03 DOI: 10.21002/ICMR.V8I1.5186
A. M. Christiana, Eva Setiana, Mamduch Mamduch
{"title":"The Empirical Relationship between Stock Return and Trading Volume based on Stock Market Cycles","authors":"A. M. Christiana, Eva Setiana, Mamduch Mamduch","doi":"10.21002/ICMR.V8I1.5186","DOIUrl":"https://doi.org/10.21002/ICMR.V8I1.5186","url":null,"abstract":"In this paper, we use Markov switching autoregressive model and bivariate VAR model to analyze the empirical relationship between stock return and trading volume based on stock market cycles. Using daily data for the IHSG closing price and trading volume from 2010 to 2014, we identify the bull and bear phases in Indonesia stock market, then we analyze the return – volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positive contemporaneous return – volume relationship in both bull and bear markets, which is only significant in bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3) there exists a positive unidirectional causality from stock return to trading volume. In addition, our findings are robust for different sample period and data frequency.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":"46-57"},"PeriodicalIF":0.4,"publicationDate":"2016-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I1.5186","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240752","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
Bank Income Diversification from Stock Market Perspective: Evidence from ASEAN+3 股票市场视角下的银行收益多元化:来自东盟+3的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-02-27 DOI: 10.21002/ICMR.V8I1.5270
Agnes Helena Natalia, Muchamad Rudi Kurniawan, Rievinska R. Firsty
{"title":"Bank Income Diversification from Stock Market Perspective: Evidence from ASEAN+3","authors":"Agnes Helena Natalia, Muchamad Rudi Kurniawan, Rievinska R. Firsty","doi":"10.21002/ICMR.V8I1.5270","DOIUrl":"https://doi.org/10.21002/ICMR.V8I1.5270","url":null,"abstract":"This paper empirically examines the effect of banks' revenue diversification on the stock-based return and risk measures using data on the ASEAN-5, and addition from China, Japan, and South Korea banking sector. This paper use panel Fixed Effect and robustness test with Random Effect and TSLS. We use non-interest income share as a measure for revenue diversification. We find that revenue diversification has no effect on bank market value but significantly decrease bank total risks. When non-interest income is decomposed, we find that fee-income business has significant positive effect on bank value. Furthermore, it’s important to see characteristic of banks that do diversification, such as bank size and capital. Overall, we give evidence that banks, especially which have big size and good condition on capital, could increase their value and lower their risk by doing diversification in income through non-interest income, especially with fee income and other non-interest income. Normal 0 false false false EN-US X-NONE X-NONE","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"32-45"},"PeriodicalIF":0.4,"publicationDate":"2016-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I1.5270","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240815","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
The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation 原油价格变动对印尼股市的影响:一项行业调查
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-02-26 DOI: 10.21002/ICMR.V8I1.5442
Muhammad Hira Riga, Vika Indriana, Fariz Rahmanto
{"title":"The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation","authors":"Muhammad Hira Riga, Vika Indriana, Fariz Rahmanto","doi":"10.21002/ICMR.V8I1.5442","DOIUrl":"https://doi.org/10.21002/ICMR.V8I1.5442","url":null,"abstract":"Normal 0 false false false IN JA X-NONE Normal 0 false false false IN JA X-NONE <w:LsdException Locked","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"12-22"},"PeriodicalIF":0.4,"publicationDate":"2016-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I1.5442","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240894","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: 15
The Performance of Shariah Real Estate Investment Trust and Conventional Real Estate Investment Trust in Malaysia 马来西亚伊斯兰教房地产投资信托与传统房地产投资信托的表现
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-02-01 DOI: 10.21002/ICMR.V8I1.4844
N. Mohamad
{"title":"The Performance of Shariah Real Estate Investment Trust and Conventional Real Estate Investment Trust in Malaysia","authors":"N. Mohamad","doi":"10.21002/ICMR.V8I1.4844","DOIUrl":"https://doi.org/10.21002/ICMR.V8I1.4844","url":null,"abstract":"This study examines the performances of two Real Estate Investment Trust (REITs) structure in Malaysian capital market by comparing the Dividend Yield (DY), Distribution per Unit (DU), Net asset Value (NAV), and Earning per Unit (EU) of shariah REITSs (iREITs) and conventional REITSs (cREITs) from Malaysia perspective. The secondary data are retrieved from Bloomberg's Database for 13 listed REITs in the Bursa Malaysia main board for a five-year period from 2009 to 2013 with yearly observation. Applying One Way-Anova analysis, an Independent Sample Kruskal-Wallis Test is used to determine any differences in the performance of the two REITs structure. The results provide evidence indicating that the two structures have distinctive and significantly different performances. It also indicates the better performance of iREITs compared to cREITs. The results of this study are useful to provide additional evidence towards the viable of Islamic funds as a significant initiative to broaden and deepen the product base of Islamic capital market in Malaysia.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"1-11"},"PeriodicalIF":0.4,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I1.4844","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68241188","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
Women in Top Management and Bank Performance: Evidence from Indonesia 高层管理人员中的女性与银行绩效:来自印度尼西亚的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2016-01-03 DOI: 10.21002/ICMR.V8I1.5537
Hunik Sri Runing Sawitri, W. Untoro, Irwan Trinugroho
{"title":"Women in Top Management and Bank Performance: Evidence from Indonesia","authors":"Hunik Sri Runing Sawitri, W. Untoro, Irwan Trinugroho","doi":"10.21002/ICMR.V8I1.5537","DOIUrl":"https://doi.org/10.21002/ICMR.V8I1.5537","url":null,"abstract":"We investigate the impact of the presence of women in top management on bank performance controlling for bank specific factors, ownership and governance. By making use of sample of 70 Indonesian banks in a cross section study, we find strong evidence that the presence of women in the executives is negatively associated with firm performance. Moreover, we examine the moderating effect of TMT organizational tenure and TMT age. However, only little evidence is found in the effect of our moderating variables.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"8 1","pages":"23-31"},"PeriodicalIF":0.4,"publicationDate":"2016-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V8I1.5537","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240944","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
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