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Expropriation Risk Through Real Earnings Management on Islamic Banking 伊斯兰银行实际盈余管理中的侵占风险
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-12-23 DOI: 10.21002/icmr.v7i2.5137
S. Surifah
{"title":"Expropriation Risk Through Real Earnings Management on Islamic Banking","authors":"S. Surifah","doi":"10.21002/icmr.v7i2.5137","DOIUrl":"https://doi.org/10.21002/icmr.v7i2.5137","url":null,"abstract":"This study develops a model of expropriation through real earnings management (REM) in the Indonesian Islamic banking industry. The purpose of this study is to test a new model by examining the relationship between REM, bank ownership types, and performance of Islamic banks in Indonesia in the period of 2006 - 2013. This study finds that there are significant differences in REM and performance scores in banks with different ownership types. The REM and performance scores for family-owned banks and private-owned banks are relatively similar. However, Islamic banks with government as the controlling shareholder have the highest REM scores and the lowest performance scores. In contrast, foreign-owned banks have the lowest REM scores and the highest performance scores. The indications of expropriation can be seen from the magnitude of REM. A high REM can lower profitability and efficiency while increasing the risks faced by Islamic banks in Indonesia.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":"74-91"},"PeriodicalIF":0.4,"publicationDate":"2015-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/icmr.v7i2.5137","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68241026","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
Dynamic Correlation between Stock Market Returns and Crude Oil Prices: Evidence from a Developing Economy 股票市场收益率与原油价格的动态相关性：来自发展中经济的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-10-16 DOI: 10.21002/ICMR.V7I2.5198
Emenike O. Kalu
{"title":"Dynamic Correlation between Stock Market Returns and Crude Oil Prices: Evidence from a Developing Economy","authors":"Emenike O. Kalu","doi":"10.21002/ICMR.V7I2.5198","DOIUrl":"https://doi.org/10.21002/ICMR.V7I2.5198","url":null,"abstract":"","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":"102-112"},"PeriodicalIF":0.4,"publicationDate":"2015-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68241164","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
Ambiguity towards Multiple Historical Performance Information Signals: Evidence from Indonesian Open-Ended Mutual Fund Investors 多重历史业绩信息信号的模糊性——来自印尼开放式共同基金投资者的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-10-16 DOI: 10.21002/ICMR.V7I2.4846
Haris Pratama Loeis, R. Prijadi
{"title":"Ambiguity towards Multiple Historical Performance Information Signals: Evidence from Indonesian Open-Ended Mutual Fund Investors","authors":"Haris Pratama Loeis, R. Prijadi","doi":"10.21002/ICMR.V7I2.4846","DOIUrl":"https://doi.org/10.21002/ICMR.V7I2.4846","url":null,"abstract":"This study focuses on the behavior of open-ended mutual fund investors when encountered with multiple information signals of mutual fund’s historical performance. The behavior of investors can be reflected on their decision to subscribe or redeem their funds from mutual funds. Moreover, we observe the presence of ambiguity within investors due to multiple information signals, and also their reaction towards it. Our finding shows that open-ended mutual fund investors do not only have sensitivity towards past performance information signals, but also have additional sensitivity towards the ambiguity of multiple information signals. Because of the presence of ambiguity, investors give more consideration to negative information signals and the worst information signal in their investment decisions. Normal 0 false false false EN-US X-NONE X-NONE","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":"92-101"},"PeriodicalIF":0.4,"publicationDate":"2015-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240658","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
Conventional and Islamic indices in Indonesia: A Comparison on Performance, Volatility, and the Determinants 印度尼西亚的传统指数和伊斯兰指数:绩效、波动性和决定因素的比较
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-10-01 DOI: 10.21002/ICMR.V7I2.5004
Nika Pranata, Nurzanah Nurzanah
{"title":"Conventional and Islamic indices in Indonesia: A Comparison on Performance, Volatility, and the Determinants","authors":"Nika Pranata, Nurzanah Nurzanah","doi":"10.21002/ICMR.V7I2.5004","DOIUrl":"https://doi.org/10.21002/ICMR.V7I2.5004","url":null,"abstract":"The purpose of this study is to evaluate performance and volatility of Islamic andconventional stock indices along with their determinant factor variables in Indonesia. The study adopts: (1) Capital Asset Pricing Model (CAPM) to compare the performance of the Jakarta Islamic Index (JII) to represent Islamic indexandLQ45 to represent the conventional, (2) beta calculation to measure volatility, and (3) Autoregressive Distributed Lag (ARDL) to capture the determinants and the reason behind the outperformance. The data coverage is from January 2006 to November 2015. The study finds that: (1) There is no significant differenceon performance between JII and LQ45, (2) JII is less volatile than LQ45, except in 2010, and (3)JII performance is less affected by external factorsexcept for crude oil price. Moreover, the result implies challenge for the authorities to educate society, particularly whom concern to shari’ah principles, with information that Islamic index performance is not much difference from conventional index and less volatile.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":"113-127"},"PeriodicalIF":0.4,"publicationDate":"2015-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V7I2.5004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240265","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
Examining the Islamic stock market efficiency: Evidence from nonlinear ESTAR unit root tests 检验伊斯兰股票市场效率:来自非线性ESTAR单位根检验的证据
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-07-04 DOI: 10.21002/ICMR.V7I1.4355
R. H. Setianto, Turkhan Ali Abdul Manap
{"title":"Examining the Islamic stock market efficiency: Evidence from nonlinear ESTAR unit root tests","authors":"R. H. Setianto, Turkhan Ali Abdul Manap","doi":"10.21002/ICMR.V7I1.4355","DOIUrl":"https://doi.org/10.21002/ICMR.V7I1.4355","url":null,"abstract":"This paper empirically examines the efficient market hypothesis (EMH) in the Islamic stock market namely Jakarta Islamic Index by emphasizing on the random walk behavior and nonlinearity. In the first step, we employ Brock et al . ( 1996 ) test to examine the presence of nonlinear behavior in Jakarta Islamic Index. The evidence of nonlinear behavior in the indices, motivate us to use nonlinear ESTAR unit root test procedure recently developed by Kapetanios et al . (2003) and Kruse (2011). The nonlinear unit root test procedure fail to rejects the null hypothesis of unit root for the indices, suggesting that Jakarta Islamic Index characterized by random walk process supporting the theory of efficient market hypothesis. In addition, Lumsdaine and Papel (LP) test identified significant structural breaks in the index series.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2015-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V7I1.4355","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240470","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
Catching the Behavior of Stock Market: Numerical Approach to Estimate the Catalytic Chemical Model Parameters 捕捉股票市场的行为:估计催化化学模型参数的数值方法
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-07-04 DOI: 10.21002/ICMR.V7I1.4356
Z. Husodo, Lenny Suardi, Ririen Setiati, Risca Fleureta Hudiyono
{"title":"Catching the Behavior of Stock Market: Numerical Approach to Estimate the Catalytic Chemical Model Parameters","authors":"Z. Husodo, Lenny Suardi, Ririen Setiati, Risca Fleureta Hudiyono","doi":"10.21002/ICMR.V7I1.4356","DOIUrl":"https://doi.org/10.21002/ICMR.V7I1.4356","url":null,"abstract":"This research proposes a numerical approach in estimating the trend of behavior of this market. This approach is applied to a model that is inspired by catalytic chemical model, in terms of differential equations, on four composite indices, New York Stock Exchange, Hong Kong Hang Seng, Straits Times Index, and Jakarta Stock Exchange, as suggested by Caetano and Yoneyama (2011). The approach is used to minimize the difference of estimated indices based on the model with respect to the actual data set. The result shows that the estimation is able to capture the trend of behavior in stock market well.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2015-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V7I1.4356","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240522","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
Comparison of Portfolio Selection and Performance: Shari’ah-Compliant and Socially Responsible Investment Portfolios 投资组合选择与绩效的比较：遵守伊斯兰教和对社会负责的投资组合
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-07-04 DOI: 10.21002/ICMR.V7I1.4358
M. Asutay, N. D. Hendranastiti
{"title":"Comparison of Portfolio Selection and Performance: Shari’ah-Compliant and Socially Responsible Investment Portfolios","authors":"M. Asutay, N. D. Hendranastiti","doi":"10.21002/ICMR.V7I1.4358","DOIUrl":"https://doi.org/10.21002/ICMR.V7I1.4358","url":null,"abstract":"This study examines the effect of Islamic screening criteria on Shari’ah -compliant portfolio selection and performance compared to Socially Responsible Investment (SRI) portfolio. Each portfolio constructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfolio optimization is employed with some financial ratios added as constraints for the Shari’ah portfolio. Annual expected return of each portfolio from 2008 to 2013 is used to calculate Sharpe’s ratio, Treynor ratio and Jensen’s alpha as the performance measurement tools. Macroeconomic variables are assessed using ordinary least square to examine whether they influence the portfolios’ expected returns or not. The result finds that Shari’ah portfolio has a better performance than SRI from year 2008 to 2010 shown by higher value of the measurement tools. However, from 2011 to 2013, SRI portfolio has better performance than Shari’ah portfolio.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2015-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V7I1.4358","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240611","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
Value Effect in Indonesian Stock Returns: The Implications for the Equity Mutual Fund Industry 印尼股票回报的价值效应:对股票共同基金行业的启示
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-07-04 DOI: 10.21002/ICMR.V7I1.4354
Samuel Kristianto Utomo, Kevin Antony Tjandra
{"title":"Value Effect in Indonesian Stock Returns: The Implications for the Equity Mutual Fund Industry","authors":"Samuel Kristianto Utomo, Kevin Antony Tjandra","doi":"10.21002/ICMR.V7I1.4354","DOIUrl":"https://doi.org/10.21002/ICMR.V7I1.4354","url":null,"abstract":"We extend the persistence and pervasiveness of the presence of value effect to Indonesian stock returns in the last two decades by utilizing data set that is relatively free of survivor bias and selection bias. Our finding shows that value portfolios have been able to outperform growth portfolios. Furthermore, the presence of the effect as an asset pricing factor, along with the size effect, can significantly explain the returns of the aggregate equity mutual funds in Indonesia and unveil that the equity mutual fund industry does not provide sufficient risk-adjusted return to cover trading costs and fund expenses. Our proposition is that the equity mutual fund valuation will be better off to apply simpler model shown in this paper to capture the value premium as opposed to the general application of traditional valuation method.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2015-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240412","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
Understanding Emerging Market Sovereign Bond Yield Spread: Role of Default and Non-Default Determinants 理解新兴市场主权债券收益率差:违约和非违约决定因素的作用
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-07-04 DOI: 10.21002/ICMR.V7I1.4357
A. Pratiwi
{"title":"Understanding Emerging Market Sovereign Bond Yield Spread: Role of Default and Non-Default Determinants","authors":"A. Pratiwi","doi":"10.21002/ICMR.V7I1.4357","DOIUrl":"https://doi.org/10.21002/ICMR.V7I1.4357","url":null,"abstract":"This paper is motivated by the fact that emerging market assets size has been expanding and trying to use sovereign debt market as part of capital market as main research focus. It is highlighting the distinction between default and non-default determinants and examining their significance in explaining emerging market sovereign bond yield spread. Using Cross-Sectional Fixed-Effect Panel Estimator, we found that both default (as proxied by Credit Rating and Outlook Index) and non-default (as proxied by 3-month Fed Funds Futures) determinants has significant explanatory power to sovereign bond yield spread. Extensively, we also found the significance to add volatility of 3-month Fed Funds Futures and Fed Target Rate basis and volatility of advanced stock markets as variables to stand for non-default determinants in the model. The significance of the latter model is strengthened by higher forecasting as well as indicates the significant role of US market to emerging market sovereign bond market.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"7 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2015-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240581","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
Outreach and Profitability Trade-off: Does Synergy between Islamic Banking and Islamic Microfinance Institutions Matter? 外延和盈利权衡:伊斯兰银行和伊斯兰小额信贷机构之间的协同作用重要吗?
IF 0.4
Indonesian Capital Market Review Pub Date : 2015-05-10 DOI: 10.21002/ICMR.V7I2.4853
R. Nasution, Habib Ahmed
{"title":"Outreach and Profitability Trade-off: Does Synergy between Islamic Banking and Islamic Microfinance Institutions Matter?","authors":"R. Nasution, Habib Ahmed","doi":"10.21002/ICMR.V7I2.4853","DOIUrl":"https://doi.org/10.21002/ICMR.V7I2.4853","url":null,"abstract":"The purpose of this study is to examine the effectiveness of linkage program between Islamic Banking (IB) and Baitul Maal Wat Tamwil (BMT) on BMT financing growth and profitability. This study also aims to compare three linkage models and to explore the keys factors that affect the implementation of linkage program. To achieve these objectives, both quantitative and qualitative research methods are employed. The dataset consists of the financial statement of 26 BMT in Indonesia and interviews with 12 managers of BMT and IB in Jakarta. The findings suggest that a synergy between IB and BMT through linkage program has significant impact on BMT financing growth and BMT ROE. Among three linkage models, executing model appears to be the most preferable model, both by BMT and IB. The finding also suggests that internal and external factors at BMT level have impacts on the effectiveness of linkage program.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"13 1 1","pages":"57-73"},"PeriodicalIF":0.4,"publicationDate":"2015-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.21002/ICMR.V7I2.4853","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68240710","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
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