Indonesian Capital Market Review最新文献

{"title":"Market, Country and World Effects on Regional Equity Market Integration","authors":"C. Hooy, K. Goh","doi":"10.21002/icmr.v2i1.3655","DOIUrl":"https://doi.org/10.21002/icmr.v2i1.3655","url":null,"abstract":"This study explores the fundamental driving forces of regional equity market integration in a trading bloc. The determinant factors are categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of ive regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to  August  2005.  We  measure  market  integration  based  on  pricing  errors  as  proposed  by Korajczyk (1996) and Levine and Zervos (1998). Using panel regressions, our results show that  equity  integration  in  these  trading  blocs  is  driven  internally,  where  only  individual-market  volatility  and  economic  fundamentals  play  a  signiicant  role  in  the  process.  Intra-bloc  trade  is  found  to  enhance  regional  equity  market  integration,  supporting  the  notion that  regional  convergence  extends  beyond  the  trade  sector  that  is  promoted  in  the  trade agreements.  We  also  document  regime  shifting  effects  during  stock  market  crises,  where most  of  these  markets  became  strongly  integrated  after  a  regional  crisis,  but  integration was signiicantly weakened during a crisis that affected the world markets. Also, the level of equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated. \");} \u0000// --> activate javascript","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"2 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238591","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}

{"title":"Price Manipulation in Indonesian Capital Market: Empirical Analysis on Stockbroker’s Behavior and Interaction Pattern between Domestic Investors and Foreign Investors","authors":"Buddi Wibowo","doi":"10.21002/ICMR.V2I1.3659","DOIUrl":"https://doi.org/10.21002/ICMR.V2I1.3659","url":null,"abstract":"Price manipulation in stock market transaction is an important issue when developing investor  conidence  and  market  integrity  is  a  priority.  Price  manipulation  is  prevalent  in emerging  markets,  which  still  have  institutional  problems  and  lack  regulations.  A  stock market  as  a  mutual  company  has  an  institutional  problem  when  a  stock  broker  instead  of being an intermediary, behaves like a dealer and a principal for some stocks. A stock broker has strong incentives to give a signal to public investors about price of some stocks in order to get an unfair proit. A usual pattern of manipulation done by stock broker is a pump and dump manipulation. Artiicial price increase was made by manipulators through buying and selling activities among themselves until tend chaser and naive investors jump to this game. When stock price is at the highest level, manipulators start selling their stock. This research measured  and  identiied  behavior  pattern  of  stock  brokers  in  Indonesian  Stock  Market, concerning  their  contribution  to  price  manipulation  existence.  Because  of  the  important  role  played by foreign investors in Indonesian stock market, this research would also identify interaction  pattern  between  foreign  and  domestic  investors.  Empirical  researches  showed that  foreign investors  were underperformed domestic investors in Indonesian stock market (Dvorak, 2005, and Agarwal et al. 2009). In spite of their superior experience and inancial support  compared  to  domestic  investosr,  foreign  investors  got  lower  return  on  average. Agarwal  et  al.  (2009)  showed  this  phenomenon  occured  because  foreign  investors  were more aggressive than domestic investors. Dvorak (2005) argued that domestic investors had more  access  and  network  to  collect  short  run  information  and  were  able  to  transfer  those information to proitable trading strategy. This research  tested new hypothesis about foreign investors'  underperformance,  that  those  foreign  investors  were  entrapped  in  manipulative mechanism  done  by  domestic  investors  having  short  run  information  through  domestic stockbroker companies. \");} \u0000// --> activate javascript","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"2 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238743","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}

{"title":"Ten-Year after the Asian Financial Crisis: Understanding Spread Determinants on New Emerging Market Bonds","authors":"G. Ugut","doi":"10.21002/ICMR.V1I2.3630","DOIUrl":"https://doi.org/10.21002/ICMR.V1I2.3630","url":null,"abstract":"The  spread  determinants  of  emerging  market  bonds  have  shown  some  similarity  with the  non-investment  grade  bonds.  In  the  study,  the  author  found  that  there  are  significant numbers of quantitiable factors to explain the variance in the risk premium. The factors were classified  into  company  speciic  variables  and  macroeconomic  variables,  such  as  rating, term,  and  secondary  market  spread,  interest  rate  change  and  rising  price  of  commodities. For  the  unexplained  variance  in  risk  premiums,  the  study  suggested  some  explanation  on the underwriter's effectiveness in presenting the issuer to the investors and correlation of the emerging-market debt to the other asset classes.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238643","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}

{"title":"An Investigation of Psychological Factors Inluencing Investment Decision Making","authors":"Hsin-Hue Chang","doi":"10.21002/ICMR.V2I2.3660","DOIUrl":"https://doi.org/10.21002/ICMR.V2I2.3660","url":null,"abstract":"This  study  applies  a  second-order  conirmatory  factor  analysis  (CFA)  approach  to investigate  psychological  factors  inluencing  individuals'  investment  decision-making.  A second-order  CFA  approach  consists  of  ive  irst-order  psychological  factors  in  terms  of mental  accounting,  regret  avoidance,  self-control,  heuristic  and  overconidence,  and  one second-order factor in terms of investment decision-making. Quantitative data was yielded by the questionnaire, and an effective sample of 752 responses was used to execute the estimation procedure.  The  results  reveal  that  there  exist  statistically  signiicant  relationships  between ive psychological factors and investment decision-making. Investors are likely to consider a product with different functions as one with different mental accounts (gains). Thus, inancial institutions  are  advised  to  provide  their  potential  customers  with  multi-function  products. Since self-control is  a  signiicant self-imposed mechanism  for  investment decision-making, inancial institutions can merchandise products that can help their customers to execute the self-imposed rules of thumb. \");} \u0000// --> activate javascript","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"2 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238869","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}

{"title":"Integration versus Segmentation in Asian Financial Market: The Prospect of Regionalism in Asia","authors":"Herlina Yoka Roida","doi":"10.21002/ICMR.V1I2.3652","DOIUrl":"https://doi.org/10.21002/ICMR.V1I2.3652","url":null,"abstract":"This paper draws the prospect of regionalism among inancial market in Asia (Indonesia, Malaysia,  Philippine,  Singapore,  China,  Hong  Kong,  Japan  and  South  Korea).  The  irst part  examines  the  correlation  among  them  that  lead  to  regional  integration.  The  second part shows the possibility of integration or segmentation between Asia countries and world. The  next  part,  tries  to  draw  whether  last  inancial  crises  1997  gave  different  result  to  the integration process. The correlation between Asia regional return and world return is tested by F-test (degree of signiicant 5%). The inal part of this paper gives a picture as to how the prospect  of  integration  or  segmentation  return  of Asia  and  world  can  initiate  a  process  of economic integration towards a trade block development. \");} \u0000// --> activate javascript","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238315","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}

{"title":"Reporting Intellectual Capital in Annual Reports: Evidence from Indonesia","authors":"Parulian Sihotang, Yulia Sanjaya","doi":"10.21002/ICMR.V1I2.3653","DOIUrl":"https://doi.org/10.21002/ICMR.V1I2.3653","url":null,"abstract":"This  exploratory  study  which  replicates  the  content  analysis  methodology  of  Guthrie et  all  (1999,  2004)  towards  Intellectual  Capital  (IC)  disclosures  in  the  annual  report  has set  several  objectives.  Primarily,  the  empirical  investigation  assesses  the  extent  to  which Indonesian  listed  companies  are  publicly  reporting  their  IC  both  the  amount  and  type  of information  being  reported.  Secondly,  the  investigation  also  examines  the  extent  to  which the various categories of IC are represented in the annual reports of the sample companies. Finally, the study explores the extent to which the level of IC disclosures could be related to companies' characteristics such as industry category, age, ownership structure and market capitalization.  The sample was Indonesia's 23 largest companies listed in the Jakarta Stock Exchange.  In  light  of  research  limitations,  the  preliminary  and  tentative  indings  of  this study  indicate  that  irst  of  all,  similar  to  indings  worldwide,  Indonesian  companies  have substantial intellectual capital and they do aware and disclose their intellectual capital in the annual reports. Secondly, IC that tends to be most often reported is relational capital, followed by human capital and organizational capital. Thirdly, even though the trend in IC disclosure as a whole is generally increasing, there is no conclusive and predictable pattern found.  Fourthly,  the  IC  identiied  and  reported  is  inconsistent  as  no  framework  available in  helping  the  companies  discloses  intellectual  capital.  Fifthly,  most  of  the  intellectual capital  components  identiied  are  in  qualitative  format.  Sixthly,  even  though  the  study  did not ind a conclusive evidence regarding the relationship between the level of  IC  disclosure and  company  characteristics  such  as  industry,  age,  ownership  structure,  and  market capitalization, however some indings are noteworthy. Finally, a comprehensive framework is yet to be developed, especially for collecting and reporting IC formation for consistency and comparability purposes. \");} \u0000// --> activate javascript","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"1 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238478","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}

{"title":"Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004 – March 2009","authors":"Boniarga Mangiring, Z. Husodo","doi":"10.21002/ICMR.V2I2.3664","DOIUrl":"https://doi.org/10.21002/ICMR.V2I2.3664","url":null,"abstract":"This paper explores investment styles and risk exposures of mutual funds in Indonesia using Sharpe's return-based style analysis, a quadratic optimization of an asset class factor model,  proposed  by  William  F.  Sharpe  in  1992.  The  research  observes  nine  sectoral  asset class indexes and ifteen survivor Indonesian equity funds within April 2004 - March 2009. The  results  suggest  that  the  infrastructure  sector  has  the  biggest  exposure  on  average. This  study  also  measures  the  relative  performance  of  the  funds  with  respect  to  their  style benchmarks.  The  results  indicate  that  the  nine  funds  have  been  able  to  beat  their  style benchmarks on average. From all funds, Fortis Ekuitas is the best fund based on its average monthly selection return. \");} \u0000// --> activate javascript","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"2 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68239140","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}

{"title":"Estimating Structural Models of Corporate Bond Prices in Indonesian Corporations","authors":"Lenny Suardi, M. Syamsudin","doi":"10.21002/ICMR.V2I2.3662","DOIUrl":"https://doi.org/10.21002/ICMR.V2I2.3662","url":null,"abstract":"This  paper  applies  the  maximum  likelihood  (ML)  approaches  to  implementing  the structural  model  of  corporate  bond,  as  suggested  by  Li  and  Wong  (2008),  in  Indonesian corporations.  Two  structural  models,  extended  Merton  and  Longstaff  &  Schwartz  (LS) models,  are  used  in  determining  these  prices,  yields,  yield  spreads  and  probabilities  of default. ML estimation is used to determine the volatility of irm value. Since irm value is unobserved variable, Duan (1994) suggested that the irst step of ML estimation is to derive the likelihood function for equity as the option on the irm value. The second step is to ind parameters such as the drift and volatility of irm value, that maximizing this function. The irm value itself is extracted by equating the pricing formula to the observed equity prices. Equity,  total  liabilities,  bond  prices  data  and  the  irm's  parameters  (irm  value,  volatility of irm value, and default barrier) are substituted to extended Merton and LS bond pricing formula in order to valuate the corporate bond.These models are implemented to a sample of 24 bond prices in Indonesian corporation during  period  of  2001-2005,  based  on  criteria  of  Eom,  Helwege  and  Huang  (2004).  The equity  and  bond  prices  data  were  obtained  from  Indonesia  Stock  Exchange  for  irms  that issued equity and provided regular inancial statement within this period. The result shows that both models, in average, underestimate the bond prices and overestimate the yields and yield spread. \");} \u0000// --> activate javascript","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"2 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68238957","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}

{"title":"Assessing the Efficiency of Jakarta Islamic Index-Linked Investing","authors":"A. Salahuddin, A. Hermansyah","doi":"10.21002/ICMR.V4I2.3616","DOIUrl":"https://doi.org/10.21002/ICMR.V4I2.3616","url":null,"abstract":"The passive investing is getting easier with the fund that mimics indexes or market portfolio. The sharia market instruments is the answer to the need of Muslim investors. In the future, there are possibilities for more index-linked funds, exchange traded funds, and index-based derivatives in Indonesia including their sharia counterpart. We analyze the performance of Jakarta Islamic Index in three aspects, profitability, stability, and efficiency, compared with ordinary indexes, the BISNIS-27 Index and the LQ45 Index. The profitability is analyzed using Fama and French Three Factors model. The stability aspect is analyzed using Sharpe Return Based Style Analysis and Style Drift. The efficiency aspect is analyzed using the simulation of indexes with different assets allocation. The result is the JII needs to tighten the selection criteria for its constituents to be more efficient than the BISNIS-27 and LQ45 indexes and it is better to add fundamental criteria to the constituent selection.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"4 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68239354","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}

{"title":"THE IMPACT OF 2008 GLOBAL FINANCIAL CRISIS ON THE PERFORMANCE OF SELECTED INDONESIAN STOCKS: A PRELIMINARY STUDY","authors":"Edwin Suparman","doi":"10.21002/ICMR.V4I2.3617","DOIUrl":"https://doi.org/10.21002/ICMR.V4I2.3617","url":null,"abstract":"This research is a preliminary study that analyzes the impact of the US financial markets on Indonesian financial markets during the 2008 global financial crisis. It specifically investigates the occurrence of contagion effect in the Indonesian IHSG index and selected LQ45 stocks with the US S&P500 index by the measurement of correlation using simple correlation, EWMA, OGARCH, and DCC GARCH. It also attempts to discuss on the decoupling of Indonesian market and provide recommendations on dealing with future similar events.","PeriodicalId":40640,"journal":{"name":"Indonesian Capital Market Review","volume":"4 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68239406","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}