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1
Sintha, Lis. "Bankruptcy Prediction Model of Banks in Indonesia Based on Capital Adequacy Ratio." Journal of Finance and Banking Review Vol. 4 (1) Jan-Mar 2019 4, no. 1 (March 19, 2019): 08–16. http://dx.doi.org/10.35609/jfbr.2019.4.1(2).
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Objective - The purpose of this study is to examine the influence of capital on bankruptcy banks. The hypothesis of this research is that capital has an effect on the bankruptcy of a bank. Methodology/Technique - This research examines financial reports between 2005-2014. An econometric model with a logistical regression analysis technique is used. In this study, capital is measured by CAR, taking into account credit risk; CAR by taking into account market risk; Ratio of Obligation to Provide Minimum Capital for Credit Risk and Operational Risk; Ratio of Minimum Capital Adequacy Ratio for Credit Risk, Operational Risk and Market Risk; Capital Adequacy Requirements (CAR). Findings - The results show that the capital adequacy ratio for market ratio and capital adequacy ratio for credit ratio and operational ratio support the research hypothesis and can form a logit model. The test results of CAR by taking into account credit risk, Minimum Capital Requirement Ratio for Credit Risk, Operational Risk and Market Risk and Minimum Capital Provision Obligations do not support the research hypothesis. Novelty – This paper contribute to bank bankruptcy prediction models based on time dimension and bank groups using financial ratios which are expected can influence bank in bankrupt condition. Type of Paper - Empirical. Keywords: Banking crisis, Cost of bankruptcy, Adequacy Ratio, Financial ratios, Prediction models JEL Classification: G32, G33, G39. DOI: https://doi.org/10.35609/jfbr.2019.4.1(2)
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Tinungki, Georgina Maria, Powell Gian Hartono, Robiyanto Robiyanto, Agus Budi Hartono, Jakaria Jakaria, and Lydia Rosintan Simanjuntak. "The COVID-19 Pandemic Impact on Corporate Dividend Policy of Sustainable and Responsible Investment in Indonesia: Static and Dynamic Panel Data Model Comparison." Sustainability 14, no. 10 (May 18, 2022): 6152. http://dx.doi.org/10.3390/su14106152.
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This research investigates the impact of crisis due to the COVID-19 pandemic on the dividend policy of green index companies in Indonesia, namely the Sustainable and Responsible Investment (SRI) by Biodiversity (KEHATI) Foundation, or SRI-KEHATI indexed companies. The purposive sampling technique was used to collect data from companies listed from 2014 to 2020, using static and dynamic panel data models. From the several panel data models tested, the static panel data regression with random effects model (REM) and fixed effect model (FEM) uses the least square dummy variable-robust standard error (LSDV-RSE) technique are the best econometric models feasible. The system generalized method of moments (SYS-GMM) is used as a suitable econometric model with a robustness test used to determine static panel data regression. It is reported that SRI-KEHATI indexed companies tend to distribute dividends positively during this crisis, and is also statistically proven robust. This gives a positive signal to the capital market concerning the sluggish trading activity. The market reaction test, using two-approaches, showed that this business did not provide a positive reaction to the capital market, which turned out to be pessimistic. Furthermore, profitability and financial leverage have a robust effect, while dividends from the previous year affect dividend policy on the static panel data model, and firm size affect dividend policy on SYS-GMM. Predictors that proved influential with a direction not in line with the hypothesis were investment opportunities on REM and SYS-GMM, and firm age on SYS-GMM. The parameter estimation that passes the model specification test is feasible, whiles the biased and inconsistency of parameter estimation due to the alleged correlation between ui,t and PYDi,t failed to occur in static panel data regression. The endogeneity issue was resolved by dynamic panel data regression with the strongest corrective effect. This research can be used as a reference for investors to obtain optimal returns on green index companies in the country. An optimal dividend policy can increase the value of the SRI-KEHATI indexed companies; therefore, it can contribute optimally to sustainability and responsibility for social and environmental aspects.
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Sembiring, Ferikawita M. "Three-Factor and Five-Factor Models: Implementation of Fama and French Model on Market Overreaction Conditions." Journal of Finance and Banking Review Vol. 3 (4) Oct-Dec 2018 3, no. 4 (December 11, 2018): 77–83. http://dx.doi.org/10.35609/jfbr.2018.3.4(6).
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Objective - Previous research by this author has stated that the market overreaction phenomenon occurs in the Indonesian capital market and the CAPM (Capital Asset Pricing Model) is able to explain portfolio returns. However, CAPM is still debated along with the emergence of the other asset pricing models, such as the multifactor model proposed by Fama and French. The aim of this research is to test the ability of that model to explain the returns of portfolios formed under market overreaction conditions. Methodology/Technique - The data used in this study is the same as that of the previous research, which includes winner and loser portfolio data formed in market overreaction conditions, particularly on the Indonesian Stock Exchange, between July 2005 and December 2015. The multifactor models used include a three-factor model consisting of the factors of market, firm size, firm value, and a five-factor model with the added factors of profitability and investment. To obtain more accurate results, GARCH econometric models were also used in addition to standard test models for obtaining unbiased results. Findings - This research concludes that market factors (Rm-Rf), firm size (SMB), and firm value (HML), are able to explain the winner and loser portfolio returns well. However, when the factors of profitability (RMW) and investment (CMA) are added into the three-factor model, the RMW and CMA explained the returns negatively and inconsistently when the GARCH model is implemented. Novelty – These results imply that the three-factor model is more accurate than the five-factor model, contrary to the previous findings of Fama and French. Type of Paper - Empirical. Keywords: Fama and French Model; Five-factor Model; Market Overreaction; Three-factor Model; Portfolio. JEL Classification: G11, G12, G14
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Izzulhaq, Syahid, Muhammad Rizal Taufikurahman, Afaqa Hudaya, and Mohammad Reza Hafiz Akbar. "Gross Capital Inflows in Indonesia: Exploring Bonanzas and Sudden Stops." Jurnal Institutions and Economies 13, no. 3 (July 1, 2021): 27–52. http://dx.doi.org/10.22452/ijie.vol13no3.2.
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This paper examines episodes of capital bonanzas and sudden stops in Indonesia by utilising binary response models and several episode-identification approaches. Our identification suggests that whenever bonanza episodes occurred, capital sudden stop episodes followed in a more extended period. The estimations demonstrate that domestic factors are relatively dominant in determining the capital bonanzas, and the federal funds rate has a more significant impact on inducing the probability of capital sudden stops in Indonesia. We also found that Turkey and South Africa are the most contagious economies for Indonesia. This paper proposes some policy reforms to enhance the stability of capital inflows in Indonesia, including financial regulation and public finance policies such as a reverse Tobin tax and market-driven public debt rules.
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Pillay, Shalini, Suganthi Ramasamy, and Yuen Yee Yen. "Marketing Equity using a Five-Factor Asset Pricing Model in ASEAN Countries." Asian Economic and Financial Review 12, no. 12 (November 22, 2022): 982–1001. http://dx.doi.org/10.55493/5002.v12i12.4665.
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This research examines the impact of market risk premium, size, book-to-market equity, profitability, and investment as risk factors on stock return. Portfolios are formed to develop the left-hand side and right-hand side portfolios. The objective of this paper is to assess the performance of the equity market and to enhance the generalizability of the five-factor model. A statistical analysis is applied to estimate the asset pricing model to assess their performance in the Association of Southeast Asian Nations (ASEAN) equity market. The researchers found that there were value premiums in the average stock returns in all the countries except Malaysia. Traces of profitability premium can be observed in Malaysia, Thailand and Indonesia. However, there was no evidence of investment premiums in any of the countries. The study examines whether the asset pricing models capture the value, profitability and investment patterns in the capital market. The five-factor model performs better than the three-factor model in explaining the average excess returns of the size–BM (book-to-market) and size–profitability portfolios. However, the five-factor model fares poorly in explaining the average excess returns of the size–investment portfolios.
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Tinungki, Georgina Maria, Robiyanto Robiyanto, and Powell Gian Hartono. "The Effect of COVID-19 Pandemic on Corporate Dividend Policy in Indonesia: The Static and Dynamic Panel Data Approaches." Economies 10, no. 1 (January 1, 2022): 11. http://dx.doi.org/10.3390/economies10010011.
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This research examines the effect of the crisis due to the COVID-19 pandemic on dividend policy in Indonesia. The purposive sampling method was used to collect data from corporates listed on the IDX from 2014 to 2020 and analyzed using static and dynamic panel data approaches. The fixed-effect models (FEM) were selected for the static panel data regression. Meanwhile, the first difference-generalized method of moments (FD-GMM) and system-generalized method of moments (SYS-GMM) were used for determine the robustness of the estimated dynamic panel data. The results showed that the crisis due to the pandemic led to higher dividend distribution on SYS-GMM. Furthermore, companies maintained the dividend level as a positive signal for investors which lifted the sluggish trade condition in the capital market. Profitability and previous year dividends positively affect dividend policy robustly. Furthermore, the results showed that age affects dividend policy on FD-GMM. Financial leverage has a robust effect, and firm size has an effect on FD-GMM in different directions, while investment opportunity does not affect dividend policy. Statistically, the FEM selected that violates the best linear unbiased estimation was proven to form parameters that were not much different from the estimates produced by the dynamic model, both from the coefficient of influence direction and significance, and the omitted variable bias occurs as evidenced in the robust test with dynamic model was solved. This research is also used as a reference for considering investors’ investment decisions in the new normal condition. Therefore, dividend policy can be considered as a positive signal to investors with the ability to stock trading activities in the capital market.
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Adnan, Nur Diyana Athirah Binti, Wei-Theng Lau, and Siong-Hook Law. "Bank Profitability Determinants: Firm-Level Observations in the ASEAN-5 Markets." Research in World Economy 12, no. 3 (March 31, 2021): 77. http://dx.doi.org/10.5430/rwe.v12n3p77.
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This paper aims to investigate the bank-specific characteristics and macroeconomic factors affecting the profitability performance of the Southeast Asian banking sector. The sample markets cover the five original members of ASEAN, i.e. Indonesia, Malaysia, Philippines, Singapore, and Thailand, whereas the sample period encompasses the years between 2010 and 2017. While a healthy financial system is important for the economic sustainability and growth, there are still limited studies to understand how banks generally perform in this region. Our findings largely support the existing hypotheses about the importance of certain micro- and macro variables while contributing new empirical evidence to the current literature. The bank size, loan to assets, loan loss provision, non-interest incomes and expenses, and capital adequacy remain relevant in influencing bank profitability in the ASEAN-5 region. Macroeconomic variables of inflation, interest rate, market concentration and GDP per capita play considerable roles in profitability when they are assessed separately from the bank-specific factors. It is worth noting that the bank-level factors remain important and outplay the macroeconomic factors when they are considered at the same time. The result robustness is of a certain level of satisfaction because comparisons have been performed across individual countries and across different regression models of pooled ordinary least squares model, random effect model, and fixed effect model for all the tentative tests. Both the return on assets and return on equity are examined. Combining both micro- and macroeconomic variables in the regressions also indicates an overall improvement in the r-squared under the same models.
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Widodo, Purwanto, and Juardi Juardi. "Determinan Leverage Optimal Di Bursa Efek Indonesia." Majalah Ilmiah Bijak 17, no. 1 (April 1, 2020): 94–107. http://dx.doi.org/10.31334/bijak.v17i1.829.
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Research on capital structure, recently characterized by the use of dynamic capital structure. The use of dynamic capital structure basically wants to know the existence of optimal leverage as hypothesized by Trade-Off Theory and Speed off Adjustment (SOA) to optimal leverage. This research tries to overcome this problem, by using dynamic panel data by using company characteristics and macroeconomic factors. The use of General Method of Moment (GMM) to overcome the problem of econometrics due to the use of dynamic models. Samples taken from manufacturing companies listing on the Indonesia Stock Exchange 2009-2015. The inference model and the determinant behavior of capital structure can be explained by Trade-Off Theory and Pecking Order Theory. The variable characteristics of the company and macro economy are significant and are marked according to the hypothesis. The findings of this study include: the influence of profitability, size, tangibility, growth opportunity and business risk. In addition, on average companies in Indonesia can increase their debt to utilize tax shields
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Martin, Martin, and Yunita Yunita. "Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India." Binus Business Review 1, no. 1 (May 26, 2010): 40. http://dx.doi.org/10.21512/bbr.v1i1.1020.
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Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. The effect would have greater impact if the capital markets are located in same region. That concern will be answered in this research, about volatility spillover in Indonesia, China, and India capital market. This research using daily return data from each country indices from January 1, 2006 until April 20, 2010 applying econometric model GARCH (1,1). The result showing us that there is bidirectional volatility spillover between Indonesia and India. Meanwhile, there is only single way volatility spillover between Indonesia and China.
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Merry Susanti, Angela Octavia,. "Analisis Faktor Yang Dapat Mempengaruhi Cash Holding Pada Perusahaan Manufaktur Di BEI." Jurnal Paradigma Akuntansi 3, no. 3 (November 10, 2021): 1098. http://dx.doi.org/10.24912/jpa.v3i3.14901.
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The purpose of this study is to empirically examine the effect of market to book ratio, net working capital, financial leverage, profitability, capital expenditure, and size towards cash holding on manufacturing companies listed in Indonesia Stock Exchange from period 2016 – 2018. This study used 70 data from manufacturing companies that have been selected using purposive sampling method with total 210 data for three years. The data used are secondary data in the form of financial statements. This research used econometric views (E-Views) version 10 software to process the data. The result of research shows that profitability has a positive significant effect, and net working capital, capital expenditure, and size has a negative significant effect towards cash holding, while market to book ratio and financial leverage have no effect towards cash holding.
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Ni, Zhehan, and Weilun Chen. "A Comparative Analysis of the Application of Machine Learning Algorithms and Econometric Models in Stock Market Prediction." BCP Business & Management 34 (December 14, 2022): 879–90. http://dx.doi.org/10.54691/bcpbm.v34i.3108.
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Forecasting the future price trend of a stock traded on a financial exchange is the aim of stock market prediction. In recent decades, stock market prediction has been a fascinating topic in the domain of Data Science and Finance. In reality, the stock movement is ambiguous and chaotic due to various influencing factors such as government policy, current events, interest rates Etc. At the same time, accurate enough forecasting of stock price movement leads to substantial benefits for investors. This paper provides a comprehensive review of the application and comparison of Machine Learning (ML) algorithms and Econometric Models in stock market prediction. The mentioned models are categorized into (i) ML algorithms, including Linear Regression (LR), K-nearest neighbors (KNN), Support Vector Machine (SVM), and Long Short-Term Memory (LSTM). (ii) Econometric Models, including Autoregressive Integrated Moving Average (ARIMA) Model, Capital Asset Pricing Model (CAPM), and Fama-French (FF) Factor Model.
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Biørn, Erik. "VAR INTERPRETATIONS OF HAAVELMO’S MARKET MODEL OF CAPITAL AND INVESTMENT." Econometric Theory 31, no. 2 (June 27, 2014): 195–212. http://dx.doi.org/10.1017/s0266466614000267.
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In the paper attempts are made to integrate two parts of Trygve Haavelmo’s work: investment theory and dynamic econometric models of interrelated markets. Specifically, the duality in the representation of the capital service price and the capital quantity in relation to the investment price and quantity are brought to the forefront and confronted with elements from simultaneous equation modeling of vector autoregressive systems containing exogenous variables (VARX), using linear four-equation models. The role of the interest rate and the modeling of the expectation element in the capital service price and the capital’s retirement pattern, and their joint effect on the model’s investment quantity and price dynamics are discussed. Stability conditions are illustrated by examples. Extensions relaxing geometric decay and ways of accounting for forward-looking behavior, including rational expectations, are outlined. Some remarks on the theory-data confrontation of this kind of model are given.
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Boshoff, Douw Gert Brand. "Empirical analysis of space and capital markets in South Africa: A review of the REEFM- and FDW models." South African Journal of Economic and Management Sciences 16, no. 4 (November 29, 2013): 383–94. http://dx.doi.org/10.4102/sajems.v16i4.359.
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This paper assesses the different models, in conjunction with the different theories surrounding the distinction and interdependencies between space- and capital markets. First, the theory of space- and capital markets is discussed with reference to two models, the FDW and the REEFM models. The FDW model provides a diagrammatic explanation of the behaviour of the property market, while the REEFM is an econometric model based on statistical principles that are able to forecast property-market behaviour by interpreting specific given variables. The REEFM model as the perceived more sophisticated model, un-tested in South Africa, was then analysed to test its applicability in the South African context. The findings confirmed the applicability of the model, although one part is not confirmed and is suggested for further research.
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Armeanu, Daniel Ştefan, Camelia Cătălina Joldeş, and Ştefan Cristian Gherghina. "On the Linkage between the Energy Market and Stock Returns: Evidence from Romania." Energies 12, no. 8 (April 17, 2019): 1463. http://dx.doi.org/10.3390/en12081463.
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his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.
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Fitri, Nurul, and Sasqia Putri. "Effect of Capital Expenditure and Personnel Expenditure on Regional Economic Growth: Empirical evidence from Western Indonesia." Jurnal EMT KITA 3, no. 1 (June 25, 2019): 34. http://dx.doi.org/10.35870/emt.v3i1.94.
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This study aims to analyze the effect of capital expenditure and personnel expenditure on regional economic growth in western Indonesia. The data used is a panel data of 10 provinces during the period 2008-2015. The econometric models used to analyze the functional relationship of these variables consisted of the fixed effect method of panel regression, and the Granger causality test. The study found that capital expenditure has a positive but not significant effect on regional economic growth. Conversely, personnel expenditure has a positive and significant effect. Granger causality test results indicate a one-way causality from personnel expenditure and capital expenditure to economic growth and from personnel expenditure to capital expenditure.Keywords: Economic Growth, Capital Expenditure, Personnel Expenditure, Panel Regression and Granger causality test
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Rasyidin, Muhammad, and Zunaidah Sulong. "Respons Of Islamic Stock Markets To Monetary Policy Empirical Evidence from Indonesia." AL-ARBAH: Journal of Islamic Finance and Banking 1, no. 1 (October 31, 2019): 35–46. http://dx.doi.org/10.21580/al-arbah.2019.1.1.4437.
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AbstractPurpose - The impact of stock market and capital formation on economic growth in Indonesia for the period of January 2015 – May 2019. This paper examines a long-run equilibrium relation between stock market, capital formation and economic growth and other control variables.Method - This study uses autoregressive distributed lag (ARDL) model.Result - Findings revealed that none of the models was stationary at level but were all stationary at first difference. There is not a short run significant relationship between stock market, capital formation and economic growth in Indonesia. In the long run, capital formation has a significant positive association on economic growth and a negative non-significant relationship between stock market and economic growth in Indonesia.Implication - This research is useful to know the response of Sharia market to monetary policy instruments in Indonesia so that the Sharia stock market strategy is potentially developing in the future to encourage the achievement of characteristics such as An alternative source of financing and investment for economic actors and able to facilitate risk mitigation needs for market participants and able to drive the efficiency of transactions in the market through the improvement of the quality of stock market infrastructure Sharia. Originality - The update of this research is response of Sharia stock market response to monetary policy instruments in Indonesia that are researched using ARDL models.
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Nadi, Luh. "Analisis Pengaruh Kecukupan Modal, Risiko Pasar dan Efisiensi Operasional terhadap Risiko Kredit Perbankan." Jurnal Accounting Information System (AIMS) 4, no. 1 (March 31, 2021): 55–72. http://dx.doi.org/10.32627/aims.v4i1.273.
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This study aims to examine The Effect Of Capital Adequacy, Market Risk, And Operational Efficiency On Bank Credit Risk. The Research Sample is 10 Conventional Commercial Banks Listed On The Indonesia Stock Exchange. The research variables were proxied by CAR, NIM, and BOPO for the independent variable and NPL for the dependent variable. This study uses quantitative data sourced from banking financial reports on the website of the financial services authority (OJK). The analysis technique uses panel data regression and testing using the software program Eviews (econometric Views) version 9. The results show that capital adequacy proxied by CAR and Operational Efficiency Proxied by BOPO have a significant positive effect on the variable risk of credit or non performing loan proxied by NPL, while market risk proxied by NIM has no effect on NPL.
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Wijaya, Suparna, and Ayu Kusuma Dewi. "Determinants of foreign direct investment and its implications on tax revenue in Indonesia." JPPI (Jurnal Penelitian Pendidikan Indonesia) 8, no. 3 (September 30, 2022): 719. http://dx.doi.org/10.29210/020221523.
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This study aims to examine the effect of market size, trade openness, inflation rate, political stability, corruption, population, and status of human capital on tax revenue with Foreign Direct Investment (FDI) as an intervening variable. This research is quantitative research with a multiplier linear regression model. The sample used in this study includes the provinces in Indonesia. The sample was carried out from 2014 to 2019 using a purposive sampling method, resulting in 180 observations. The research model was tested using two-panel data regression models, namely FEM – GLS Heteros and Autoregressive and Random Effect models (REM). The results show that: 1) market size, trade openness, and the level of human capital have a positive effect on FDI inflows; 2)market size, trade(openness), inflation rate, corruption level, population, human capital level, and Foreign Direct Investment (FDI) have a positive effect on tax revenue; and 3) market size (market size), trade (openness), and the level of human resources (human capital) have an indirect effect on tax revenue through Foreign Direct Investment (FDI).
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Oni, Olabanji. "Determinants of Venture Capital Supply in Sub-Saharan Africa." Journal of Economics and Behavioral Studies 9, no. 4(J) (September 4, 2017): 87–97. http://dx.doi.org/10.22610/jebs.v9i4(j).1824.
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The purpose of this paper is to determine the variables that influence venture capital supply in Sub-Sahara Africa. The study developed econometric models and examined a 10-year period (2006 to 2015) pertaining to eight (8) Sub-Sahara African countries namely: Botswana, Ivory Coast, Ghana, Kenya, Mauritius, Nigeria, South Africa and Uganda. The empirical model includes six determinants (initial public offering, market capitalisation, unemployment rate, foreign direct investment inflow, inflation rate and trade openness). Secondary data was utilised for the study. The primary sources of data were the World Bank Development indicators and Preqin data base. All the statistical analyses in the study were performed using E-views version 8. Panel data models of pooled, fixed and random effects were employed. The results suggest that there is a significant positive relationship between initial public offering, market capitalisation and venture capital supply. Second, there is no significant relationship between unemployment rate, foreign direct investment inflows, trade openness and venture capital supply. Based on the empirical findings, this study recommends that Sub-Sahara African governments should attempt to develop their economies by improving infrastructure and corporate governance. There is also a need for African countries to develop the equity market.
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Oni, Olabanji. "Determinants of Venture Capital Supply in Sub-Saharan Africa." Journal of Economics and Behavioral Studies 9, no. 4 (September 4, 2017): 87. http://dx.doi.org/10.22610/jebs.v9i4.1824.
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The purpose of this paper is to determine the variables that influence venture capital supply in Sub-Sahara Africa. The study developed econometric models and examined a 10-year period (2006 to 2015) pertaining to eight (8) Sub-Sahara African countries namely: Botswana, Ivory Coast, Ghana, Kenya, Mauritius, Nigeria, South Africa and Uganda. The empirical model includes six determinants (initial public offering, market capitalisation, unemployment rate, foreign direct investment inflow, inflation rate and trade openness). Secondary data was utilised for the study. The primary sources of data were the World Bank Development indicators and Preqin data base. All the statistical analyses in the study were performed using E-views version 8. Panel data models of pooled, fixed and random effects were employed. The results suggest that there is a significant positive relationship between initial public offering, market capitalisation and venture capital supply. Second, there is no significant relationship between unemployment rate, foreign direct investment inflows, trade openness and venture capital supply. Based on the empirical findings, this study recommends that Sub-Sahara African governments should attempt to develop their economies by improving infrastructure and corporate governance. There is also a need for African countries to develop the equity market.
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Nikica Grubišić. "LONG-TERM PROSPECT OF OIL AND GAS PRICES." Journal of Energy - Energija 58, no. 1 (September 15, 2022): 14–25. http://dx.doi.org/10.37798/2009581290.
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Ever since the market was formed, people have been interested in the future prices fluctuations. The one whose cognition was closer to the realization had leverage in comparison to other participants of the market competition. When it comes to oil, it becomes all the more interesting. Oil is a loyal companion of the cyclic development of capitalism, and earnings from changes in oil prices have become greater than the earnings from the production itself. Therefore, this paper endeavours to consider the long-term oil and gas prices prospect through capital market analysis rather than through the usual complex econometric models.
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Abdullahi, Haruna, and Olajide Oladipo. "The impact of banking and capital market financial inclusion on economic development in Nigeria." Journal of Global Economics and Business 3, no. 10 (July 1, 2022): 91–119. http://dx.doi.org/10.31039/jgeb.v3i10.51.
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The study investigates the relationship between financial inclusion and economic development in Nigeria between 2003 and 2020 using the human development index (HDI) and variables from banking and the capital market. A separate model was specified for each of the industries in the financial sector. The econometric techniques employed include the ADF unit root test, ARDL bounds test, and Error correction model. The summary of the findings indicates the existence of a long-run relationship between HDI and capital markets inclusion, while there is no relationship recorded between banking inclusion and HDI. Secondly, the short-run models show that there is a relationship between HDI and capital market inclusion, while there is a negative relationship between HDI and banking inclusion. The study recommends the drafting of a comprehensive financial inclusion plan in the country among others.
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Rokan, Mustapa Khamal. "State Role Model in Regulating Market in Indonesia on Islamic Perspective." Ijtimā'iyya: Journal of Muslim Society Research 1, no. 1 (September 30, 2016): 37–62. http://dx.doi.org/10.24090/ijtimaiyya.v1i1.926.
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Background of this research is the traditional market alienation due to unbalance compete with modern market on the retail market in Indonesia. Limited capital, business management simple and limited networks make traditional markets are not able to compete with the modern market. This research use qualitative methods and use a case-based approach (statute approach) the Commission’s decision number 09/KPPU-L/2005 and the Commission’s Decision No. 03/ KPPU-LI /2000 and history approach, the history of the market Prophet Muhammad’s time and during the time of the Islamic empire. In addition, this study also helped to pull through direct surveys in several markets in Jakarta and Medan. The result of this research is models of the pressing role state (sadd) by prohibition of monopolistic practices, intervention of price and the location, state role with a capital acces (fath) by empowering, providing capital assistance, as well as collaboration (jam’u) to encourage cooperation between traditional and modern market.
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Rinofah, Risal, and Diah Lestari Mumpuni. "Determinants of Capital Structure: Internal Factors (Accounting) versus External Factors (Market)." Sebelas Maret Business Review 4, no. 1 (November 28, 2019): 28. http://dx.doi.org/10.20961/smbr.v4i1.23282.
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<p>This study aims to examine the role of internal and external factors on the capital structure and specifically will test which factors are dominantly affecting the company's capital structure. The results of this test can be subject to additional discussion on the capital structure both in the classroom and academic space in general because so far, the discussion of factors affecting capital structure is still focused on internal factors of the company alone, especially in Indonesia. This goal will be achieved by observing manufacturing company panel data for 10 years (2006 - 2015). Data will be tested using multiple regression analysis techniques, both with the Common Effect (OLS), Fixed Effect or Random Effect Models. The three models are used to accommodate variations in the characteristics of the sample of companies studied which generally will affect the relationship between variables. The test results show that the best estimation model is Fixed Effect with the finding that the Capital Structure is determined by internal (Accounting) and external (Market) factors, which are negatively affected by Liquidity (Current Ratio), Company Age (Age), and Stock Market Value (Mispricing). This result also shows that companies in Indonesia adhere to the Market timing Hypothesis and Pecking Order Theory in determining the capital structure theory.</p>
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Rasyidin, Muhammad, and Zunaidah Sulong. "Respons Of Islamic Stock Markets To Monetary Policy Empirical Evidence from Indonesia." AL-ARBAH: Journal of Islamic Finance and Banking 1, no. 1 (October 31, 2019): 35. http://dx.doi.org/10.21580/al-arbah.v1i1.4437.
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<p class="StyleIABSSSLatinBoldGray-80">Abstract</p><p class="IABSSS"><strong>Purpose</strong> - The impact of stock market and capital formation on economic growth in Indonesia for the period of January 2015 – May 2019. This paper examines a long-run equilibrium relation between stock market, capital formation and economic growth and other control variables.</p><p class="IABSSS"><strong>Method</strong><strong> </strong>- This study uses autoregressive distributed lag (ARDL) model.</p><p class="IABSSS"><strong>Result</strong><strong> </strong>- Findings revealed that none of the models was stationary at level but were all stationary at first difference. There is not a short run significant relationship between stock market, capital formation and economic growth in Indonesia. In the long run, capital formation has a significant positive association on economic growth and a negative non-significant relationship between stock market and economic growth in Indonesia.</p><p class="IABSSS"><strong>Implication</strong> - This research is useful to know the response of Sharia market to monetary policy instruments in Indonesia so that the Sharia stock market strategy is potentially developing in the future to encourage the achievement of characteristics such as An alternative source of financing and investment for economic actors and able to facilitate risk mitigation needs for market participants and able to drive the efficiency of transactions in the market through the improvement of the quality of stock market infrastructure Sharia. </p><p><strong>Originality</strong> - The update of this research is response of Sharia stock market response to monetary policy instruments in Indonesia that are researched using ARDL models.</p>
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Muñoz Jiménez, Iván, and José Miguel Rodríguez Fernández. "Valor bursátil de los bancos europeos: Determinantes económico-financieros y de gobierno corporativo." Studies of Applied Economics 32, no. 2 (March 4, 2020): 677. http://dx.doi.org/10.25115/eea.v32i2.3228.
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The objective of this empirical study is to investigate the influence of the economic, financial and corporate governance characteristics on stock market value of a sample of European banks in recent years. To this end, several theoretical hypotheses are tested by various estimates econometric models with different specific techniques for panel data, considering as dependent variable Tobin's Q ratio. It detects that there is a positive impact of good asset quality, adequate capital structure, operational efficiency, liquidity and corporate governance of banking institutions.
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Rahmat, SIP ,. M. H. "Intellectual Capital, Bank Size, Bank Market Share, and Efficiency of Conventional Banks in Indonesia." Revista CEA 6, no. 11 (January 30, 2020): 71–88. http://dx.doi.org/10.22430/24223182.1457.
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This study aims to empirically examine the effect of intellectual capital, bank size, and market share on the efficiency of commercial banks in Indonesia from 2013 to 2017. The results of a panel data analysis of two models show that intellectual capital (calculated simultaneously or individually per component), bank size, and market share have a significant effect on bank efficiency, as confirmed by a fixed-effect regression model. Said model indicates that the year-to-year effect of the independent variables is influenced by individual bank differences. In other words, dissimilar characteristics of banks’ intellectual capital and its components determine the effect of said variables on bank efficiency. Likewise, the asset ownership and market share of banks also distinguish their behavior in terms of bank efficiency.
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Barykin, Sergey A., and Andrei L. Bulgakov. "Factors of the fintech market development in the global economy (the case of the alternative lending)." Vestnik of Saint Petersburg University. Management 20, no. 1 (2021): 108–27. http://dx.doi.org/10.21638/11701/spbu08.2021.105.
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Alternative lending is one of the largest segments of the financial technology market in the world which is represented by online platforms specializing in organizing the lending process. The purpose of the article is to assess the impact of key factors on the dynamics of venture capital investments in alternative lending platforms. The objectives of this study are to define the concept of alternative lending, build an econometric model to analyze the factors of development of alternative lending in the world, and interpret the results from the point of view of the prospects for the development of alternative lending. Alternative lending has been defined as a segment of the fintech market that can be characterized as parallel financing of economic activities based on digital platforms through the provision of syndicated loans after decentralized business models. To test the hypotheses of the study, an econometric model was built on the analysis of 5,234 investment transactions completed in the period from 2013 to 2019 in 35 countries of the world and included in the CrunchBase database. According to the model, such factors as the availability of venture capital, the number of workforce, the digital competitiveness of the economy (the factor of future readiness), and the availability of credit information have a significant impact on the dynamics of direct and venture capital investments in alternative lending companies. The obtained results can be considered when improving the national strategy for regulating the alternative lending market, which is especially important for Russia, where the segment of alternative lending is at the stage of stagnation.
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CONSTANTIN, ANGHELACHE, ANGHEL MADALINA-GABRIELA, and IACOB STEFAN VIRGIL. "Statistical-Econometric Methods and Models Used in the Analysis of the Capital Market under the Risk of Inflation." ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH 54, no. 2/2020 (June 18, 2020): 41–58. http://dx.doi.org/10.24818/18423264/54.2.20.03.
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Banik, Shipra, Mohammed Anwer, and A. F. M. Khodadad Khan. "Modeling Chaotic Behavior of Chittagong Stock Indices." Applied Computational Intelligence and Soft Computing 2012 (2012): 1–7. http://dx.doi.org/10.1155/2012/410832.
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Stock market prediction is an important area of financial forecasting, which attracts great interest to stock buyers and sellers, stock investors, policy makers, applied researchers, and many others who are involved in the capital market. In this paper, a comparative study has been conducted to predict stock index values using soft computing models and time series model. Paying attention to the applied econometric noises because our considered series are time series, we predict Chittagong stock indices for the period from January 1, 2005 to May 5, 2011. We have used well-known models such as, the genetic algorithm (GA) model and the adaptive network fuzzy integrated system (ANFIS) model as soft computing forecasting models. Very widely used forecasting models in applied time series econometrics, namely, the generalized autoregressive conditional heteroscedastic (GARCH) model is considered as time series model. Our findings have revealed that the use of soft computing models is more successful than the considered time series model.
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Globerman, Steven. "Investing abroad and investing at home: complements or substitutes?" Multinational Business Review 20, no. 3 (August 17, 2012): 217–30. http://dx.doi.org/10.1108/15253831211261469.
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PurposeThe purpose of the study is to assess whether outward foreign direct investment (OFDI) and home country capital investment are substitutes or complements.Design/methodology/approachCase studies of 22 Canadian multinational companies (MNCs) were carried out, and the qualitative and quantitative information from the case studies was used to evaluate whether OFDI and home country capital investment were substitutes or complements for the sample MNCs over the period 2000‐2010.FindingsTwo primary strategic motives were identified for the OFDI undertaken by the sample MNCs: market‐seeking; and resource‐seeking. Across the sample, domestic investment was typically a poor strategic alternative to OFDI. Furthermore, OFDI promoted faster revenue growth for the MNCs which stimulated increased domestic investment in later time periods. Hence, OFDI and domestic capital investment are complements in the longer run.Practical implicationsHome country government policies that directly or indirectly discourage OFDI will also discourage domestic investment by home country MNCs. This, in turn, might discourage investment by small and medium‐sized enterprises in the home country, if government limitations on OFDI hamper the growth of MNC head offices in the home country.Originality/valueThe study provides evidence drawing on case studies rather than traditional econometric models. The case study methodology provides evidence on the underlying strategic imperatives for OFDI that is not identified by econometric studies.
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Ardiansyah, Tedy. "Model Financial Dan Teknologi (Fintech) Membantu Permasalahan Modal Wirausaha UMKM Di Indonesia." Majalah Ilmiah Bijak 16, no. 2 (September 25, 2019): 158–66. http://dx.doi.org/10.31334/bijak.v16i2.518.
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The objectives of this study are (1) to find out the effect of technology-based financing models in helping entrepreneurial capital problems in society, Indonesia, (2) Knowing the types of technology-based financing models to help entrepreneurial capital problems in society, Indonesia, (3) Helping MSMEs capital in the future, (4) Helping solutions to business capital problems in entrepreneurial activities. Qualitative descriptive research is aimed at describing and describing existing phenomena, both natural and human engineering, which pay more attention to the characteristics, quality, and interrelationship between activities. In addition, this study does not provide treatment, manipulation or alteration on the variables studied, but describes a condition that is. Data collection techniques are derived from secondary data while the research instrument utilizing the results of the research that has been done both comes from journals, the Internet and books. From several research results illustrate that: (1) activities related to finance and technology are indeed needed by MSMEs with the current situation, (2) There is a relationship between financial and technological models (fintech) in helping MSME entrepreneurial capital problems, (3) Models financial and technology (fintech) consists of several kinds, among others: (a) crowd funding and peer to peer lending, (b) Market aggregator, (c) Risk and Investment Management and (d) Payment, settlement and clearing. (4) The results of research that greatly help MSME entrepreneurs in obtaining capital to maintain and improve business are financial and technology models (fintech) which lead to Crowd funding and Peer to Peer (P2P) lending, (5 in Indonesia are more familiar with P2P where has been implemented in activities including: (a) Agricultural Capital Startup, (b) Livestock Capital Startup and (c) Fisheries Capital Startup, (6) Future capital challenges have definite answers to the development of alias finance and technology fintech.
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Akbar, Minhas, Ahsan Akbar, and Muhammad Umar Draz. "Global Financial Crisis, Working Capital Management, and Firm Performance: Evidence From an Islamic Market Index." SAGE Open 11, no. 2 (April 2021): 215824402110157. http://dx.doi.org/10.1177/21582440211015705.
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This research investigates the impact of working capital management (WCM) on the profitability and market performance of firms that constitute an Islamic market index (Karachi Meezan Index [KMI-30]) in Pakistan during 2002–2013. The data have been divided into three parts, that is, preglobal (2002–2007), during (2007–2008), and postglobal financial crisis period (2008–2013), to examine the proposed relationship in different macroeconomic settings. Net trade cycle (NTC) and its components are used to measure the WCM efficiency, while NTC square is used to proxy the impact of excessive holdings of working capital on corporate performance. The econometric models are calculated in a generalized method of moments (GMMs)-based regression environment to ensure the robustness of empirical outcome. The results reveal that, as opposed to conventional businesses, KMI-30 firms are more ethical in their short-term financial management. Besides, such firms adopted a conservative WCM policy during the global financial crisis of 2007–2008. Furthermore, we confirm the presence of a concave relationship between working capital levels and firm performance as NTC is positively, whereas NTC square is negatively, related to firm performance. This article makes a significant contribution to the extant literature as it evaluates the impact of WCM on the profitability and market performance of Islamic market indexed firms under varying macroeconomic conditions.
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Cevheroglu-Acar, Merve Gizem. "Determinants of Capital Structure: Empirical Evidence from Turkey." Journal of Management and Sustainability 8, no. 1 (February 4, 2018): 31. http://dx.doi.org/10.5539/jms.v8n1p31.
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The primary aim of this study is to identify the firm-specific determinants of the capital structure of non-financial firms in Turkey and to test whether the determinants offered by financial theory are able to provide convincing explanations for non-financial firms in Turkey. Because the relationship between liquidity and capital structure is not well examined for Turkish market in the context of capital structure theories, we include liquidity as independent variable in our models in addition to profitability, growth, non-debt tax shields, size, tangibility, and risk. We use panel regression as econometric model and cover the period from 2009 to 2016. Our results show that profitability, non-debt tax shield, size, tangibility, and liquidity are significant determinants of the capital structure, size being the most robust one. On the other hand, growth and volatility are not significantly related with the leverage. Moreover, we conclude that capital structure decisions of non-financial firms in Turkey are mostly consistent with the hypothesis of pecking order theory rather than trade-off theory.
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AUDITYA, LUCY. "PERAN GALERI INVESTASI SYARIAH BURSA EFEK INDONESIA (GIS BEI) IAIN BENGKULU DALAM MENINGKATKAN LITERASI PASAR MODAL (Studi Kasus Masyarakat Sumur Dewa Air Sebakul)." Al-Intaj : Jurnal Ekonomi dan Perbankan Syariah 5, no. 2 (September 9, 2019): 286. http://dx.doi.org/10.29300/aij.v5i2.2060.
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The purpose of this study was to find out how the role of the Indonesian Stock Exchange Islamic Investment Gallery (GIS BEI) IAIN Bengkulu Gallery in improving Capital Market literacy in the Community thus encouraging an increase in fraudulent investment fraud. This study uses descriptive qualitative methods. The data used are primary data and secondary data. Data collection techniques used were interviews, observation, and documentation in accordance with the problems studied, and data analysis techniques using the Miles and Huberman models. The results of this study reveal that the IDX Investment Gallery concept of 3 in 1 which is a collaboration between the IDX, Universities and Securities Companies is expected not only to introduce the Capital Market from the theoretical side but also the practice. The existence of the IDX Investment Gallery is expected to provide mutual benefits to all parties so that the dissemination of capital market information is on target and can provide optimal benefits for students, economic practitioners, investors, capital market observers and the general public in the surrounding areas both for socialization and education purposes / capital market education as well as for economic interests or investment alternatives to avoid fraudulent investment fraud.
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Koulis, Alexandros, George Kaimakamis, and Christina Beneki. "Hedging effectiveness for international index futures markets." Economics and Business 32, no. 1 (July 31, 2018): 149–59. http://dx.doi.org/10.2478/eb-2018-0012.
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Abstract This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model are employed to estimate corresponding hedge ratios that can be employed in risk management. The analyzed sample consists of daily closing market rates of the stock market indexes of the USA and the European futures contracts. The findings indicate that the time varying hedge ratios, if estimated through the ARDL model, are more efficient than the fixed hedge ratios in terms of minimizing the risk. Additionally, there is evidence that the comparative advantage of advanced econometric approaches compared to conventional models is enhanced further for capital markets within peripheral EU countries
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BASROWI, Basrowi, and Pertiwi UTAMI. "Building Strategic Planning Models Based on Digital Technology in the Sharia Capital Market." Journal of Advanced Research in Law and Economics 9, no. 3 (June 15, 2020): 747. http://dx.doi.org/10.14505/jarle.v11.3(49).06.
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Digital technology is able to give a new face to the development of the capital market industry in Indonesia. Licensing process, wider reach and ease in transactions (financial technology) become faster, more efficient, cheaper, and transparent. However, the development of digital or scripless systems is still constrained by various factors. The purpose of this study is to try to dig deeper into the basic concepts of digital planning for issuers in the list of Islamic securities. A development model based on the results of the literature review is expected to contribute to the acceleration of digital technology in the capital market. The results of the study suggest that it is important for digital planning so that organizations have planning standards with special characteristics to create a 'positioning' that is in accordance with Islamic principles. The novelty in this research is that social cognitive theory and technology adoption can also be applied to sharia-based digital planners in the capital market. Sharia-based digital technology will have a positive impact on the empowerment of issuers, prospective issuers, and investors in the list of sharia securities.
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Surono, Yunan. "MODEL ASSET PRICING YANG BERLAKU DI INDONESIA: STUDY KASUS SAHAM UNGGULAN." J-MAS (Jurnal Manajemen dan Sains) 3, no. 2 (October 17, 2018): 146. http://dx.doi.org/10.33087/jmas.v3i2.52.
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This study tested the influential factors in the estimation of stock return and compare the three models of asset pricing, i.e., Capital Asset Pricing Model, Three Factors Pricing models, and Four Factors Pricing Model. The purpose of this research is to obtain a model of asset pricing can provide estimated stock return with better among three types of models. The research sample is stocks LQ45 in Indonesia stock exchange (idx) during the period of 2005-2016. Regression analysis performed on variables, excess return market, size, book to market, and momentum is against the return of the monthly stocks fit each model to know the influence of variables and the feasibility of the model with the adjusted R square. Different test ANOVA is performed to obtain the standard deviation of each model and difference significance between the three models. The results showed: (1) factors in excess of market return, size premium, value premium, and momentum factors effect on stock return, (2) based on independent variables constituting influence, CAPM, Three Factors Pricing models or Four Factors Pricing Model can capture the behavior of stock prices on issuers who are members of group LQ45 on Indonesia stock market, (3) based on the adjusted R Square and standard deviation, Three Factors Pricing Model better than the CAPM and the Four Factors Pricing Model better than Three Factors Pricing Model, but all three models have a weak explanatory power as well as the results of significance of difference test that is not significant, so that the benefits of these models to estimated return expectations of stock market Indonesia is still questionable.
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Simionescu, Liliana Nicoleta, Ștefan Cristian Gherghina, Ziad Sheikha, and Hiba Tawil. "Does Water, Waste, and Energy Consumption Influence Firm Performance? Panel Data Evidence from S&P 500 Information Technology Sector." International Journal of Environmental Research and Public Health 17, no. 14 (July 19, 2020): 5206. http://dx.doi.org/10.3390/ijerph17145206.
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This paper aimed to investigate the impact of water, waste, and energy consumption on firm performance for a sample of enterprises that belong to the S&P 500 Information Technology sector over the period of 2009–2020. The quantitative framework covered both accounting (e.g., return on assets—ROA; return on common equity—ROE; return on capital—ROC; return on invested capital—ROIC) and market-based measures of performance (e.g., price-to-book value—PB), alongside firm and corporate governance specific variables. By estimating multivariate panel data regression models, the empirical results provided support for a negative impact of total water use on PB but a positive effect on ROA. With reference to the total waste, the econometric outcomes revealed a negative influence on the entire selected performance measures, whereas total energy consumption did not reveal any statistically significant influence.
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Purnamaningrum, Tri Kunawangsih. "RASIO KEUANGAN DAN PENGARUHNYA TERHADAP PERGERAKAN HARGA SAHAM SEKTOR PROPERTI YANG LISTING DI BURSA EFEK INDONESIA." Media Ekonomi 26, no. 2 (August 18, 2019): 137. http://dx.doi.org/10.25105/me.v26i2.5217.
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<em>The research is analyzing the effect current ratio, Return on Equity, dividend per share, towards the property stock price in Indonesia Stock Market.</em> <em>The research methodology used is quantitave deskriptif. The data used in this research was quarterly data during period 2011-2016. The estimation method is based on pooled OLS regression with fixed effects and random effects models. Historical data was taken Indonesian Stock Market, Statictic Center Beaurau, Bank of Indonesia report and Indonesia Capital Market Directory. </em><em>The results of the study showed current ratio and dividen per share has positiv significant influence toward property stock price. While Return on Equity has negative significant toward property stock price.</em>
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Charteris, Ailie Heather, and Barry Strydom. "Capital market openness and volatility: an investigation of five Sub-Saharan treasury bill rates." International Journal of Emerging Markets 11, no. 3 (July 18, 2016): 438–59. http://dx.doi.org/10.1108/ijoem-12-2013-0210.
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Purpose – The purpose of this paper is to model the volatility of treasury bill (T-bill) rates in five Sub-Saharan capital markets to investigate whether or not differences in capital mobility affect volatility. Design/methodology/approach – Primary data was collected from weekly T-bill auctions in five Sub-Saharan countries and was analysed using a range of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models in order to determine the volatility characteristics of each of these instruments. Differences in the institutional arrangements for each market are used to interpret the results of the econometric analysis. Findings – Evidence is presented that indicates that the size and financial liberalisation of capital markets affect volatility. While the markets with the greatest exposure to international investors exhibit greater volatility in the long-run, the presence of non-residents in the market appears to contribute to more efficient pricing of these instruments. Research limitations/implications – The limited sample restricts the ability to generalise these findings, however, the finding that differences exist in the volatility of these markets even though they are geographically similar indicates the value of this methodological approach. Practical implications – The finding that greater capital mobility may result in increased volatility and greater efficiency has significant policy implications for governments and market regulators who have to weigh the costs and benefits of financial liberalisation. Originality/value – The paper employs a unique data set to model the volatility characteristics of the selected T-bills to improve the understanding of the behaviour of these important instruments in Sub-Saharan frontier markets. More specifically the study provides a novel empirical approach to addressing the question of whether capital mobility is linked to increased volatility. The finding that capital mobility is linked to greater market efficiency offers a fresh insight to this debate.
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CHONG, TERENCE TAI-LEUNG, WING HEI MAK, and ISABEL KIT-MING YAN. "A THRESHOLD MODEL APPROACH TO ESTIMATING THE ABNORMAL STOCK RETURNS." Annals of Financial Economics 08, no. 01 (June 2013): 1350001. http://dx.doi.org/10.1142/s2010495213500012.
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The classical capital asset pricing model postulates a linear relationship between stock returns and stock risks. However, a number of subsequent empirical studies have revealed some anomalies in this relationship, especially for firms with small size and high book-to-market values. A possible explanation for the anomalies is the existence of threshold effects in the proxies of stock risks. However, conventional threshold models only allow for one threshold variable, which limits their applicability in this context. In this paper, we address this issue by applying the econometric technique developed by Bai et al. (2012). We estimate the joint threshold effects of firm size and book-to-market equity ratio on the stock returns using a sample of 5,271 US firms. The test results yield clear evidence for the existence of threshold effects in both firm features. We find that abnormal returns exist when the firm size falls below 52.04 million USD and the book-to-market ratio exceeds 0.4085.
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Wulandari, Vera Pipin, and Kusdhianto Setiawan. "ANALYSIS OF MARKET TIMING TOWARD LEVERAGE OF NON-FINANCIAL COMPANIES IN INDONESIA." Journal of Indonesian Economy and Business 30, no. 1 (September 16, 2015): 42. http://dx.doi.org/10.22146/jieb.7333.
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ABSTRACTThis study aimed to examine the effect of market timing on leverage on non-financial compa-nies in Indonesia. Market timing was tested on the hot and cold market conditions. Hot and cold markets are determined by the monthly market to book ratio. A hot (cold) market occurs when the average market to book ratio of a particular month is above (below) the value of the moving average of the monthly market to book ratio. This study also aimed to test whether non-financial companies in Indonesia persistently applied leverage policies. This study used two research models. The first model was a panel data with a sample size of 77 non-financial companies listed on the Indonesian Stock Exchange from 2002-2013.The second model was a cross section data with a sample size of 157 non-financial companies that conducted their IPO in Indonesia from 2003-2013. The dependent variable in both the research models was leveraget (levt). The independent variables were markett and leveraget-1 (levt–1). The control variables were profitabi-lityt-1 (proft-1); and sizet-1. The results of this study indicated that market timing affected the lev-erage of non-financial companies listed on the Indonesian Stock Exchange. However, market timing did not affect the leverage of non-financial companies that had their IPO in Indonesia. The non-financial companies in Indonesia were not persistently applying a leverage policy. The capital structure of non-financial companies in Indonesia changed because of the influence of variable profitability and size (which supports the pecking order and trade off theory).Keywords: market timing theory, leverage, hot and cold market, market to book ratio
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Campos, Octávio Valente, Wagner Moura Lamounier, and Rafael Morais de Souza. "The composition of firms' indebtedness and the macroeconomy of capital." Revista Catarinense da Ciência Contábil 21 (September 9, 2022): e3296. http://dx.doi.org/10.16930/2237-7662202232962.
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The objective of this research is to analyze the influence that monetary policies exert on the composition of the indebtedness of Brazilian corporations. From this objective, 2 hypotheses derive. The first analyzes the sample aggregate and the second directs the tests to the productive sectors. The study sample is composed of 220 companies: 84 of consumer goods, 89 of capital goods and 47 of public utility. The data collected refer to the years 2009 to 2019. The methodology used for data analysis is through panel data models, using the GMM approach. According to the results, it can be concluded - in the light of the macroeconomics of capital - that the composition of the firms' indebtedness can be determined by the market moments defined by the monetary policies, so that such influence is different depending on the sector to which the companies are located in the production chain. These results complement the literature that studies the impacts of monetary policies and macroeconomic variables on corporate finance, mainly through econometric modeling based on accounting data.
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Qudratullah, Mohammad Farhan. "Zakah Rate In Islamic Stock Performance Models: Evidence From Indonesia." IQTISHADIA 13, no. 1 (June 15, 2020): 107. http://dx.doi.org/10.21043/iqtishadia.v13i1.6004.
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<p>There are three models commonly used to measure the performance of Islamicstocks, named Treynor Ratio, Sharpe Ratio, and Jansen Index. One component of the three models is risk-free returns which are usually approached with interest rates, whereas interest rates are prohibited in the concept of Islamic finance. This paper will approach a risk-free return with zakat-rate on the Islamic capital market in Indonesia from January 2011 - July 2018, then compare it with a model that uses interest rates. The results obtained by the model with interest rates and zakah-rate in this third model have very high suitability values, so that zakah-rate can be used as an alternative substitute for interest rates in measuring the Islamic stock performance. Beside not contradicting the concept of Islamic economics, calculation of models with zakah-rate is simpler than models with interest rates.</p>
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Nautiyal, Neeraj, and P. C. Kavidayal. "Analysis of Institutional Factors Affecting Share Prices: The Case of National Stock Exchange." Global Business Review 19, no. 3 (March 14, 2018): 707–21. http://dx.doi.org/10.1177/0972150917713865.
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This study offers empirical findings on the impact of institutional variables on firm’s stock market price performance. In order to identify the influence of companies financial on NIFTY 50 Index, our sample consists of balanced panel of 30 actively traded companies (that becomes the study’s index representative) over a massive transition period, 1995–2014. Attempts have been made with a wide range of econometric models and estimators, from the relatively straightforward to (static) more complex (dynamic panel analyses) to deal with the relevant econometric issues. Results indicate that increasing debt in capital structure does not establish any significant relation with the stock prices. Earnings per share (EPS) shows a poor explanation of price variation. Economic value added (EVA) indicates a positive relation with current as well as previous year’s stock price performances. However, dividend payout (DIVP) and dividend per share (DPS) achieve negative relationship at moderately significant level. The present study confirms that performance of companies fundamental ratios will be essential and immensely helpful to investors and analysts in assessing the better stocks that belong to different industry groups.
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Ali, Farman, Pradeep Suri, Tarunpreet Kaur, and Deepa Bisht. "Cointegration and causality relationship of Indian stock market with selected world markets." F1000Research 11 (November 1, 2022): 1241. http://dx.doi.org/10.12688/f1000research.123849.1.
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Background: The purpose of this study is to explore the trends and causes of established and emerging nations' stock market integration with India. The National Stock Exchange (NSE) indices act as a counterweight to international market indices. This study investigates the sustained interest of foreign investors in the Indian stock market in the wake of capital market reforms, as well as whether it moves in tandem with other markets in Asia and the United States. Methods: Our study examined the possibility of cross-country cointegration between the largest economies and indices around the world using multiple financial econometric models, such as Augmented Dickey-Fuller, Unit Root, Correlation, and Johansen Cointegration. Results: The findings of this study significantly support the notion that Indian and international financial markets are highly integrated. Vector error correction model indicates that the Indian market (NSE) is highly cointegrated with the US market (National Association of Securities Dealers Automated Quotations) and increased volatility signifies global contagion. Conclusion: A cursory examination of the data reveals distinct investment and portfolio diversification options for global investors. This could assist regulators in formulating more effective rules regarding price discovery processes.
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Basovskiy, Leonid, and Elena Basovskaya. "Production Functions of Labor Productivity in Modern Russia." Scientific Research and Development. Economics 8, no. 3 (June 17, 2020): 18–22. http://dx.doi.org/10.12737/2587-9111-2020-18-22.
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To identify determinants of labor productivity, correlation relationships of productivity of various indicators was evaluated, reflecting the influence of a wide range of socio-economic and innovative factors in the regions of Russia for 2015-2017. It has been established that many indicators characterizing socio-economic and innovative factors do not have a significant relationship with labor productivity and are multicollenarity (they have correlation relationships among themselves). For each year, according to statistics of 82 regions of Russia, econometric models in the form of a well-known standard internal linear function - an analog of the Cobb-Douglas production function are constructed. The obtained models indicate a positive impact on labor productivity, capital-labor ratio, foreign investment, wage levels, income inequality, inflation in industrial goods and export markets. The obtained simulation results showing a significant positive effect on labor productivity exerted by income inequality and the inflation rate on the industrial goods market, which indicates the action of economic mechanisms in the country in developed countries. When performing research, it was found that the positive impact of capital-labor ratio on productivity in 2015-2017 was reduced. This indicates a decrease in the efficiency of use of fixed capital in countries, about the crisis in the country's economy.
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Zarić, Snježana. "Determinants of foreign direct investment in Central and Eastern Europe: Panel data analysis results." Anali Ekonomskog fakulteta u Subotici, no. 48 (2022): 35–49. http://dx.doi.org/10.5937/aneksub2248035z.
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The diffusion of technology and the knowledge spillover that accompanies foreign direct investment have made all countries, especially those in transition, interested in this type of capital inflow. Accordingly, in this paper, we have applied econometric panel models to identify determinants of foreign direct investment in Central and Eastern European countries. Our results indicate that differences in foreign direct investment flow in the analysed countries can, to a large extent, be explained by traditional factors such as the availability of skilled labour force, labour costs, infrastructure quality, and market size. In addition, the quality of institutions, primarily democratic government, an independent judiciary, and the absence of corruption, also significantly influence foreign companies' decisions about where to invest in countries in the region.
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Adiningsih, Sri. "The Impact of Government Debt Issuance on Short-Term interest rates in Indonesia." Gadjah Mada International Journal of Business 11, no. 3 (August 12, 2009): 301. http://dx.doi.org/10.22146/gamaijb.5521.
Full textAbstract:
This paper analyzes whether the expansionary fiscal policy funded by issuing debt instruments in financial markets will increase short-term interest rates. If the expansionary fiscal policy increases interest rates, which decrease private spending especially investment, crowding out occurs. This is interesting because global economic crisis has encouraged many countries to run large budget deficits to stimulate the economy. Indonesia has also run budget deficit during this crisis and even in years before. The impact of such a policy can be significant because Indonesia’s debt market is still narrow and shallow. Therefore, its capability of absorbing the government debt instruments without influencing the private sector funding is limited. This study tests whether the crowding out occurs in Indonesia using a time series econometric model inspired by Cebula and Cuellar’s model. The Cointegration Regression and Error Correction Model (ECM) are used in this study. Monthly data from April 2000 to December 2008 are used for overnight real interbank call money interest rates, real net government bond issues in trading, real narrow money supply, real rate of one-month Certificate of Bank Indonesia, growth of Gross Domestic Product, and real net international capital flows. This empirical study shows that the crowding out problem occurred in Indonesia during the period. This indicates that financing budget deficit in Indonesia by issuing debt instruments in the financial markets has a negative impact on the private sector.