scholarly journals ANALISIS DETERMINAN VOLUME PERDAGANGAN SUKUK NEGARA RITEL SERI SR-007

El Dinar ◽  
2019 ◽  
Vol 7 (2) ◽  
pp. 119
Author(s):  
Laily Farikhatun Ni'mah ◽  
Ahmad Sidi Pratomo
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Positive Influence ◽  
The State ◽  
State Budget ◽  
Vector Error Correction ◽  
Vector Error ◽  
Negative Effect ◽  
Vector Error Correction Models

<p><em>Trading volume of retail sukuk is the number of sheets of the State retail sukuk listed on the stock exchange. The country's retail sukuk issued to finance a deficit Budget of income and Expenditure of the State (STATE BUDGET) the purpose of this research is to examine and analyze the influence of internal factors and external factors against a trading volume of sukuk country retail series SR-007. This research uses descriptive kuantitaif approach. Researchers use the data monthly April 2015 period until March 2018. The variables used in this study is the price, the Yield to Maturity (YTM), exchange rates, For the results of Mudharabah Deposits, the BI rate, inflation and trading Volume of Sukuk Retail Series SR-007. The research analytical tool is Vector Error Correction models (VECM) using Eviews 9. The results of this research show that there is a short-term relationship between variables that influence positive YTM against trading volume of sukuk retail series SR-007. In a long term relationship variables YTM, the exchange rate, the BI Rate, and inflation provide a positive influence against the trading volume of sukuk retail series SR-007. Variable YTM on long term negative effect against the trading volume of sukuk retail series SR-007.</em></p>

scholarly journals ANALISIS TRADING DAY, TRADING VOLUME, DAN TRADING FRECUENCY TERHADAP RETURN SAHAM PERUSAHAAN MAKANAN DAN MINUMAN YANG TERDAFTAR DI BEI PERIODE 2016-2018

2020 ◽  
Vol 25 (1) ◽  
pp. 28-42
Author(s):  
Margha Rettha Ayu Chornelia ◽  
Dwi Suhartini
Keyword(s):  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Positive Influence ◽  
Data Sources ◽  
Trading Frequency ◽  
Day Trading ◽  
Negative Effect

This study aims to analyze the trading day, trading volume, and frequency trading of stock returns on food and beverage companies listed on the Indonesia Stock Exchange for the period of 2016- 2018. This research method uses a quantitative approach. The analytical method used in this study is multiple regression with the help of the SPSS program. Data sources in this study are secondary data sources obtained through the official website of the Indonesia Stock Exchange. The population and sample of this study were 54 populations and 41 samples. The sampling technique uses non probability sampling that is taking a sample with consideration of certain criteria. The variables used in this study are Trading Day, Trading Volume, and Trading Frequency as an independent variable and Stock Return as the dependent variable. The results of this study indicate that trading day has no effect on stock returns, trading volume has a positive influence on stock returns, and trading frequency has a negative effect on stock retur

scholarly journals Analysis of Stock Market Integration Among ASEAN Countries by Using Vector Error Correction Model (VECM) Approach

2020 ◽  
Author(s):  
Reni Lestari
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Stock Exchange ◽  
Error Correction Model ◽  
Stock Index ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Globalization has driven the economy of countries to relate to each other. It brings relationships in the capital among countries in the world, especially in ASEAN region countries. This study aimed to analyze the integration of the stock market among countries in the ASEAN region. The stock market was analyzed are the Indonesia Stock Exchange, Malaysia Stock Exchange, Singapore Stock Exchange, Thailand Stock Exchange, Vietnam Stock Exchange, and Philippine Stock Exchange. This study using the Vector Error Correction Model (VECM) as the method. The result of this study shows that, in the long term Singapore Stock Index (STI), Malaysia Stock Index (KLSE), Philippines (PSEi), and Indonesia Stock Index (JKSE) are positively correlated. This means the change of stock index price in one country will affect other related countries in the long term. In the short term of VECM estimation, found the Vietnam Stock Index (VNI), Singapore Stock Exchange (STI), Philippine (PSEi) are positively correlated and negatively correlated with Thailand Stock Exchange (SET). For the managerial implication, the result of this study is expected as a reference or basis of consideration of investment decisions. This because long-term stock market movements are important because they impact international portfolio management and risk diversification.

scholarly journals Arbitragem Estatística: Uma Abordagem por VECM

2018 ◽  
Vol 15 (4) ◽  
pp. 537
Author(s):  
Paula Andrea Soto ◽  
Juan Carlos Ruilova Teran
Keyword(s):  
Principal Component ◽  
Trading Strategies ◽  
Market Prices ◽  
Vector Error Correction ◽  
Statistical Arbitrage ◽  
Vector Error ◽  
Arbitrage Opportunities ◽  
Vector Error Correction Models ◽  
Financing Market

This work develops a statistical arbitrage model which was tested on the Brazilian stock market. Prices were modeled using VECM (Vector Error Correction Models) to create a self-financing, market-neutral, long/short trading strategy. In this strategy, deviations in the long-term equilibrium of prices are identified in order to create buy and sell signals. Portfolios with common trends were selected by means of Principal Component Analysis. The viability of this strategy was empirically addressed using simulations on these portfolios. Its performance was also compared to other long/short trading strategies and were all analyzed in terms of returns, volatility and statistical arbitrage opportunities. The methodology used in this paper shows good results for modeling prices, and though all trading strategies offer considerable gains for the investor, the proposed strategy stands out by presenting statistical arbitrage.

scholarly journals DETERMINANT ANALYSIS OF FINANCIAL SECTOR STOCK IN INDONESIA STOCKS EXCHANGE

2020 ◽  
Vol 1 (5) ◽  
pp. 850-864
Author(s):  
Liza Yusmia ◽  
Abitur Asianto
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stock Exchange ◽  
Oil Prices ◽  
Financial Sector ◽  
Stock Index ◽  
Monthly Data ◽  
Vector Error Correction ◽  
Vector Error

These research had purposed to examine related to macroeconomic variables on financial sector stock index in Indonesia Stock Exchange. This research used Vector Error Correction Model (VECM) method with monthly data from financial sector stock index as the dependent variable and the GDP quarterly data, as well as monthly data on inflation, BI interest rates, exchange rates, the Fed interest rate, gold prices, oil prices,and also the S&P 500 index as independent variable with data range from January 2014 to August 2019. These results that obtained from this research were the shocks in BI interest rate variable and the exchange rate which have positive responses in the long term, while the GDP, inflation, and Fed interest rates , gold prices, oil prices, and the S&P 500 index responded negatively in the long term by the financial sector stock index. Beside that, the BI interest rate variable has the greatest contribution in changed of financials stock index.

scholarly journals LIQUIDITY AND SOLVABILITY ON PROFITABILITY : A STUDY ON TOLL ROAD SUB -SECTORS COMPANIES LISTED AT INDONESIAN STOCK EXCHANGE

2021 ◽  
Vol 5 (1) ◽  
pp. 72
Author(s):  
Ivan Morgan Nababan
Keyword(s):  
Financial Risk ◽  
Stock Exchange ◽  
Positive Influence ◽  
Ability To Pay ◽  
Investment Projects ◽  
Negative Effect ◽  
Financial Obligations ◽  
Definition Of ◽  
A Company

In the current era of development, Indonesian companies not only have to compete with domestic companies but face diverse competition from abroad. These conditions have also fueled competition in the industry sector. By maintaining and able to develop the companies, and achieving company goals both management and company leaders are often faced with various problems both technical, administrative and financial. Therefore the company management must take rational decisions and can be accounted for and the decision-maker requires a clear picture of the problems faced by the company. If the company increases the amount of debt as a source of funds it can increase financial risk. If the company cannot manage funds raised from debt productively, it can have a negative effect and have an impact on decreasing company profitability. Conversely, if the debt can be managed well and used for productive investment projects, it can have a positive influence and have an impact on increasing the profitability of companies. Investment in infrastructure is considered that it is one of the best ways to develop money. infrastructure has the opportunity to get a large return on investment.Profitability is the company's ability to make a profit concerning sales, total assets, and own capital (Sartono in Ima Hernawati, 2007). High profitability will illustrate the effectiveness of management in managing the company in generating profits. If the effectiveness and efficiency of capital use can be achieved, then there is a possibility that the company will make a large profit. Liquidity is related to the problem of a company's ability to meet its financial obligations that must be met immediately. The amount of payment instruments (liquid instruments) owned by a company at one time is the paying power of the company concerned. A company that has the power to pay may not be able to fulfill all financial obligations that must be fulfilled immediately or in other words the company may not have the ability to pay. The solvency of a company shows the company's ability to meet all financial obligations if the company is currently liquidated. The definition of solvency is intended as the company's ability to pay all its debts, both long-term and long-term. This research is expected to add insight into the effect of liquidity on profitability in other companies on the Indonesia Stock Exchange

scholarly journals DETERMINANT ANALYSIS IN PROPERTY STOCKS INDEX AT INDONESIA STOCK EXCHANGE

2020 ◽  
Vol 2 (2) ◽  
pp. 255-267
Author(s):  
Alfan Samsuar ◽  
Pardomuan Sihombing
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Exchange ◽  
Oil Prices ◽  
Positive Influence ◽  
Stock Index ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Determinant Analysis

This research aims to determine those influence of inflation, interest rates, exchange rates, world oil prices and world gold prices against the property sector stock index which registered In Indonesia Stock Exchange. These population of research were all activities from monthly movement of property sector stock index, inflation, exchange rates, BI interest rates, world oil prices and world gold prices. The sample chosen method by purposive sampling where the researcher gathered its data based on proficiency strategies or personal considerations, selecting data based on these following criteria: 1) Availability of macro economic data that affects shares from property sector during January 2016 to December 2019; and 2) Availability of property stock index data from January 2016 till December 2019. The model used in this research was the Vector Error Correction Model (VECM). With The results showed that: 1) ISP responsiveness to inflation movements where stumbled or shocks that occur on inflation had positive influence towards ISP movements; 2) Responsiveness of ISP to instability or shocks that occur in exchange rates will negatively affect ISP movements; 3) Those responsiveness of ISP to the BI rate movement was responded positively; 4) Based on these results from research conducted, the ISP responded negatively on stumbled or shocks towards oil price movements; and 5) ISP responsiveness to movements or shocks to gold price had been responded positively by the ISP.

Economic Turmoil in Islamic Banking Investment

ETIKONOMI ◽  
2020 ◽  
Vol 19 (2) ◽  
Author(s):  
Budiandru Budiandru ◽  
Sari Yuniarti
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Islamic Banking ◽  
Vector Error Correction ◽  
Investment Financing ◽  
Vector Error ◽  
Operational Activities

Investment financing is one of the operational activities of Islamic banking to encourage the real sector. This study aims to analyze the effect of economic turmoil on investment financing, analyze the response to investment financing, and analyze each variable's contribution in explaining the diversity of investment financing. This study uses monthly time series data from 2009 to 2020 using the Vector Error Correction Model (VECM) analysis. The results show that the exchange rate, inflation, and interest rates significantly affect Islamic banking investment financing in the long term. The response to investment financing is the fastest to achieve stability when it responds to shocks to the composite stock price index. Inflation is the most significant contribution in explaining diversity in investment financing. Islamic banking should increase the proportion of funding for investment. Customers can have a larger business scale to encourage economic growth, with investment financing increasing.JEL Classification: E22, G11, G24How to Cite:Budiandru., & Yuniarti, S. (2020). Economic Turmoil in Islamic Banking Investment. Etikonomi: Jurnal Ekonomi, 19(2), xx – xx. https://doi.org/10.15408/etk.v19i2.17206.

HUBUNGAN ANTARA CONSUMPTION ABROAD (MODA 2) DENGAN COMMERCIAL PRESENCE (MODA 3) DI SEKTOR JASA PARIWISATA INDONESIA

2016 ◽  
Vol 10 (1) ◽  
pp. 45-62
Author(s):  
Muhammad Fawaiq
Keyword(s):  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Mode 2 ◽  
Variable Mode ◽  
Causality Relationship ◽  
Mode 3

Penelitian ini bertujuan untuk menganalisis hubungan antara Moda 2 dan Moda 3 dalam perdagangan internasional di sektor jasa pariwisata. Metode penelitian yang digunakan dalam penelitian ini adalah Panel Vector Error Correction Model (VECM) Granger. Data yang digunakan adalah data kedatangan wisatawan mancanegara dan Foreign Direct Investment (FDI) jasa hotel dan restoran tahun 1997-2014 di Bali, Jakarta, Kepulauan Riau dan Sumatera Utara. Daerah-daerah ini berkontribusi sebesar 81,26% dari total kedatangan wisatawan mancanegara di Indonesia dan 68% terhadap total FDI di jasa hotel dan restoran Indonesia. Hasil penelitian menunjukkan bahwa tidak terdapat hubungan kausalitas jangka pendek antara kedua variabel tetapi terdapat hubungan jangka panjang satu arah yaitu variabel Moda 3 dipengaruhi oleh variabel Moda 2. Hasil pengujian pada gabungan antara jangka panjang dan jangka pendek menujukkan bahwa variabel Moda 3 secara kuat dipengaruhi oleh variabel Moda 2. Dengan demikian diketahui bahwa semakin banyak jumlah wisatawan mancanegara yang datang ke Indonesia maka akan mendorong meningkatnya FDI di jasa hotel dan restoran, tetapi meningkatnya FDI di jasa tersebut tidak signifikan berpengaruh terhadap masuknya jumlah wisatawan mancanegara. This paper examines the relationship between Mode 2 and Mode 3 of international trade in tourism sector. The method used is the Panel Vector Error Correction Model (VECM) Granger. The data used in this study were the number of foreign tourist arrivals and the Foreign Direct Investment (FDI) in some hotels and restaurants during 1997-2014 in Bali, Jakarta, Riau Islands and Nort Sumatera.These regions contributed for 81.26% out of the total tourist arrivals in Indonesia and 68% of the total FDI in the services of hotels and restaurants Indonesia. The results using VECM Granger demonstrated that there was no short-term causality relationship between these two variables but they had a long-term causality relationship that the Moda 3 was affected by the variable mode 2. Test results on a combination of long-term and short-term showed that the variable mode 3 was strongly influenced by variable mode 2. Thus, it is known that the more foreign tourists coming to Indonesia, the more FDI we gained from the service of hotels and restaurants, but this increase does not significantly affect the number of foreign tourists.

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