scholarly journals Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach

2020 ◽  
Vol 11 (2) ◽  
pp. 196
Author(s):  
Didik Susilo ◽  
Sugeng Wahyudi ◽  
Irene Rini Demi Pangestuti
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Composite Index ◽  
Market Conditions ◽  
Factors Affecting ◽  
Daily Data ◽  
Index Approach ◽  
The World ◽  
Exchange Condition ◽  
Regional Capital

This study examines the influence of world and regional capital market conditions on the Indonesian capital market (Indonesia Stock Exchange) condition. The DJIA (Dow Jones Industrial Average) index was used as a representative of the international capital market while the Hang Seng index and the Nikkei 225 index were used as a representative of regional capital market conditions. These two indices were chosen because the Japanese capital market was one of the most advanced capital markets in the world and the Hong Kong capital market, although not as big as Japan, still played an important role in the world. The data were obtained from Yahoo Finance during the period of 2014-2018. The dependent variable was the change in the JCI (Jakarta Composite Index), while the independent variables were changes in the index of DJIA, Nikkei 225 and Hang Seng index. Using daily data analyzed by the ARIMA method (1,1), it was found that there was a significant positive effect of DJIA with lag 1 and Hang Seng index on the JCI, but no significant effect was found from the Nikkei 225 index on the JCI.

scholarly journals CONTAGION EFFECT DAN INTEGRASI PASAR MODAL DI KAWASAN ASIA, EROPA DAN AMERIKA

2018 ◽  
Vol 14 (1) ◽  
pp. 1-9
Author(s):  
Robiyanto ◽  
Aldhi Fajar Hartanto
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Composite Index ◽  
The United States ◽  
Contagion Effect ◽  
Kuala Lumpur ◽  
Index Set ◽  
Capital Market Integration ◽  
The World

Capital market integration is a very interesting topic to study because it is constantly evolving along with the development of time and conditions that occur in the capital markets in the world. This study examines the integration of capital markets and the contagion effect of capital markets in Asia, Europe and America. This study uses monthly closing data of Jakarta Composite Index (JCI) for Indonesia, (KLCI) for Malaysia, PSE Composite Index (PSE) for Philippines, Straight Times Index (STI) for Singapore, SET Index (SET) for Thailand, NIKKEI 225 for Japan, FTSE 100 for UK, DAX 30 for Germany, CAC 40 for France, IBEX 35 for Spain, Dow Jones for USA during period of January 2012 until December 2016. The result of this research is there is no comovement between capital markets of Indonesia, Malaysia, Philippines, Singapore, Thailand, Japan, UK, Germany, France, Italy, Spain and the United States.   Integrasi pasar modal merupakan topik yang masih sangat menarik untuk dikaji karena senantiasa berkembang seiring dengan perkembangan waktu dan kondisi yang terjadi pada pasar modal-pasar modal yang ada di dunia. Penelitian ini mengkaji integrasi pasar modal dan contagion effect dari pasar modal di Asia, Eropa dan Amerika. Penelitian ini menggunakan data penutupan bulanan Indeks Harga Saham Gabungan (IHSG) untuk Indonesia, Kuala Lumpur Composite Index (KLCI) untuk Malaysia, PSE Composite Index(PSE) untuk Filipina, Straight Times Index (STI) untuk Singapura, SET Index (SET) untuk Thailand, NIKKEI 225 untuk Jepang, FTSE 100 untuk Inggris, DAX 30 untuk Jerman, CAC 40 untuk Prancis, IBEX 35 untuk Spanyol, Dow Jones untuk Amerika Serikatselama periode bulan Januari 2012 sampai dengan Desember 2016. Hasil penelitian ini adalah tidak terdapat comovement antara pasar modal Indonesia, Malaysia, Filipina, Singapura, Thailand, Jepang, UK, Jerman, Perancis, Italia, Spanyol, dan Amerika Serikat.

scholarly journals Finding Size Factor and Value Factor in Indonesia Stock Exchange

2018 ◽  
Vol 14 (7) ◽  
pp. 63
Author(s):  
Yudhistirangga Yudhistirangga ◽  
Hermanto Siregar ◽  
Trias Andati
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Composite Index ◽  
Size Factor ◽  
Market Pricing ◽  
Book Value ◽  
Market Capitalization ◽  
Small Market ◽  
Gathering Data

This study conducted by gathering data from Indonesia Stock Exchange (IDX) with 2 specifics model, Capital Market Pricing Model (CAPM) and Fama French 3 Factors Model (FF3FM). These model was estimated by classify 557 stocks in Jakarta Composite Index (JCI) to 6 classes: S/L class is class with small size and low Book to Equity (BE) to Market Equity (ME), S/M class is class with small size and medium in BE/ME, S/H class is class with small size and high in BE/ME, otherwise B/L class is class with big size and low in BE/ME, B/M class is class with big size and medium in BE/ME, B/H class is class with big size and high in BE/ME. With F test, t test and classic assumption test, best class and best model were B/L class and FF3FM. The result was confirmed size factor and value factor in Indonesia Stock Exchange (IDX). Size factor are confirmed in 3 classes (S/M, S/H and B/L), and value factor are confirmed in 4 classes (S/M, S/H, B/L and B/H). Therefore, classes with size and value factor are S/M, S/H and B/L. With BE/ME is 1/PBV and PBV indicating the stock price relative to its book value, so in Indonesia Stock Exchange the size factor and value factor confirmed in market with small market capitalization with low to medium in stock price relative to its book value and market with big market capitalization with high stock price relative to its book value.

IMPACT OF CAPITAL MARKET REFORMS ON ECONOMIC GROWTH: The Nigerian Experience

2012 ◽  
Vol 02 (02) ◽  
pp. 20-30
Author(s):  
OKE MICHAEL OJO ◽  
ADEUSI S.O.
Keyword(s):  
Economic Growth ◽  
Capital Market ◽  
Stock Exchange ◽  
Secondary Data ◽  
Least Square Method ◽  
Least Square ◽  
Market Reforms ◽  
Political Issues ◽  
The World ◽  
The Impact

This study examines the impact of capital market reforms on the Nigerian economic growth between 1981 and 2010. The prevailing challenges in the World financial markets; especially the capital market justifies the various forms of reforms going on around the World. The ordinary least square method of regression and the Johansen co-integration analysis were employed to analyse the secondary data sourced from the Central Bank of Nigeria statistical bulletin, the Nigeria Stock Exchange Fact book and the Nigeria Security and Exchange Commission Reports. The results show that capital reforms positively impact the economic growth. The study recommends among others that government should objectively evaluate enacted laws and reforms agenda in a manner that will enhance economic growth rather than considering political issues before embarking on reforms.

Measuring liquidity on stock market: impact on liquidity ratio

2012 ◽  
Vol 18 (2) ◽  
pp. 183-193
Author(s):  
Siniša Bogdan ◽  
Suzana Bareša ◽  
Saša Ivanović
Keyword(s):  
Stock Market ◽  
Multiple Regression ◽  
Capital Market ◽  
Stock Exchange ◽  
Primary Data ◽  
Stock Liquidity ◽  
Daily Data ◽  
Key Variables ◽  
One Year ◽  
The Impact

The purpose – It is important to emphasize that liquidity on Croatian stock market is low, the purpose of this paper is to test empirically and find out which variables make crucial role in decision making process of investing in stocks. Design – This paper explores the impact of various liquidity variables on liquidity ratio since it is still insufficiently researched topic. Methodology –This research uses secondary and primary data available from Croatian stock market. Considering primary data this paper use daily data from Zagreb stock exchange for 196 stocks traded in one year, with the purpose of finding the key variables that make up some stocks more attractive to investors. Liquidity is measured with Amihud's liquidity ratio, which shows the amount of capital sufficient to change price by 1%. Approach – With more than 61.035 input data, using the method of multiple regression, this paper examined the influence of different variables on the stock liquidity on Croatian capital market. Findings – Key findings of this paper indicate that size of firm measured by market capitalization, number of issued stocks and achieved volume affects liquidity ratio. This paper uses multiple regression, and correlation matrix to show dependence among liquidity variables. There is strong correlation coefficient among liquidity variables and liquidity ratio, results are statistically significant. The originality of this research – The originality of this work rises from the obtained research results and the fact that this is first paper that studies problem of stock liquidity on Croatian capital market.

scholarly journals Preliminary Analysis of Relationships between COVID19 and Climate, Morphology, and Urbanization in the Lombardy Region (Northern Italy)

2020 ◽  
Vol 17 (19) ◽  
pp. 6955 ◽  
Author(s):  
Massimiliano Fazzini ◽  
Claudia Baresi ◽  
Carlo Bisci ◽  
Claudio Bna ◽  
Alessandro Cecili ◽  
...  
Keyword(s):  
Solar Radiation ◽  
Absolute Humidity ◽  
Kendall Test ◽  
Northern Italy ◽  
Multivariate Statistical ◽  
Factors Affecting ◽  
Lombardy Region ◽  
Daily Data ◽  
The World ◽  
Disease Epidemics

The coronavirus disease 2019 (COVID-19) pandemic is the most severe global health and socioeconomic crisis of our time, and represents the greatest challenge faced by the world since the end of the Second World War. The academic literature indicates that climatic features, specifically temperature and absolute humidity, are very important factors affecting infectious pulmonary disease epidemics - such as severe acute respiratory syndrome (SARS) and Middle East respiratory syndrome (MERS); however, the influence of climatic parameters on COVID-19 remains extremely controversial. The goal of this study is to individuate relationships between several climate parameters (temperature, relative humidity, accumulated precipitation, solar radiation, evaporation, and wind direction and intensity), local morphological parameters, and new daily positive swabs for COVID-19, which represents the only parameter that can be statistically used to quantify the pandemic. The daily deaths parameter was not considered, because it is not reliable, due to frequent administrative errors. Daily data on meteorological conditions and new cases of COVID-19 were collected for the Lombardy Region (Northern Italy) from 1 March, 2020 to 20 April, 2020. This region exhibited the largest rate of official deaths in the world, with a value of approximately 1700 per million on 30 June 2020. Moreover, the apparent lethality was approximately 17% in this area, mainly due to the considerable housing density and the extensive presence of industrial and craft areas. Both the Mann–Kendall test and multivariate statistical analysis showed that none of the considered climatic variables exhibited statistically significant relationships with the epidemiological evolution of COVID-19, at least during spring months in temperate subcontinental climate areas, with the exception of solar radiation, which was directly related and showed an otherwise low explained variability of approximately 20%. Furthermore, the average temperatures of two highly representative meteorological stations of Molise and Lucania (Southern Italy), the most weakly affected by the pandemic, were approximately 1.5 °C lower than those in Bergamo and Brescia (Lombardy), again confirming that a significant relationship between the increase in temperature and decrease in virulence from COVID-19 is not evident, at least in Italy.

scholarly journals DETERMINASI INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA

Media Ekonomi ◽  
2014 ◽  
Vol 22 (3) ◽  
pp. 261
Author(s):  
Ezra Sihombing ◽  
Budi Santosa
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Goodness Of Fit ◽  
Stock Exchange ◽  
Composite Index ◽  
Least Square ◽  
Goodness Of Fit Test ◽  
Factors Affecting ◽  
Macroeconomic Conditions ◽  
Macro Variables

<em>Capital market in Indonesia is an emerging markets which in its development is very vulnerable to macroeconomic conditions in general. There are many macro variables that affecting the fluctuation of Jakarta composite index (JCI). So, the researcher are interested to search the factors affecting the Jakarta composite index (JCI) in Indonesia stock exchange (IDX). The purpose of this research is to analyze the relationship between four macroeconomic variables: BIRATE, INFLATION, MONEY SUPPLY, and EXCHANGE RATE against JAKARTA COMPOSITE INDEX . The data for assessing this research are acquired from monthly data from January 2000 to December 2012 report by Bank Indonesia. This research uses ordinary least square (OLS) to see any indication of relationship. This study also use a Classical Assumptions test and Goodness of Fit test to detect the significance of the data for further analysis .The research shows that there is no effect from BIRATE and INFLATION to influence JAKARTA COMPOSITE INDEX (JCI). It’s means that anticipated macro variables can’t be used to predict the movement of the JCI. While, MONEY SUPPLY and EXCHANGE RATE variable has significant effect on the movement of the JCI. This implies that in MONEY SUPPLY and EXCHANGE RATE is a good indicator for predicting the movement of the JCI</em>.

scholarly journals Does Herding Behavior Exist in the IDX Sectoral Indices

2020 ◽  
Vol 5 (8) ◽  
pp. 642-648
Author(s):  
Ananda Anggara S ◽  
Matrodji H. Mustafa
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Condition ◽  
Herding Behavior ◽  
Market Conditions ◽  
Cross Sectional ◽  
Behavior Based ◽  
The Capital Market

This study aims to detect herding behavior based on cross-sectional dispersion in certain market conditions using CSAD method as proposed by Chiang, Li, & Tan (2010). CSAD method allows researchers to evaluate if there is a herding behavior in the capital market. This research uses 9 (nine) sectoral indices listed on the Indonesia Stock Exchange (IDX) in the 2013-2019 period. This study examines the hypothesis that herding behavior occurs in the sectoral indices of the Indonesia stock market in upward market conditions and downward market conditions. The results showed that herding behavior occurred in all of the sectoral indices in downward market condition, but herding behavior was not indicated at all in upward market condition.

scholarly journals PERAN EMAS SEBAGAI SAFE HAVEN BAGI SAHAM PERTAMBANGAN DI INDONESIA PADA PERIODE PANDEMI COVID-19

2021 ◽  
Vol 15 (1) ◽  
pp. 1-11
Author(s):  
Ashalia Fitri Yuliana ◽  
Robiyanto Robiyanto
Keyword(s):  
Data Analysis ◽  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
International Market ◽  
Stock Index ◽  
Safe Haven ◽  
Market Conditions ◽  
First Choice

The purpose of this study is to analyze the role of gold as safe haven or hedge for mining stocks in Indonesia during the COVID-19 pandemic period. The data used in this study are mining stock index data (JASICA) daily closing on the Indonesia Stock Exchange and daily closing gold price data on the international market during the period January 2020 - May 2020. Data analysis was performed using QREG to see the potential of gold as a safe haven and GARCH 1.1 to see the potential of gold as a hedge. The results of this study are gold can serve as a robust safe haven for Indonesian mining stocks when there is extreme shocks occur in the stock market. In addition, in this study gold also can serve as a hedge for mining stocks in Indonesia. So investors are advised when the Indonesian Capital Market conditions are experiencing uncertainty as it is today and investors want to move their assets into safe and liquid instruments, gold is the first choice for investors to secure their assets because gold is proven to be the safe haven.

The Nigerian Capital Market in an Era of Privatisation

1997 ◽  
Vol 1 (2) ◽  
pp. 45-54 ◽  
Author(s):  
Samson E. Edo
Keyword(s):  
Economic Growth ◽  
Large Volume ◽  
Capital Market ◽  
Growth And Development ◽  
Stock Exchange ◽  
Equity Market ◽  
Economic Growth And Development ◽  
The World ◽  
Emerging Capital Markets ◽  
The Capital Market

The Nigerian Capital Market achieved a significant growth during the period of privatisation (1988-1993). Through the process of privatisation, a large volume of shares was transferred from government to individual and institutional investors. The shares were offered for sale through the capital market either by placement or quotation at the Stock Exchange. As a result, the capital market expanded in terms of facilities and activities as shown by various indicators. In the same period, Nigeria entred the global equity market as one of the emerging capital markets in the world. It also became one of only four African capital markts to be so acknowledged. Despite these encouraging developments, its potentials for enhancing economic growth and development are yet to be fully exploited. In view of this, policy recomendations have been proffered to further enhance the capital market in readiness for its role in economic growth and development.

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