Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period from 10August 2017 through 30 June 2020. The results derived from GARCH(1,1) and EGARCH(1,1) models consistently confirm that Index futures expiration-day effects on market returns exists in the HOSE. Specifically, the average market return for expiration days is significantly lower than other trading days, by 0.13% at the 5% level of significance. However, the results obtained from the regression models indicate that the expiration-day has no impact on market volatility and trading volume.

Equity Mutual Fund Performance Analysis using Sharpe and Treynor Indices 2012-2013

This research examines stock mutual fund performance compared with market performance (IHSG) by Sharpe and Treynor approaches. The research problems are whether there are significant difference between stock mutual fund performance and market performance (IHSG) in Indonesia Stock Exchange (IDX) by Sharpe approach, whether there are significant difference between stock mutual fund performance and market performance (IHSG) in Indonesia Stock Exchange (IDX) by Treynor approach, and which one of stock mutual fund has the best performance if measured using Sharpe and Treynor approach. The sample in this research are 31 stock mutual fund listed in Indonesia Stock Exchange year 2012 to 2013 from 11 Investment Management which have the biggest AUM. The analysis used in this research is Independent Sample T-Test by SPSS version 16 program package. The results show that there is a significant difference between stock mutual fund performance with market performance used Sharpe Index and there is a significant difference between stock mutual fund performance with market performance used Treynor Index. Stock mutual fund which has the best performance if measured uses Sharpe and Treynor approach is Trim Kapital Plus. The findings implied that investors should use Treynor approach to evaluate the performance stock mutual fund because it is consistence. Meanwhile, investment managers must reconsider stock portofolio and the use of Treynor approach in evaluating performance stock mutual fund.

Autoregressive Neural Network EURO STOXX 50 Forecasting Model Based on Principal Component Stock Selection

Purpose: The given study looks into forecast accuracy of a traditional ARIMA model while comparing it to Autoregressive Neural Network (AR-NN) model for 984 trading days on EURO STOXX 50 Index. Methodology: A hybrid model is constructed by combining ARIMA model and feed-forward neural network model aiming to attain linear and non-linear price fluctuations. The study also incorporates the investigation of component stock prices of the index, that can be selected to improve the predictability of the hybrid model. Findings:The reached ARIMA (1,1,3) model showed higher scores than AR-NN model however integrating selected exogenous stock prices from the index components gave much notable accuracy results. The selected exogenous stocks were extracted after conducting PCA and model scores were compared via MAPE and RMSE. Unique contribution to theory, practice and policy: The major contribution of this work is to provide the researcher and fnancial analyst a systematic approach for development of intelligent methodology to forecast stock market. This paper also presents the outlines of proposed work with the aim to enhance the performance of existing techniques. Therefore, Empirical analysis is employed along with a hybrid model based on a feed-forward Neural Network. Lesser error is attained on the test set of Index stock price by comparing the performance of ARIMA and AR-NN while forecasting. Hence, The components of extracted Index stock price like exogenous features are added to make an influence from the AR-NN model.

PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)

Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing Model (LCAPM). CAPM is a model that connects expected return with the risk of an asset under market equilibrium condition. LCAPM is a method of new development of the CAPM model which is influenced by liquidity risk. To analyze whether the formed portfolio have a good performance or not, so portfolio perfomance assessment will be done by using The Sharpe Index. This research uses data from closing prices, transaction volume and volume total of LQ45 Index stock on period March 2016-February 2020 and then data of JCI and interest rate of central bank of the Republic of Indonesia. Based on The Sharpe Index, optimal portfolio is LCAPM model portfolio with 3 stock composition and the proportion investment are 32,39% for LPPF, 49,86% for SRIL and 17,75% for TLKM. Keywords: LQ45 Index, Portfolio, Capital Asset Pricing Model (CAPM), Liquidity Adjusted Capital Asset Pricing Model (LCAPM), The Sharpe Index.

Sentimen Investor terhadap Stock Return JII di Awal COVID-19

The research objective is to obtain empirical evidence of the negative influence of investor sentiment on the Jakarta Islamic Index stock return at the beginning of Covid-19. The research contributes to the Islamic finance literature and its supports agency theory, behaviour finance and signaling theory. The research sample used 30 companies listed in the Jakarta Islamic Index for the first semester of 2020. The final sample is 180 observational data. Fourth classical assumption uses, and result show passed all the classical assumption. This study uses control variables such as firm size and firm age. Multiple linear regression as an analysis processed with SPSS version 23. Research findings show a significant negative effect of investor sentiment on Jakarta Islamic Index stock returns at the beginning of Covid-19. This study implicates to management, shareholders and investor. Keywords: Investor Sentiment; Stock Return; COVID-19.

Penentu Harga Saham pada Perusahaan Terdaftar di Jakarta Islamic Index (JII)

The research objective is to analyze the effect of Return on Equity (ROE), Earning per Share (EPS), Inflation, and Exchange Rates on the Jakarta Islamic Index stock price, 2015-2018. This research is a quantitative study, using secondary data published on the Indonesia Stock Exchange. There are 45 companies listed on the JII index which are made population. The sampling technique used purposive sampling, and there were 17 companies sampled, based on the criteria. Data analysis used multiple linear regression, with the SPSS program version 20. The results of the study, the variable Return on Equity (ROE) and Earning per Share (EPS) partially had a positive and significant effect on stock prices, while the Inflation variable and the exchange rate partially has no effect on stock prices. Simultaneously, Return on Equity (ROE), Earning per Share (EPS), Inflation, and Exchange Rate affect stock prices.

Faktor-Faktor Yang Mempengaruhi Pergerakan Indeks Harga Saham Sektoral Pertanian di Bursa Efek Indonesia Periode 2014-2018

Indeks Harga Saham Gabungan (IHSG) adalah salah satu indikator perkembangan investasi saham di Indonesia, di mana ada indeks sektor yang mewakili perusahaan publik, salah satu indeks sektoral adalah Indeks Harga Saham Sektoral (IHSS) Pertanian. Fenomena yang terjadi pada periode 2014-2018 adalah tingkat pengembalian investasi di IHSS Pertanian menjadi yang terburuk dibandingkan dengan IHSG dan sektor lainnya sebesar -33,47%. Tujuan dari penelitian ini adalah untuk mengidentifikasi faktor-faktor yang mempengaruhi pergerakan IHSS Pertanian periode 2014 hingga 2018 secara bulanan. Analisis yang digunakan adalah analisis Ordinary Least Square (OLS) untuk mengidentifikasi faktor-faktor yang mempengaruhi pergerakan IHSS Pertanian. Hasil penelitian menunjukkan bahwa inflasi, nilai tukar USD/IDR, suku bunga bank sentral, IHSG, harga minyak kelapa sawit, dan harga emas berpengaruh signifikan terhadap pergerakan IHSS Pertanian dengan nilai pengaruh 88,6%.Kata Kunci: Indeks Harga Saham Sektoral Pertanian, Return Saham, Makroekonomi, Ordinary Least Square (OLS)AbstractJakarta Composite Index (IHSG) is an indicator of the development of stock investment in Indonesia, where there are indices of sectors that represent public companies, one of the sectoral indices is the Sectoral Stock Price Index (IHSS) of Agriculture. The phenomenon that occurred in the 2014-2018 period was the level of investment return in the IHSS of Agriculture being the worst compared to the IHSG and other sectors by -33.47%. The purpose of this study is to identify the factors that influence the movement of IHSS of Agriculture for the period of 2014 up to 2018 on monthly base. The analysis used is Ordinary Least Square (OLS) analysis to identify the factors that influence the movement of IHSS of Agriculture. The results showed that inflation, USD/IDR exchange rate, central bank interest rate, IHSG, palm oil prices, and gold prices significantly influence the movement of IHSS of Agriculture with an influence value of 88.6%. Keywords: Agricultural Sectoral Stock Price Index, Stock Return, Macroeconomics, Ordinary Least Square (OLS).

Pengaruh Profitabilitas Terhadap Nilai Perusahaan dengan Pengungkapan CSR sebagai variabel Moderasi (Perusahaan yang tergabung di JII dan Indeks SRI-KEHATI periode 2016-2018)

This study aims to determine and analyze the effect of profitability (ROA) on stock prices with corporate social responsibility (CSR) as a variable that moderates the two variables. The object of this research is companies incorporated in JII and SRI-KEHATI indexes that meet the test sample criteria during the period 2016 - 2018. This study uses a quantitative approach. Analysis of the data in this study used a moderation regression analysis (MRA). This study uses 20 samples for the JII index and 21 for the SRI-KEHATI index. Data obtained from the company's financial statements incorporated in JII and the SRI-KEHATI index for the period of 2016 - 2018 on the Indonesia Stock Exchange (IDX) website. The results showed that Return On Assets (ROA) had a significant effect on JII stock prices and SRI-KEHATI index stock prices. Furthermore, with CSR as a moderating variable showing the results of research with JII that is partially CSR disclosure shows a significant value which means CSR disclosure is able to moderate the relationship of ROA with JII stock prices. Overall (simultaneous) independent variables (ROA, CSR, ROA * CSR) significantly influence the stock price of JII. Furthermore, the results of research with the SRI-KEHATI index partially disclose CSR as a moderating variable showing a significant value. This means that CSR disclosure is not able to moderate the relationship of ROA with JII stock prices. while overall (simultaneous) independent variables (ROA, CSR, ROA * CSR) affect the stock price of the SRI-KEHATI index.Keywords: Profitability,StockPrice,ROA,CSR

PEMILU SERENTAK DALAM KAITANNYA TERHADAP REAKSI PASAR MODAL DI INDONESIA

This study aims to determine the effect of simultaneous elections in Indonesia, namely legislative and executive elections that occur simultaneously together with the reaction in the capital market. Market reaction is measured using trading volume activity and returns stock that occur within the timeframe before and after the holding of simultaneous elections, namely on the date before and after April 17, 2019. The population in this study is the issuer that actively trades its shares on the Indonesia Stock Exchange (IDX) in Compass100 Index stock category. The research hypothesis was tested with an independent sample t-test using software SPPS26. Hypothesis testing results indicate a significant difference in trading volume activity that occurs before and after simultaneous elections. While the variable abnormal return there is no significant difference before and after the election simultaneously. This research is expected to be a reference for all parties concerned including the public towards a political event that occurs in this case specifically the simultaneous elections for decision making related to investment activities in stock instruments