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All Journal Journal of Indonesian Economy and Business Jurnal Manajemen dan Usahawan Indonesia Indonesian Capital Market Review JMUI
Rizky Luxianto
Faculty Of Economics And Business, Universitas Indonesia
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Social Sciences

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Journal : Indonesian Capital Market Review

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Early Warning System in ASEAN Countries Using Capital Market Index Return: Modiied Markov Regime Switching Model Wahyudi, Imam; Luxianto, Rizky; Suryaputri, Niken Iwani; Sulung, Liyu Adhika Sari
The Indonesian Capital Market Review Vol. 3, No. 1
Publisher : UI Scholars Hub

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Abstract

Asia's financial crisis in July 1997 affects currency, capital market, and real market throughout Asian countries. Countries in southeast region (ASEAN), including Indonesia, Malaysia, Philippines, Singapore, and Thailand, are some of the countries where the crisis hit the most. In these countries, where financial sectors are far more developed than real sectors and the money market sectors, most of the economic activities are conducted in capital market. Movement in the capital market could be a proxy to describe the overall economic situation and therefore the prediction of it could be an early warning system of economic crises. This paper tries to investigate movement in ASEAN (Indonesia, Malaysia, Philippines, Singapore, and Thailand) capital market to build an early warning system from financial sectors perspective. This paper will be very beneficial for the government to anticipate the forthcoming crisis. The insight of this paper is from Hamilton (1990) model of regime switching process in which he divide the movement of currency into two regimes, describe the switching transition based on Markov process and creates different model for each regimes. Differ from Hamilton, our research focuses on index return instead of currency to model the regime switching. This research aimed to ind the probability of crisis in the future by combining the probability of switching and the probability distribution function of each regime. Probability of switching is estimated by categorizing the movement in index return into two regimes (negative return in regime 1 and positive return in regime 2) then measuring the proportion of switching to regime 1 in t given regime 1 in t-1 (P11) and to regime 2 in t given regime 2 in t-1 (P22). The probability distribution function of each regime is modeled using t-student distribution. This paper is able to give signal of the 1997/8 crisis few periods prior the crisis.
Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange Luxianto, Rizky
The Indonesian Capital Market Review Vol. 3, No. 2
Publisher : UI Scholars Hub

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This paper wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different methods in measuring the performance. The point of momentum or contrarian strategy is selecting winner (stocks with highest gain) or loser stocks (stocks with highest loss) and then buy or sell it based on the research result. This research employed three methods in measuring performance to select winner and loser stocks. The irst method used cross section relative return, while the second method used cross section relative return plus risk component (return divided by standard deviation), and the third method employed historical relative return instead of cross section. The result is that, all of those three methods prove that momentum strategy is effectively applicable for winner stock, so in the next period winner stock will continue to make profit, while for loser stock, it is more effective to use contrarian strategy because in the next period, loser stock will rebound and make proit after suffering from high loss
Co-Authors Imam Wahyudi Indrawan, Imam Wahyudi Muhammad Budi Prasetyo Muhammad Budi Prasetyo Niken Iwani S. Putri Priyambodo, Raka Respati Rahmat Aryo Baskoro Raka Respati Respati Priyambodo Sulung, Liyu Adhika Sari Suryaputri, Niken Iwani Usman Arief Wardatul Adawiyah