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All Journal Jurnal Keuangan dan Perbankan MUQTASID Gadjah Mada International Journal of Business Binus Business Review HUMAN FALAH: Jurnal Ekonomi dan Bisnis Islam Economics Development Analysis Journal
M. Shabri Abd. Majid
Syiah Kuala University, Banda Aceh, Indonesia
Economics, Econometrics & Finance

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A Comparative Analysis of the Productivity of Islamic and Conventional Mutual Funds in Indonesia: Data Envelopment Analysis (DEA) and General Least Square (GLS) Approaches Abd. Majid, M. Shabri; Maulana, Hartomi
Gadjah Mada International Journal of Business Vol 14, No 2 (2012): May - August
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This paper is an extended version of our earlier study (Abd. Majid and Maulana 2010) to further re-examine the relative efficiencies of selected Islamic and conventional mutual funds companies in Indonesia during the period 2004 to 2007 and their determinants. To measure their efficiencies, the output-input data consisting of a panel of conventional and Islamic mutual funds companies are empirically examined based on the most commonly used non-parametric approach, namely, Data Envelopment Analysis (DEA). It also attempts to investigate the influence of the mutual funds companies’ characteristicson efficiency measures using the Generalized Least Square (GLS) estimation. The study finds that, on average, the Indonesian mutual funds companies experienced a decrease in Total Factor Productivity (TFP) growth. It is mainly caused by a decline in both efficiency and technical efficiencies, where the efficiency change is largely contributed by the changes in pure efficiency rather than scale efficiency. Additionally, the study also documents that the funds size negatively affects efficiency. This indicates that due to its diseconomies of scale, a larger mutual funds company is less efficient than a smaller funds company. Finally, in comparing the efficiency of the mutual funds companies, the study finds that, on average, the Islamic unit trust companies perform more poorly than their conventionalcounterparts.
OUTPUT-PRICE DYNAMICS IN THE ASEAN-5 COUNTRIES: Evidence from The Pre- and Post-1997 Financial Turmoil Hj. Kassim, Salina; Abd. Majid, M. Shabri
Gadjah Mada International Journal of Business Vol 10, No 2 (2008): May - August
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

We analyze the cyclical behavior between outputs and prices in major ASEAN economies, namely Malaysia, Indonesia, Thailand, Singapore and the Philippines over two sample periods: the pre-crisis period (1990 to 1996) and the post-crisis period (2000 to 2006). Specifically, the study aims to shed the light on two issues: (i) the possibility that there is a change in the patterns of the correlations between real activities and prices in a particular country in the pre-crisis period compared to the post-crisis period; and (ii) the synchronization of real activity and price relationships or the business cycles across the major ASEAN countries. In order to analyze the output-price relationship across the countries and time periods, we adopt several tests including the Pearson correlation analysis, Auto-Regressive Distributed Lag (ARDL) model and Vector Error-Correction Model (VECM). The study documents that the output-price relationship has changed in several countries following the crisis in 1997/1998. While there is a clear business cycles synchronization between the ASEAN-5 countries in the short-run, results have been mixed in the long run. Results of this study contribute towards further enriching the policy recommendations to help ensuring the viability and effectiveness of the economic cooperation between the ASEAN nations.
Re-Examining the Finance-Growth Nexus: Empirical Evidence from Indonesia Abd. Majid, M. Shabri
Gadjah Mada International Journal of Business Vol 9, No 2 (2007): May - August
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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This paper empirically examines the short- and long-run relationships between financial development and economic growth during the post-1997 financial crisis in Indonesia by employing a battery of times-series techniques, such as Autoregressive Dis-tributed Lag (ARDL) model, vector error correction model (VECM), variance decompositions (VDCs), and impulse-response functions (IRFs). Based on the ARDL (2, 0, 1, 2) model, the study finds that there exists a long-run equilibrium between economic growth and financial depth, share of investment, and inflation. In the long run, inflation is found to be the only variable which significantly (negatively) affects economic growth, implying a crucial role of maintaining a low rate of inflation in promoting the economic growth in the country. As for the dynamic causalities among the variables, the study finds the bidirectional causation between economic growth and investment, while the unidirectional causation is only found running from financial depth to investment. The finding of independence between economic growth and financial development supports the view of “the independent hypothesis” of Lucas (1988). Finally, based on VDCs and IRFs, the study documents that the variations in the economic growth respond more to shocks in the price stability (inflation), followed by investment and financial development. Our findings indicate that if policy makers want to promote growth, attention should be focused on long-run policies, i.e., maintaining the low rate of inflation.
REAL STOCK RETURNS, INFLATIONARY TRENDS AND REAL ACTIVITY: Evidence from Malaysia Majid, M. Shabri Abdul
Gadjah Mada International Journal of Business Vol 4, No 3 (2002): September-December
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This study explores the relationship between real stock returns and inflationary trends in the Malaysian economy. It attempts to test for the relationship between real stock return and inflation in light of Fisher hypothesis that asserts the independence of real stock return and inflation and Fama’s (1981) proxy effect framework which states that the negative real stock returns-inflation is indirectly explained by a negative real economic activity-inflation and a positive real stock returns-real economicactivity relationships. The finding shows that real stock returns are independent of inflationary trends in accordance with the Fisher hypothesis, which implies that the Malaysian stock market provides a good hedge against inflation. The Fama’s proxy hypothesis is then tested to check for the consistency of the relationships. The positive relationship between inflation and real economic activity and the positive relationship betweenreal stock returns and real economic activity that totally contradicts the Fama’s proxy hypothesis however are found, to some extent, be consistent with the explanation of conventional macroeconomic theories of the Philip’s curve.
REAL STOCK PRICES AND THE LONG-RUN MONEY DEMAND FUNCTION IN MALAYSIA: Evidence from Error Correction Model Abdullah, Naziruddin; Abd. Majid, M. Shabri
Gadjah Mada International Journal of Business Vol 6, No 2 (2004): May-August
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This study adopts the error correction model to empirically investigate the role of real stock prices in the long run-money demand in the Malaysian financial or money market for the period 1977: Q1-1997: Q2. Specifically, an attempt is made to check whether the real narrow money (M1/P) is cointegrated with the selected variables like industrial production index (IPI), one-year T-Bill rates (TB12), and real stock prices (RSP). If a cointegration between the variables, i.e., the dependent and independent variables, is found to be the case, it may imply that there exists a long-run co-movement among these variables in the Malaysian money market. From the empirical results it is found that the cointegration between money demand and real stock prices (RSP) is positive, implying that in the long run there is a positive association between real stock prices (RSP) and demand for real narrow money (M1/P). The policy implication that can be extracted from this study is that an increase in stock prices is likely to necessitate an expansionary monetary policy to prevent nominal income or inflation target from undershooting.
Who Moves the Malaysian Stock Market— the U.S. or Japan?: Empirical Evidence from the Pre-, During, and Post-1997 Asian Financial Crisis Mohd. Yusof, Rosylin; Abd. Majid, M. Shabri
Gadjah Mada International Journal of Business Vol 8, No 3 (2006): September-December
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This paper examines long run co-movements between Malaysian stock market and the two largest stock markets in the world: the U.S. and Japan. By employing time-series analysis, i.e., cointegration, variance decompositions, and impulse response functions, the paper seeks to investigate which market actually leads the Malaysian stock market before, during, and after the 1997 Asian financial crisis periods. The results indicate that there is a co-movement of these markets only in the post crisis period. The Japanese stock market is found to significantly move the Malaysian stock market compared to U.S. stock market for the post-crisis period. At the same time, there seems to be a growing proportion of bilateral trade between Malaysia and Japan during the mentioned period. This finding seems to be consistent with the view that the stronger the bilateral trade ties between two countries, the higher the degree of co-movements (Masih and Masih 1999; Bracker et al. 1999; Pretorius 2002; Ibrahim 2003; Kearney and Lucey 2004). Our finding implies that the opportunities of gaining abnormal profits through investment diversification during the post-crisis period in the Malaysian and Japanese stock markets are diminishing as the markets move towards a greater integration. This further implies that any development in the Japanese economy has to be taken into consideration by the Malaysian government in designing policies pertaining to Malaysian stock market.
Efficiency and Productivity Performance of the National Private Banks in Indonesia Omar, Mohd. Azmi; Abd. Majid, M. Shabri; Rulindo, Ronald
Gadjah Mada International Journal of Business Vol 9, No 1 (2007): January - April
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This study investigates the efficiency and productivity performance of the national private banks in Indonesia during the period of 2002-2004. The data consist of 21 national private banks including two Islamic banks. Productivity is measured by the Malmquist Index using Data Envelopment Analysis (DEA) technique. Overall, the result shows that the Total Factor Production (TFP) Index of the national private banks has considerably increased for the whole industry, in which technical change is found to be a more important source of productivity growth to the Indonesian Banking Industry compared to efficiency change. Furthermore, the result also shows that the efficiency of two Islamic banks is above the average efficiency of the national private banks.
Integration of Stock Markets between Indonesia and Its Major Trading Partners Karim, Bakri Abdul; Majid, M. Shabri Abdul; Abdul Karim, Samsul Ariffin
Gadjah Mada International Journal of Business Vol 11, No 2 (2009): May - August
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

Using Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) frameworks, this study examines the integration between the emerging stock market of Indonesia and its major trading partners (i.e., Japan, the U.S., Singapore, and China). During the period of July 1998 to December 2007, the Indonesian stock market is found to be integrated with its major trading partners. Thus, this implies that there is a limited room available for investors to gain risk-reduction benefits through diversifying their portfolio in those markets. Meanwhile, in the short run, the Indonesian market responds more to shocks in the U.S. and Singapore than in Japan and China. In designing policies pertaining to its stock market, the Indonesian government should take into account any development in the stock markets of its major trading partners, particularly the U.S. and Singaporean markets.
A Comparative Analysis of the Quality of Islamic and Conventional Banks’ Asset Management in Indonesia Abd. Majid, M. Shabri; Musnadi, Said; Putra, Indra Yadi
Gadjah Mada International Journal of Business Vol 16, No 2 (2014): May-August
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This research empirically and comparatively examines the quality of conventional and Islamic banks’ asset management in Indonesia during the period 2009-2011. Four general conventional banks [i.e., Bank Mandiri Indonesia (BMI), Bank Rakyat Indonesia (BRI), Bank Central Asia (BCA), and Bank Nasional Indonesia (BNI)] and four Islamic banks (Bank Muamalat, Bank Syariah Mandiri, Bank Syariah Mega Indonesia, and Bank Syariah BRI) were, respectively, explored. Specifically, the purpose of this study is to compare the quality of the Islamic and conventional banks’ asset management with the CAMEL (capital, asset, management, earning, and liquidity) method. It also attempts to analyse the influences of the ROA (Return on Asset), TLTA (Total Loan to Total Assets), and OITL (Operating Income to Total Liabilities) on the quality of the banks’ asset management. The CAMEL method was used to evaluate the quality level of the banks’ asset management, while the multiple regression analysis was then adopted to explore the determinants of the quality of the banks’ asset management. The study documented that Bank Syariah BRI was the best performing bank, with the highest CAMEL score of 50.33, while Bank Mandiri Indonesia was the worst performer with the lowest CAMEL score of 26.33. As a group, the Islamic banks were found to have better rankings, i.e., positions 1, 2, 3, and 6, while the conventional banks were found in 4, 5, 7, and 8, respectively. The study proved that the Islamic banks have a better asset management quality compared to their conventional counterparts. The Islamic banks were also proved to be better able to withstand the risks, particularly the financing risk.      
DETERMINANTS OF ECONOMIC EXPOSURE: AN EMPIRICAL EVIDENCE FROM THE MISCELLANEOUS COMPANIES IN INDONESIA Majid, M. Shabri Abd.; Zainul, Zaida Rizqi; Sakir, A.
Jurnal Keuangan dan Perbankan Vol 19, No 3 (2015): September 2015
Publisher : D-III Keuangan dan Perbankan

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Abstract

This research empirically measures the economic exposure of 11 selected miscellaneous companies in Indonesia. It also attempts to empirically explore the influence of firm size, export, liquidity, and leverage on the economic exposure of those companies. Annual data from 2007 to 2010, which was collected from the www.idx.co.id and www.bi.go.id were used and analyzed by the multiple linear regression to measure the economic exposure and examine the influences of the firm size, export, liquidity, and leverage on the economic exposure. Both partial (t-test) and simultaneous (F-test) hypotheses were constructed and tested using the software of SPSS for Windows. The research documented that, with the exception of the liquidity, which has a negative and significant effect partially on the economic exposure, all other variables, i.e., the firm size, export, and leverage were found to have insignificant effects. Meanwhile, based on the F-test, the research found that the firm size, export, liquidity, and leverage affected simultaneously and significantly the economic exposure of the companies. These findings imply that in order to manage their economic exposure, the companies should control these variables, especially the liquidity.
Co-Authors A. Sakir, A. Bakri Abdul Karim Benazir ., Benazir Cut Windaswari, Cut Desy Ratnasari Fredinan Yulianda Ghazali Syamni Hartomi Maulana Indra Yadi Putra Mohd. Azmi Omar Muazzinah Muazzinah Muhammad Arfan Naziruddin Abdullah Putri Bintusy Syathi, Putri Bintusy Rasyimah Rasyimah Ronald Rulindo Rosylin Mohd. Yusof Said Musnadi Salina Hj. Kassim Samsul Ariffin Abdul Karim ulina, sri Yani, Rina Novi Zaida Rizqi Zainul, Zaida Rizqi