Articles
<![CDATA[SIZE EFFECT AND STOCK BEHAVIOR DURING THE EXPANSION AND CONTRACTION PHASES OF ECONOMIC CYCLE: An Empirical Evidence from Indonesian Stock Market ]]>
<![CDATA[Asri, Marwan]]>
<![CDATA[ Gadjah Mada International Journal of Business Vol 4, No 3 (2002): September-December ]]>
Publisher : <![CDATA[Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
Full PDF (36.377 KB)
<![CDATA[Banz (1981) and Reiganum (1981) claim that, in terms of returncreation, small firms tend to perform better than large firms. They implicitly claim that the phenomena (which is known as size effect) is stable and exists over the period of examination. This study intends to investigate the existence of size effect in Indonesian market and more specifically, to test whether stages of economic cycle (expansion and contraction stages) determine the existence of the effect. The results of the study show that size effect does exist in the market for the whole period of observation (1991-2001). However, when the period is divided into two parts according to the stage of economic cycle, the statistical analysis results are not supportive to the conclusion about the size effect.]]>
<![CDATA[PSYCHOLOGICAL BIASES IN INVESTMENT DECISIONS: AN EXPERIMENTAL STUDY OF MYOPIC BEHAVIOR IN DEVELOPING CAPITAL MARKETS ]]>
<![CDATA[Wendy, Wendy]]>;
<![CDATA[Asri, Marwan]]>
<![CDATA[ Journal of Indonesian Economy and Business Vol 27, No 2 (2012): May ]]>
Publisher : <![CDATA[Journal of Indonesian Economy and Business ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
Full PDF (78.489 KB)
<![CDATA[This paper attempts to analyze the psychological biases that affect investors in making risky investment decisions based on the theory of Myopic Loss Aversion (MLA). The datawere obtained from two sources (students and stock investors) which in turn were manipulated by two types of treatment (frequent and infrequent), using a mixed design of betweenwithin subjects with a 2 x 2 factorial. The experimental result showed the consistency of the two groups of participants to the theory of the MLA. Analysis of the gender showed that the boldness levels of the male participants and female participants in the group of investors were the same, while in the student group, gender showed a significant influence. Other findings included a "shock-effect" experienced by the participants during the experiment. Keywords: behavioral finance, myopic loss aversion, frequent-infrequent, gender, and shock-effect]]>
<![CDATA[FLIPPING ACTIVITY AND UNDERPRICING PHENOMENON IN INDONESIA STOCK EXCHANGE ]]>
<![CDATA[Dewi, Atika Nisrina]]>;
<![CDATA[Asri, Marwan]]>
<![CDATA[ Jurnal Reviu Akuntansi dan Keuangan Vol 9, No 2: Jurnal Reviu Akuntansi Dan Keuangan ]]>
Publisher : <![CDATA[Universitas Muhammadiyah Malang ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
Full PDF (1000.008 KB)
|
DOI: 10.22219/jrak.v9i2.8336
<![CDATA[Underwriters, as well as issuers, show ambiguity toward the flipping activity or selling initially public offered stocks (IPO stocks) in the first trading day. On one side, they are naturally against the flipping activity because it is considered to decrease IPO performances, especially in the case of weak offerings. However, flipping activity is also needed to show liquidity of the IPO stock in the secondary market. Several studies indicate that there is a relationship between flipping activity and underpricing phenomenon. Previous research also shows that by studying flipping activity, we can also learn about disposition effect in the primary market. In this study we investigate the relationship between flipping activity and underpricing phenomenon and the presence of disposition effect in Indonesian primary market. Further, the study also test whether the investors’ decision to flip the underpricing stock is a rational decision or because of the fear of regret. The result shows that disposition effect is not found in Indonesian primary market. We also found that there are different level of flipping activities in different level of underpricing, and investor’s decision to flip the underpricing stocks is actually a rational decision.  ]]>
<![CDATA[Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific ]]>
<![CDATA[Hayun Kusumah]]>;
<![CDATA[Marwan Asri]]>;
<![CDATA[Kusdhianto Setiawan]]>;
<![CDATA[Bowo Setiyono]]>
<![CDATA[ Jurnal Keuangan dan Perbankan Vol 25, No 3 (2021): Juli 2021 ]]>
Publisher : <![CDATA[University of Merdeka Malang ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
DOI: 10.26905/jkdp.v25i3.5822
<![CDATA[This study investigates the time-varying integration of stock markets from a global and regional perspective, the consequences of two major global financial crises, i.e., the Asian Financial Crisis and the subprime mortgage, and the Crisis triggered by COVID-19. We contribute to the growing amount of literature on market integration, especially on the role of regional to global market integration. Although regional integration encourages an acceleration of global integration, the effect of a regional factor is not uniform among regions. It is important to understand regional to global market integration and the consequences during the crises. This study employs time-series data from economic territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification. It introduces an alternative measurement of time-varying integration by considering the correlation of regional and global markets using a simple international model, equivalent to the capital asset pricing model (CAPM). The result shows that the market integrations are time-varying both globally and regionally. The domestic markets are affected by the global market and its regional market, as the role of a regional market emerges during the financial crisis period. We find the different responses of stock markets during the Covid-19 period as a dominant factor to exacerbate the market return globally. In the long run, the upward trend for the regional market integration in both developed and emerging markets is inherent to the global market integration.DOI: 10.26905/jkdp.v25i3.5822]]>
<![CDATA[Capital Aset Pricing Model (CAPM) Revisited: The Context of Sharia-based Stocks with the Barakah Risk Premium Variable ]]>
<![CDATA[Linda Ariany Mahastanti]]>;
<![CDATA[Marwan Asri]]>;
<![CDATA[Bernadus M. Purwanto]]>;
<![CDATA[Eddy Junarsin]]>
<![CDATA[ Jurnal Keuangan dan Perbankan Vol 25, No 2 (2021): April 2021 ]]>
Publisher : <![CDATA[University of Merdeka Malang ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
DOI: 10.26905/jkdp.v25i2.5572
<![CDATA[The purpose of this study is to answer the question about the inconsistency of research results in the field of Islamic stock investment. This study uses literature for digging the uniqueness of Sharia stock investments which cannot be explained completely with a quantitative approach. In the last part of this research, we adjust the Capital Asset Pricing Model (CAPM) in the Sharia capital market based on a literature study. The classical finance theories such as CAPM need to adjust by incorporating the unique characteristics of faith-based investment products. The main difference between faith-based and conventional investment products lies in the presence of religious teachings that underlie the formation of these products. Consequently, investors employ not only the objective risk-and-return analysis to select investment choices, but also the subjective risk-and-return analysis based on Islamic teachings. Subjective gains (nonmonetary) are reflected by the barakah risk premium on which investors initially base their investment selection decisions between sharia-based and conventional stock investment. This research found a new variable called Barakah risk premium and Barakah return. This type of risk and return are very specific which is only found in sharia stock investments DOI : https://doi.org/10.26905/jkdp.v25i2.5572]]>
<![CDATA[FLIPPING ACTIVITY AND UNDERPRICING PHENOMENON IN INDONESIA STOCK EXCHANGE ]]>
<![CDATA[Atika Nisrina Dewi]]>;
<![CDATA[Marwan Asri]]>
<![CDATA[ Jurnal Reviu Akuntansi dan Keuangan Vol. 9 No. 2: Jurnal Reviu Akuntansi Dan Keuangan ]]>
Publisher : <![CDATA[Universitas Muhammadiyah Malang ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
Full PDF (1000.008 KB)
|
DOI: 10.22219/jrak.v9i2.8336
<![CDATA[Underwriters, as well as issuers, show ambiguity toward the flipping activity or selling initially public offered stocks (IPO stocks) in the first trading day. On one side, they are naturally against the flipping activity because it is considered to decrease IPO performances, especially in the case of weak offerings. However, flipping activity is also needed to show liquidity of the IPO stock in the secondary market. Several studies indicate that there is a relationship between flipping activity and underpricing phenomenon. Previous research also shows that by studying flipping activity, we can also learn about disposition effect in the primary market. In this study we investigate the relationship between flipping activity and underpricing phenomenon and the presence of disposition effect in Indonesian primary market. Further, the study also test whether the investors’ decision to flip the underpricing stock is a rational decision or because of the fear of regret. The result shows that disposition effect is not found in Indonesian primary market. We also found that there are different level of flipping activities in different level of underpricing, and investor’s decision to flip the underpricing stocks is actually a rational decision. ]]>
<![CDATA[SIZE EFFECT AND STOCK BEHAVIOR DURING THE EXPANSION AND CONTRACTION PHASES OF ECONOMIC CYCLE: An Empirical Evidence from Indonesian Stock Market ]]>
<![CDATA[Marwan Asri]]>
<![CDATA[ Gadjah Mada International Journal of Business Vol 4, No 3 (2002): September-December ]]>
Publisher : <![CDATA[Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
Full PDF (36.377 KB)
|
DOI: 10.22146/gamaijb.5391
<![CDATA[Banz (1981) and Reiganum (1981) claim that, in terms of returncreation, small firms tend to perform better than large firms. They implicitly claim that the phenomena (which is known as size effect) is stable and exists over the period of examination. This study intends to investigate the existence of size effect in Indonesian market and more specifically, to test whether stages of economic cycle (expansion and contraction stages) determine the existence of the effect. The results of the study show that size effect does exist in the market for the whole period of observation (1991-2001). However, when the period is divided into two parts according to the stage of economic cycle, the statistical analysis results are not supportive to the conclusion about the size effect.]]>
<![CDATA[RE-EXAMINING THE EXISTENCE OF LOW PRICE-EARNINGS RATIO EFFECTS: A Descriptive Approach to the Case of Indonesian Stock Market ]]>
<![CDATA[Marwan Asri]]>
<![CDATA[ Gadjah Mada International Journal of Business Vol 4, No 2 (2002): May-August ]]>
Publisher : <![CDATA[Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
Full PDF (73.609 KB)
|
DOI: 10.22146/gamaijb.37879
<![CDATA[From practical point of view, Price-Earnings (P/E) ratio is one of numerous important aspects to consider. Analysts, investors, and traders in stock markets use P/E ratio –together with other information- in analyzing the past performance, and predicting the future prospect of securities in the market. However, noting its importance, there are some significant disagreements among researchers regarding the ability of P/E ratio in providing “correct information” about the future return of company stocks. One of the topics under discussion is about the presence of so-called low P/E effect, which hypothesizes that high P/E will be followed by low returns and low P/E will be followed by high returns. This study, by repeating partially Johnson et al. (1989) procedures, was trying to confirm the low P/E effect hypothesis in Indonesian market. The study involved 267 stocks listed in Jakarta Stock Exchange in the sample frame and selected the period of 1994-2000 as the focus of analysis. The study also has an intention to investigate whether there was a structural change in return-P/E relationship from the pre-crisis period (1994-1996) to the crisis period (1998-2000). The procedure of analysis was divided into two sections. In the first section a descriptive macro (market) analysis was presented, to test the hypothesis at the market level. It started with an overview about the fluctuation and trend of market P/E ratios during the period of 1991-2000, and followed by investigating the relationship between market P/E and the following returns. A regression analysis was also performed to strengthen the analysis from statistical point of view. In the second section, analysis is more directed to the portfolio level where the portfolios were ranked according to their P/E ratios. The study was concluded with a main finding that does not support the low P/E effect hypothesis.]]>
<![CDATA[PRICE EARNINGS RATIO (PER) MODEL CONSISTENCY: EVIDENCE FROM JAKARTA STOCK EXCHANGE ]]>
<![CDATA[Prof. Marwan Asri, M.B.A., Ph.D.]]>;
<![CDATA[Antonius N. Heveadi]]>
<![CDATA[ Gadjah Mada International Journal of Business Vol 1, No 2 (1999): September ]]>
Publisher : <![CDATA[Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
Full PDF (100.972 KB)
|
DOI: 10.22146/gamaijb.37887
<![CDATA[Recently, stock valuation model using the earning multiplier approach (PER) is more popular among investors and analysts. This popularity has caused this model to seem to be the most perfect model among other valuation models. In response to the fact above, this research tries togive empirical evidence whether PER’s cross-sectional model can be used in determining the fairness of stock price traded in Jakarta Stock Exchange.Evaluation of the capability of PER’s cross-sectional model in determining the common stock price was conducted by developing three regression models from different time periods, namely the years of 1995, 1996, and 1997. The regression models used in this research was the one developed by Whitbeck-Kisor (1973). The model employed growth, dividend payout ratio (DPR), and standard deviation of growth (s-growth) as independent variable.This research was intended to test the consistency of the model in assessing stock prices. The result of this research showed that each model developed at different time periods, though with the same sample and method, gave different results. The differences were in the significance level and in the weight of influence of independent variables to the corresponding dependent variables. As a stock valuation model, a regression model should perform consistently from period to period, so normalPER of a stock could be predicted based on the model that was developed by historical data.]]>
<![CDATA[Diversifikasi korporasi dan biaya modal ]]>
<![CDATA[Katiya Nahda]]>;
<![CDATA[Marwan Asri]]>
<![CDATA[ Jurnal Siasat Bisnis Vol 21, No 2 (2017) ]]>
Publisher : <![CDATA[Management Development Centre (MDC) Department of Management, Faculty of Business and Economics Universitas Islam Indonesia ]]>
Show Abstract
|
Download Original
|
Original Source
|
Check in Google Scholar
|
DOI: 10.20885/jsb.vol21.iss2.art6
<![CDATA[Tujuan penelitian ini adalah menguji pengaruh diversifikasi usaha terhadap biaya modal dikaitkan dengan korelasi arus kas antar segmen serta tingkat kendala pendanaan yang dihadapi perusahaan. Model penelitian diuji dengan menggunakan sampel dari seluruh perusahaan di luar sektor keuangan yang terdaftar di Bursa Efek Indonesia periode 2010-2014 dengan metode Feasible Generalized Least Square (FGLS). Hasil penelitian menunjukkan diversifikasi usaha berpengaruh positif terhadap biaya modal secara keseluruhan. Namun, pengujian model secara parsial menunjukkan adanya perbedaan pengaruh diversifikasi terhadap biaya utang dan biaya ekuitas. Di satu sisi diversifikasi usaha menurunkan biaya utang, dan di sisi yang lain juga dapat meningkatkan biaya ekuitas. Temuan yang lain menunjukkan bahwa semakin rendah tingkat korelasi arus kas antar segmen usaha, semakin rendah biaya modal yang ditanggung perusahaan. Tingkat kendala pendanaan juga menunjukkan pengaruh signifikan dalam memoderasi hubungan diversifikasi usaha dengan biaya modal.]]>
