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All Journal Jurnal Keuangan dan Perbankan JDM (Jurnal Dinamika Manajemen) Gadjah Mada International Journal of Business Journal of Indonesian Economy and Business Indonesian Capital Market Review Journal of Indonesian Economy and Business
Mamduh M. Hanafi
Faculty Of Economics And Business, Universitas Gadjah Mada
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Journal : Gadjah Mada International Journal of Business

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Unusual Market Activity Announcements: A Study of Price Manipulation on the Indonesian Stock Exchange Hanafi, Mamduh M.
Gadjah Mada International Journal of Business Vol 12, No 2 (2010): May - August
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

We investigate stocks involved in the Unusual Market Activity (UMA) Announcements. The Indonesian Stock Exchange occasionally issues UMA announcements when it suspects that there are unusual price increases (positive UMAs) or price decreases (negative UMAs), as well as unusual increases in trading volumes. We believe that UMA announcements signal a high probability that stocks are being manipulated. We find no differences in fundamentals and trading variables between stocks in the UMA announcements and those not in the UMA announcements. Any stock is vulnerable to market manipulation. Stocks in the UMA announcements do not exhibit reversal patterns, suggesting that price effect is permanent. UMAs seem to convey relevant information, which is most likely in the form of insider type of information.Keywords: emerging market; price manipulation; unusual market activity announcement.
Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange Setiyono, Setiyono; Tandelilin, Eduardus; Hartono, Jogiyanto; Hanafi, Mamduh M.
Gadjah Mada International Journal of Business Vol 15, No 1 (2013): January - April
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This study attempts to investigate the issue of the existence of institutional herding in the stock market. The existence is detected in the intraday trade data from the Indonesia Stock Exchange (IDX) during up, down, and stable market condition over the period 2003-2005. By using the model of Lakonishok et al. (1992), it is found that the intensity of the existence of institutional herding at the IDX, on average, is 8.4 percent. Institutional investors do not seem to lead their transactions ina certain characteristic of stock. Most of them follow positive-feedback trading strategy while others follow negative-feedback trading strategy. This study also found that the existence of herd behavior at the IDX did not destabilize the market price in a subsequent period.
Co-Authors Barsiano, Redik Eduardus Tandelilin Fitri Ismiyanti Fitri Ismiyanti, Fitri Jogiyanto Hartono Maulida Nurul Innayah Muhammad Munandar Muizzuddin Muizzuddin Pratama, Bima Cinintya R. Heru Kristanto HC Redik Brasiano Setiyono Setiyono Setiyono, Bowo Suad Husnan Taswan, Taswan Usman Arief Usman Arief, Usman