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All Journal MANAJEMEN HUTAN TROPIKA Journal of Tropical Forest Management JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Sodality: Jurnal Sosiologi Pedesaan MEDIA KONSERVASI MANAJEMEN IKM: Jurnal Manajemen Pengembangan Industri Kecil Menengah Jurnal Manajemen dan Agribisnis Forum Pasca Sarjana Jurnal Ekonomi Pembangunan Signifikan : Jurnal Ilmu Ekonomi ETIKONOMI SOCA: Jurnal Sosial Ekonomi Pertanian Jurnal Ekonomi Sosiohumaniora Jurnal Manajemen Teknologi JURNAL SAINS DAN TEKNOLOGI INDONESIA Jurnal Keuangan dan Perbankan Jurnal Ekonomi dan Pembangunan Indonesia JDM (Jurnal Dinamika Manajemen) JEJAK Jurnal Penelitian Hutan dan Konservasi Alam Jurnal Penelitian Hasil Hutan Jurnal Agro Ekonomi Analisis Kebijakan Pertanian JAM : Jurnal Aplikasi Manajemen Journal of S&T Policy and R&D Management AGRISE Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan Jurnal Tataloka MIX : Jurnal Ilmiah Manajemen Jurnal Penelitian Karet Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi UNIAT MAJALAH ILMIAH GLOBE Informatika Pertanian International Journal of Islamic Economics and Finance (IJIEF) JEPA (Jurnal Ekonomi Pertanian dan Agribisnis) Jurnal Manajemen Pembangunan Daerah Jurnal Organisasi Dan Manajemen Buletin Ilmiah Litbang Perdagangan JURNAL MANAJEMEN INDUSTRI DAN LOGISTIK Indonesian Journal of Socio Economics Jurnal Ilmiah Bisnis dan Ekonomi Asia Buletin Ekonomi Moneter dan Perbankan Economics and Finance in Indonesia Amwaluna Jurnal Ekonomi dan Keuangan Syariah Akurasi : Jurnal Studi Akuntansi dan Keuangan Jurnal Manajemen Jurnal Penelitian Hasil Hutan Jurnal Agro Ekonomi Analisis Kebijakan Pertanian Jurnal Ekonomi Indonesia BISNIS & BIROKRASI: Jurnal Ilmu Administrasi dan Organisasi JEPI Policy Brief Pertanian, Kelautan, dan Biosains Tropika IJAE Dinamika Pertanian
Hermanto Siregar
Fakultas Ekonomi Dan Manajemen IPB, Bogor
Agriculture, Biological Sciences & Forestry Arts Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Energy Engineering Environmental Science Immunology & microbiology Industrial & Manufacturing Engineering Law, Crime, Criminology & Criminal Justice Materials Science & Nanotechnology Social Sciences Transportation

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Journal : Jurnal Keuangan dan Perbankan

 1 
Asymmetric volatility and macroeconomic factors on Indonesian government bond returns Megasari, Debbie; Siregar, Hermanto; Syarifuddin, Ferry
Jurnal Keuangan dan Perbankan Vol 23, No 3 (2019): July 2019
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v23i3.2613

Abstract

Macroeconomic are important variables influencing volatility in the bond market. Some of the challenges faced such as default risk, liquidity risk, interest rate risk, inflation risk, and exchange rate risk. This study is aimed at examining asymmetric volatility using the EGARCH model and at estimating macroeconomic variables which influence the return of Indonesian Government bonds. The asymmetric volatility can be measured by determining the best order value of the EGARCH model. Based on the findings of the study, EGARCH (2.1) is the best model for assessing volatility in short-term SUN returns, EGARCH (3.1) for medium-term SUN and EGARCH (2.3) for the long term. The asymmetric volatility pertains in the returns of short, medium and long-term government bonds. In addition, the negative information has a greater impact than positive information in the short, medium and long term. The deposit rate and return of the Composite Stock Price Index have a significant positive effect on short, medium and long term bond returns. The effective federal funds rate or FED interest rate has a significant positive effect on the return of short and long-term SUN bonds while in the medium term it has no effect. Exchange rates have a significant negative effect on short, medium and long term bond returns.JEL Classification: D13, I31, J22DOI: https://doi.org/10.26905/jkdp.v23i3.2613
The effect of five price categories in tick size policy on trade and stock returns based on the LQ45 Index Nurlaila Firdani Fajri; Hermanto Siregar; Ferry Syarifuddin
Jurnal Keuangan dan Perbankan Vol 23, No 1 (2019): January 2019
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (869.198 KB) | DOI: 10.26905/jkdp.v23i1.2598

Abstract

The capital market has an influential role in the national economy of countries, including Indonesia. The capital market in Indonesia is regulated by the Indonesia Stock Exchange (IDX) with the new regulation number Kep-00113/BEI/12-2016 that focuses on five price categories of tick size. This study aimed to investigate the impact of five price categories in tick size policy on liquidity and volatility based on the LQ45 index and examine factors that influence stock return. This study was performed using a paired sample T-test and panel regression test. The result of the different test indicates a significant change in bid-ask spread, Depth, Depth to relative spread (DRS), volume, and volatility. The five price category in the tick size policy does not affect the depth. It is found that all the variables have a smaller value after the implementation of the tick size policy. The results of the panel regression test show that depth, volume, and volatility have a significant influence on stock returns, while the bid-ask spread, and DRS does not affect stock returns. The result of this study was expected to improve understanding of the tick size regulation to determine the best stock investment strategy.JEL Classification: G11, G12, G23, R53DOI: https://doi.org/10.26905/jkdp.v23i1.2598
Co-Authors . Mahyuddin ., Harianto Abitur Asianto Adhitya Wardhana Adis Imam Munandar Adler H. Manurung Adler Haymans Manurung Affendi Anwar Agus Lukman Hakim Ahmad Aris, Ahmad Akhmadi Akhmadi Amzul Rifin Anak Agung Ketut Sudharmawan Andam Dewi Anny Ratnawati Aprilia Sukmawati Apriyana, Alfin Ardina Puspitasari Arham Rivai Ari Binuko Arief Darjanto Arief Daryanto Arief Daryanto Arif Imam Suroso Arif Imam Suroso Arif Naldi Astoeti Wahjoe Widiarti Aviliani Aviliani Azizah B D Nasendi Baida Soraya Bambang Juanda Basyid Ahmad Benar Darius Ginting Benny Kurniawan Bonar M Sinaga Bonar M Sinaga Bonar M. Sinaga Bonar Marulitua Sinaga Bronson Marpaung Bunasor Sanim Bungaran Saragih Bungaran Saragih D. S. Priyarsono D. S. Priyarsono Dahri Dahri Darmawan, Indra Darsono . Dedi Budiman Hakim Desi Maryanti Diana Septiningrum Diana Septiningrum, Diana Dodik Ridho Nurrochmat Dominicus Savio Priyarsono Dudi S. Hendrawan Dwi Haryono Dwi Suprastyo DWI SURYANTO Dyan Vidyatmoko Dyan Vidyatmoko E. Gumbira-Sa’id Eddi Wahyudi, Eddi Eduart Wolok Edwin Mahatir Muhammad Ramadhan Eka Intan Kumala Putri Eko Wahyu Nugrahadi Endah Murniningtyas Endah Murniningtyas Endang Suhendang Endriatmo Soetarto Eriyatno . Erlina Erlina Ernan Rustiadi Ervina Mela Dewi, Yandra Arkeman, Erliza Noor, Noer Azam Achsani Erwin Susanto Sadirsan Evi Lisna Evita H. Legowo Fahriyah Fahriyah Faizal Irvansyah Faizul Mubarok Fazri, Muhammad Ferry Syarifuddin Fitria Yuliani Gonarsyah, Isang Gustiyan Taufik Mahardika Hadi, Setia Hani Laksono Harahap, Muhammad Syafril Hardinsyah . Harianto . Harianto Harianto Harianto Harianto Harianto Harianto Hastori, . Hendro Sasongko Hendro Sasongko Heni Hasanah Hery Setiawan Heti Mulyati I Gusti Putu Wigena Ichsan, Aulia Idqan Fahmi Ilham, Nyak Ilham, Nyak Illah Sailah Iman Sugema Iman Widhiyanto Indra Gunawan Ingrit, Ingrit Joko S. Usman Joyo Winoto Kadar, Laila Kodrat Wibowo Kusnadi - Kustanto, Heru Kustanto, Heru Lala M Kolopaking Latuconsina, Olivia CH Limetry Liana Lukman M. Baga Lukytawati Anggraeni M Parulian Hutagaol M Parulian Hutagaol M. Ilham Riyadh M. Machfud M. Parulian Hutagaol M. Said Didu M. Syamsul Maarif Machmud, Musdhalifah Mangara Tambunan MANGARA TAMBUNAN Mangasa Augustinus Sipahutar, Mangasa Augustinus Manuwoto, Manuwoto Maulana, Tubagus NA Megasari, Debbie Minesa, Punti Moch Hadi Santoso Mohammad Nur Hadi Mudinillah, Adam Muhammad Arief Dirgantoro Muhammad Fazri Muhammad Fazri muhammad Firdaus Mulya E. Siregar Nadiah Hidayati Nancy Megawati Hariandja Nashwari, Inti Pertiwi nFN Sudradjat Nila Rifai Nugroho Setyo Utomo Nunung Nuryartono Nurlaila Firdani Fajri Nyak Ilham Oktovianus Pantjar Simatupang Parulian Hutagaol Perdana Wahyu Santoso Permadi, Hengki Petrus F.T.P. Tampubolon Pratikto Winardi Bakhram Prima Puspita Indra Murti Prima, Ghaniy Ridha R Marsuki Iswandi R Susila, Wayan Rachmad Hermawan Rahmanta Rahmanta, Rahmanta Rina Oktaviani Rina Oktaviani Rina Oktaviani Rina Oktaviani Rini Dwiyani Hadiwidjaja Riny Kusumawati Ristianto Pribadi Ristiyanto, Nirwan Ristiyanto, Nirwan Riyanto Riyanto Rizavia Mardhika Putri Roy Sembel Roy Sembel Safrida . Sahruddin Nasution Santun R.P. Sitorus Satria Prawira Dirga Setia Hadi Setiadi Djohar Setiawan, Andi Siti Aida Adha Taridala Sjafri Mangkuprawira Sri Hartoyo Sri Hartoyo Sri Mulatsih Stephen Thenu Sugeng Budiharsono Sugimin Pranoto Sugiyanto Sugiyanto Suprehatin Surjono H. Sutjahjo Surya Abadi Sembiring Surya Abadi Sembiring Sutikno, Renaldo Prima Sutriono Edi Suwarno Suwarno Suwinto Johan Syamsul Hidayat Pasaribu Syamsul Ma'arif Syarifuddin, Ferry Syarifuddin, Ferry Syauqi, Muhamad Sylvia Sandyazmara Devi Tambunan, Martua Eliakim Tanti Novianti Tanti Novianti TB Nur Ahmad Maulana Tb. N Ahmad Maulana, Tb. N Ahmad Trias Andati Trias Andati Trias Andati Trias Andati Trias Andati Tubagus Nur Ahmad Maulana Tubagus Nur Ahmad Maulana Tubagus Nur Ahmad Maulana Tutut Sunarminto Usman - Vidyatmoko, Dyan Widhiyanto, Iman Widyastutik Winardi Winardi Winardi, Winardi Winoto, Joyo Wiwiek Rindayati Wonny A. Ridwan Yantu, M. R. Yati Nuryati Yenna Sri Mardiana Yulismi, Yulismi Yusman Syaukat Yusman Syaukat