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All Journal JURNAL ILMIAH PLATAX Jurnal Manajemen Teknologi Jurnal Teknik Elektro Universitas Tanjungpura IJOG : Indonesian Journal on Geoscience Performance Benefit: Jurnal Manajemen dan Bisnis KLIK (Kumpulan jurnaL Ilmu Komputer) (e-Journal) Jurnal Geologi dan Sumberdaya Mineral International Research Journal of Management, IT & Social Sciences Jurnal CoreIT Jurnal Komputasi INOVTEK Polbeng - Seri Informatika OLDI (Oseanologi dan Limnologi di Indonesia) Jurnal Transformative International Journal of Social Science and Business Metalurgi Account : Jurnal Akuntansi, Keuangan dan Perbankan JURNAL LENTERA BISNIS Jurnal Ilmiah METADATA Jurnal Pengabdian Kepada Masyarakat (JPKM) Tabikpun Buguh: Jurnal Pengabdian Kepada Masyarakat Wiga : Jurnal Penelitian Ilmu Ekonomi Jurnal Pepadun Indonesian Capital Market Review Laporan Upaya Nyata Inovasi Ilmu Komputer (LUNIK)
Bambang Hermanto
Jurusan Ilmu Komputer FMIPA Universitas Lampung
Religion Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Health Professions Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Social Sciences

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Journal : Indonesian Capital Market Review

 1 
Are South East Asia Countries Capital Markets Characterized by Nonlinear Structures? An Investigation from Indonesia, Philippine and Singapore Capital Market Indices Bakara, Minarnita Yanti Verawati; Hermanto, Bambang
The Indonesian Capital Market Review Vol. 1, No. 1
Publisher : UI Scholars Hub

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Abstract

This research paper tries to detect the nonlinear structure in the South East Asia Countries Capital Markets. The capital markets of three South East Asia Countries are chosen: Indonesia, Philippine, and Singapore. Daily return data of Capital Markets composite indices are observed: Straits Times Index (STI) of Singapore Exchange from January 04, 1985 to December 31, 2007, Pilipino Stock Exchange Index (PSEi) of Philippines Stock Exchange from March 1, 1990 to December 31, 2007 and Jakarta Composite Index (JCI) of Indonesia Stock Exchange from January 05, 1988 to December 31, 2007. Should nonlinearity be found, the outcomes of each observation are compared to analyze the implications of each country in global, regional and local position of their competition in the continuously changing world of interdependency environment. The implications of nonlinearity finding in the three ASEAN countries capital markets to the current issues of AFAS on Financial Services, Harmonization among ASEAN countries capital markets in the ASEAN region and ASEAN integration and liberalization on Financial Services are analyzed. BDS statistic and R/S Analysis as our tools for nonlinearity testing are applied. Nonlinearity evidences in Jakarta Composite Index, Pilipino Stock Exchange Index and Straits Times Index are found.
Did Focusing on Asia Pacific Emerging Markets Provide Much Benefit to Portfolio Diversification during the Late 2000s Recession? Hermanto, Bambang; Indra, Fajar
The Indonesian Capital Market Review Vol. 5, No. 1
Publisher : UI Scholars Hub

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This research studies the international co-movement among Asia Pacific emerging markets stock price indices during the late 2000s recession by using the monthly observations start from 1st October 2001 until 1st April 2011. The co-integration analysis and parsimonious Vector Error Correction Model employed in this research reveal a long-term relationship and inter-dependencies among seven Asia Pacific emerging market stock price indices. This research finds that the unique co-integration exists on the equations. Specifically, two indices from China and Taiwan having meteor shower potential while the rest indices from Thailand, Malaysia, and Indonesia are known to have heat waves effects or country specific factors on the equation. Finally, all the results are linked to the international diversification strategies
Co-Authors ., Nanda Admi Syarif Afridho Rachmadi Kartawiria Agung Wijaya Akmal Junaidi Albertus Sudirman Andy Setiawan Ardiansyah Ardiansyah Ari Ardianto Arif Pebriansyah Arif Surtono Ashshaff, Ahmad Marzuky Astria Hijriani Azhari SN Azhari SN Bakara, Minarnita Yanti Verawati Bella Putri Budi Santoso Cholis Nur Apriansyah Dewantara, Rifqy Haryudha Dwi Sakethi Endah Setyaningrum Endang L Widiastuti Eti Ernawati Fadila Lutfi Azizah Fajri Profesio Putra Favorisen R. Lumbanraja Febi Eka Febriansyah Febi Eka Febriansyah Fitriah Husin Hadian, Arief Hakim, Muhammad Ihsan Hamizar, Hamizar Hasrini Sari Heningtyas, Yunda Ibnu Rizaldi Indra Wijaya Indra, Fajar jaka purnama sidi Jani Master Jemmy Souhoka John Ronaldo Michael Apituley Kurniasari, Isnaini Hijriyah Kusdji Darwin Kusumah Lady Luciana Lili Chrisnawati Lofanny Wahyu Dandi Lusita Lusita M Gigih Periawan PS M. Gigih Periawan PS Ma’mun, Nurhajati Machudor Yusman Machudor Yusman Moningkey, Rovan Muhammad Iqbal Muhammad Ridho Nabilla Tsamara Nagara . Nana Suwarna Nia Marsela Nismah Nukmal Nova Ayu Lestari Siahaan nuning nurcahyani Oyong Lisa Pontoh, Branda Prabowo, Rizky Primasari Pertiwi Rafi Andika Hermawan Rajagukguk, Yemima Novai Riser Fahdiran Robert Richard Winerungan Salsabila Nurislami Sirait, Bonar Sri Setiawati, Sri Sudirman, Albertus Torkis Sihombing Toto Sudiro Triana Triana Tristiyanto Tristiyanto Wilson Bogar Yulianty Yulianty