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Mamduh M. Hanafi
Universitas Gadjah Mada
Economics, Econometrics & Finance

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PRICE STABILIZATION AND IPO UNDERPRICING: AN EMPIRICAL STUDY IN THE INDONESIAN STOCK EXCHANGE Suad Husnan; Mamduh M. Hanafi; Muhammad Munandar
Journal of Indonesian Economy and Business (JIEB) Vol 29, No 2 (2014): May
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (84.079 KB) | DOI: 10.22146/jieb.6205

Abstract

We attempt to investigate IPO underpricing and stabilization activities. We find IPO underpricing of around 25% in the Indonesia market. Return distribution for the first 30-trading days shows a positive skew, the distribution becomes closer to normality as the period lengthens. We then develop and test five algorithms to detect IPO intervention. An important goal of this paper is to develop an algorithm that will be able to detect IPO intervention using public data. We find that the number of closing prices that are equal to the offer prices and the skewness of the IPO return in the first 30-trading days are the ‘best’ stabilization measures. Having found “the best measures”, then we investigate under what conditions IPO intervention is more intensive. We find that underwriters tend to stabilize more on more expensive IPOs.
BANK RISK AND MARKET DISCIPLINE Taswan Taswan; Eduardus Tandelilin; Suad Husnan; Mamduh M. Hanafi
Journal of Indonesian Economy and Business (JIEB) Vol 27, No 3 (2012): September
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (77.461 KB) | DOI: 10.22146/jieb.6236

Abstract

This paper investigates the issue of bank risk taking. Specifically we investigate two main issues: (1) determinants of bank risk, and (2) market discipline to the banks either in implicit, explicit guarantee systems, and all periods. Using Indonesian data, we find that domestic, foreign, and ownership concentration have positive impact on bank risk. Bank shareholders engage in entrenchment behaviour, rather than convergence behaviour. We further find that charter value and compliance to regulation have negative impact on bank risk. Next, we find that market disciplines the banks. Market disciplines the banks at thesame degree in implicit and explicit deposit guarantee systems. Our findings highlight the importance of paying close attention to banks ownership, charter value, and compliance to regulation. Furthermore, since we find that market disciplines the Banks at the same degree in explicit and implicit guarantee systems, we need to investigate this issue further.This finding highlights research potential in the future: to investigate disciplining behaviour from various types of depositors.Keywords: bank ownership, market discipline, risk, entrenchment, convergence, and deposit insurance
STRUKTUR KEPEMILIKAN, RISIKO, DAN KEBIJAKAN KEUANGAN: ANALISIS PERSAMAAN SIMULTAN Fitri Ismiyanti; Mamduh M. Hanafi
Journal of Indonesian Economy and Business (JIEB) Vol 19, No 2 (2004): April
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22146/jieb.6595

Abstract

The research explores using simultaneous regression, to examine the interdependencerelationship between managerial ownership, risk, dividend policy, institutional ownership,and leverage policy for Indonesian capital market. The research tries to explain how therelationships in financial policy for manufacture firms in Indonesia. We use five models ofregression to represent five different policies in firms that reflect the agency issues andconflict of interest between agent (manager), and principal (insider and outsidershareholders). Jensen and Meckling (1976) argued that agency problem arise fromseparation of ownership and control. Each of five policies in this research is representconflict of interest between agent and principal. The research combined models fromCrutchley, Jensen, Jahera and Raymond (1999), and Chen and Steiner (1999) to construct five-regression policies model.We find interdependence relationship between managerial ownership, risk, dividendpolicy, institutional ownership, and leverage policy. We also find substitution effectbetween dividend policy and managerial ownership, and between managerial ownershipand institutional ownership as predicted by agency theory. The substitution effect showedthat ownership structure effectively used to reduce the agency problem between agent and principal. The study confirms that the relationship between risk and dividend is non-linear.Keyword: Agency Theory; Managerial Ownership; Risk; Dividend Policy; Debt Policy.
HERDING BETWEEN INSTITUTIONAL AND INDIVIDUAL INVESTORS: THE JAPANESE CASE Mamduh M. Hanafi
Journal of Indonesian Economy and Business (JIEB) Vol 18, No 4 (2003): October
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (242.66 KB) | DOI: 10.22146/jieb.6649

Abstract

Artikel ini membandingkan perilaku herding antara investor institusional dengan investor individual menggunakan data Jepang. Artikel ini menemukan bahwa investor institusional melakukan herding lebih besar pada saham kecil. Artikel ini juga menemukan bahwa herding oleh investor institusional nampaknya tidak mempunyai efek negatif (destabilizing) dalam jangka pendek. Dalam jangka panjang, artikel ini menemukan pembalikan harga (reversal) untuk saham dimana investor institusional melakukan herding. Artikel ini menemukan bahwa saham yang dilepas investor institusional mempunyai reaksi harga yang negatif, nampaknya tindakan pelepasan tersebut didorong oleh motivasi yang rasional. Artikel ini juga menemukan bahwa perdagangan oleh investor institusional mempunyai pengaruh yang lebih besar terhadap harga; investor institusional nampaknya tidak melakukan perdagangan umpan balik positif (positive feedback trade). Saham yang mempunyai kepemilikan institusi paling stabil mempunyai kinerja yang paling baik.Keywords: herding, Japan, efficient markets.
Co-Authors Eduardus Tandelilin Fitri Ismiyanti Muhammad Munandar Suad Husnan Taswan, Taswan