Garuda - Garba Rujukan Digital

Stock Market Integration: Are Risk Premiums of International Assets Equal? Setiawan, Kusdhianto
Gadjah Mada International Journal of Business Vol 16, No 1 (2014): January-April
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (568.979 KB)

This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.Â Â Â Â

ANALYSIS OF MARKET TIMING TOWARD LEVERAGE OF NON-FINANCIAL COMPANIES IN INDONESIA Wulandari, Vera Pipin; Setiawan, Kusdhianto
Journal of Indonesian Economy and Business Vol 30, No 1 (2015): January
Publisher : Journal of Indonesian Economy and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (671.155 KB)

ABSTRACTThis study aimed to examine the effect of market timing on leverage on non-financial compa-nies in Indonesia. Market timing was tested on the hot and cold market conditions. Hot and cold markets are determined by the monthly market to book ratio. A hot (cold) market occurs when the average market to book ratio of a particular month is above (below) the value of the moving average of the monthly market to book ratio. This study also aimed to test whether non-financial companies in Indonesia persistently applied leverage policies. This study used two research models. The first model was a panel data with a sample size of 77 non-financial companies listed on the Indonesian Stock Exchange from 2002-2013.The second model was a cross section data with a sample size of 157 non-financial companies that conducted their IPO in Indonesia from 2003-2013. The dependent variable in both the research models was leveraget (levt). The independent variables were markett and leveraget-1 (levtâ1). The control variables were profitabi-lityt-1 (proft-1); and sizet-1. The results of this study indicated that market timing affected the lev-erage of non-financial companies listed on the Indonesian Stock Exchange. However, market timing did not affect the leverage of non-financial companies that had their IPO in Indonesia. The non-financial companies in Indonesia were not persistently applying a leverage policy. The capital structure of non-financial companies in Indonesia changed because of the influence of variable profitability and size (which supports the pecking order and trade off theory).Keywords: market timing theory, leverage, hot and cold market, market to book ratio

PUBLIC FIRMS BACKGROUND ON THE PERFORMANCEGOVERNANCE RELATION: EVIDENCE FROM INDONESIA Setiawan, Kusdhianto; Junarsin, Eddy; Yuliati, Sri Handaru
Journal of Indonesian Economy and Business Vol 28, No 3 (2013): September
Publisher : Journal of Indonesian Economy and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (59.629 KB)

This study purports to test two governance issues in Indonesian listed firms. To explore corporategovernance mechanisms in Indonesia, we ought to understand that listed firms on theIndonesian capital market came from two initial business backgrounds: (1) private firms, whichhad been private businesses before going public; and (2) Badan Usaha Milik Negara (stateownedenterprises), which were owned by the Indonesian government and managed bygovernment-appointed management. Although both types of the firms have gone public, theirdifferences might remain intact, such as differences in size, lines of business, market share, andthe efficiency of corporate governance. Using 442 raw sample from all firms listed on theIndonesian Stock Exchange during 2003-2012, we find that governance characteristics andperformance relation does differ between previously SOE firms and previously private firms.However, we do not find evidence of distinct financial performance between previously SOEfirms and previously private firms.1 Corresponding author. We are grateful for the researchgrant provided by the Faculty of Economics and Business,Universitas Gadjah Mada.Keywords: SOE firms, private firms, corporate governance, firm performance, firm background

Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific Hayun Kusumah; Marwan Asri; Kusdhianto Setiawan; Bowo Setiyono
Jurnal Keuangan dan Perbankan Vol 25, No 3 (2021): Juli 2021
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v25i3.5822

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

Stock Market Integration: Are Risk Premiums of International Assets Equal? Kusdhianto Setiawan
Gadjah Mada International Journal of Business Vol 16, No 1 (2014): January-April
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.

PUBLIC FIRM'S BACKGROUND ON THE PERFORMANCEGOVERNANCE RELATION: EVIDENCE FROM INDONESIA Kusdhianto Setiawan; Eddy Junarsin; Sri Handaru Yuliati
Journal of Indonesian Economy and Business (JIEB) Vol 28, No 3 (2013): September
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

This study purports to test two governance issues in Indonesian listed firms. To explore corporategovernance mechanisms in Indonesia, we ought to understand that listed firms on theIndonesian capital market came from two initial business backgrounds: (1) private firms, whichhad been private businesses before going public; and (2) Badan Usaha Milik Negara (stateownedenterprises), which were owned by the Indonesian government and managed bygovernment-appointed management. Although both types of the firms have gone public, theirdifferences might remain intact, such as differences in size, lines of business, market share, andthe efficiency of corporate governance. Using 442 raw sample from all firms listed on theIndonesian Stock Exchange during 2003-2012, we find that governance characteristics andperformance relation does differ between previously SOE firms and previously private firms.However, we do not find evidence of distinct financial performance between previously SOEfirms and previously private firms.1 Corresponding author. We are grateful for the researchgrant provided by the Faculty of Economics and Business,Universitas Gadjah Mada.Keywords: SOE firms, private firms, corporate governance, firm performance, firm background

ANALYSIS OF MARKET TIMING TOWARD LEVERAGE OF NON-FINANCIAL COMPANIES IN INDONESIA Vera Pipin Wulandari; Kusdhianto Setiawan
Journal of Indonesian Economy and Business (JIEB) Vol 30, No 1 (2015): January
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

ABSTRACTThis study aimed to examine the effect of market timing on leverage on non-financial compa-nies in Indonesia. Market timing was tested on the hot and cold market conditions. Hot and cold markets are determined by the monthly market to book ratio. A hot (cold) market occurs when the average market to book ratio of a particular month is above (below) the value of the moving average of the monthly market to book ratio. This study also aimed to test whether non-financial companies in Indonesia persistently applied leverage policies. This study used two research models. The first model was a panel data with a sample size of 77 non-financial companies listed on the Indonesian Stock Exchange from 2002-2013.The second model was a cross section data with a sample size of 157 non-financial companies that conducted their IPO in Indonesia from 2003-2013. The dependent variable in both the research models was leveraget (levt). The independent variables were markett and leveraget-1 (levt–1). The control variables were profitabi-lityt-1 (proft-1); and sizet-1. The results of this study indicated that market timing affected the lev-erage of non-financial companies listed on the Indonesian Stock Exchange. However, market timing did not affect the leverage of non-financial companies that had their IPO in Indonesia. The non-financial companies in Indonesia were not persistently applying a leverage policy. The capital structure of non-financial companies in Indonesia changed because of the influence of variable profitability and size (which supports the pecking order and trade off theory).Keywords: market timing theory, leverage, hot and cold market, market to book ratio

ADAKAH PENGARUH "EVA" TERHADAP NILAI PERUSAHAAN DAN KEMAKMURAN PEMEGANG SAHAM PADA PERUSAHAAN PUBLIK? R. Agus Sartono; Kusdhianto Setiawan
Journal of Indonesian Economy and Business (JIEB) Vol 14, No 4 (1999): October
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (126.345 KB)

Economic Value Added (EVA) as a performance measure has proven in United States as prominent measure of companies business performance, especially in focusing on business operation that fit with its' core business. However, our research found that EVA has no significant correlation with MVA (Market Value Added) and abnormal return as indicators of stock price movement, but EVA significantly associated with leverage that support Modigliani-Miller theory of capital structure in its' second proposition. These findings rise the question whether or not EVA could be used as effective performance measure in Indonesia and than use it as a mean of management incentive in order to align with shareholders objective to maximize value of the firm.

INTEGRATION OF SOUTHEAST ASIAN STOCK MARKETS WITH THE WORLD STOCK MARKET: APPLICATION OF INTERNATIONAL ASSET PRICING MODEL Muhammad Sofian Maksar; Kusdhianto Setiawan; Al Asy Ari Adnan Hakim
Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT) Vol 13 No 1 (2022): Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT)
Publisher : Sekolah Tinggi Ilmu Ekonomi Totalwin

This study aims to determine the integration level of Southeast Asian stock market with the world stock market using an international capital asset pricing model. The countries that were sampled in this study were Indonesia, Malaysia, Philippines, Singapore and Thailand. The sample period starts from January 2000 until August 2016. This study uses an partially-segmented international capital asset pricing model by including the assumption of residual that were correlated between asset pricing equations. Because of this assumption, the seemingly unrelated regression (SUR) estimation method is more appropriately compared to the ordinary least square (OLS) method. The results of this study indicate that the integration level of Southeast Asian stock market varies. The Singapore and Thailand stock markets are fully integrated with the world stock market, the Indonesian and Malaysian stock markets are partially integrated with the world stock market, while the Philippine stock market is segmented with the world stock market. This finding shows the difference in the effectiveness of the stock market liberalization process in Southeast Asia

The Relationship between Asia Pacific Markets during the Financial Crisis: VAR-Granger Causality Analysis Hayun Kusumah; Marwan Asri; Kusdhianto Setiawan; Bowo Setiyono
Journal of Indonesian Economy and Business Vol 37 No 2 (2022): May
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Introduction/Main Objectives: This study investigates the relationships between equity markets during the Asian financial crisis and the subprime mortgage crisis in Asia-Pacific. Background Problems: The advantages of market integration are under scrutiny in the midst of global financial crises, which have many implications for international asset pricing and regulators to develop strategies to protect economies. During the crises, the equity markets responded with different patterns, and it is important to understand in more detail the market relations during each crisis, especially for the less and more integrated markets. Novelty: We provide in-depth analysis to compare the market relationships during two extremely different financial crises originating from less integrated markets (i.e., emerging ones) and more integrated markets (i.e., developed ones), based on the prices which give a direct measurement and clear interpretation. This research provides a significant contribution by showing new findings in the form of a comparison of market relations during two extremely different crises in the Asia-Pacific region. Research Methods: This study employs time-series data from economic territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification and the United States. We conducted analysis using the vector autoregressive, Granger causality test, and impulse response, to point out the market relationships during the crises or turmoil periods. Finding/Results: The results show that the Asian financial crisis affected the emerging markets more and this indicates the unidirectional causality relationships among them. Meanwhile, the subprime mortgage crisis affected all the markets, but more indicated the bidirectional relationships, especially the developed markets. Conclusion: Although these two financial crises were global in nature, the effects on the region were different. The origin of the shock and the level of market integration affected the market relationships differently during the crises.

Title

Found 10 Documents
Search

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Title Search

Found 10 Documents Search

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Title

Found 10 Documents
Search