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"Following the blueprint of the ASEAN integration 2015, the integration of the financial marketsin this region will increase. This study investigates the existence of a volatility spillover from the Singaporeanstock market into Indonesia, including its transmission pattern. Singapore, as an advancedcountry in the ASEAN region, has played an important role as the information leader in the market ofthis region, so that it is very possible that the shocks in the Singapore?s stock market will be transmittedto another stock market in this region. Using TGARCH (1,1) model specification regarding thedata of the daily return of the Indonesia market index (IHSG) for the period of January 2008 ? August2012, it is observed that the shock that took place in the Singapore stock market is immediately transmittedto the Indonesia stock market with two important asymmetric patterns. The transmission ofthe shock from the Singapore stock exchange becomes stronger when this market (1) experiences anegative return, and (2) is in the bearish phase."

"In this paper, we analyze the empirical relationship between stock return and trading volumebased on stock market cycles. Using daily data for Jakarta Composite Index (JCI) closing price andtrading volume from 2010 to 2014, we identify the bull and bear phases, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positivecontemporaneous return–volume relationship in both bull and bear markets, which is only significantin bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3)there exists a positive unidirectional causality from stock return to trading volume. Our research hastwo implications. First, in the bull market, overconfidence may grow with long-lasting past successand there is also momentum or positive feedback trading. Second, stock return is able to forecasttrading volume. In addition, our findings are robust for different sample period and data frequency."

"Ritter and Welch (2002) explain there are two types of IPO firms, namely higher quality firms and lower quality firms. This research propose the third type, namely bad IPO firms which manipulate and force IPO underpricing. Bad IPO firms are subset of lower quality IPO firms that force false signal as higher quality firms. The false signal was hidden by managing post-IPO trading. Trading management are indirectly funded by using balance sheet cash. Hypothesis testing with the empirical model 1 was to confirm the role of CashRatio as the moderating variable that interact DER to affect IPO underpricing which originally was not. The findings support the predictions that interactive variable DER*CashRatio affect IPO underpricing. A managed trading had a non negative profits constraint so that selective post-IPO trading was conducted to cause trading imbalance observable as skewed trading volume (Skewness). Subsequent tests with the empirical model 2 was to confirm the role of Skewness as the moderating variable that interact VolRatio to affect post-IPO stock return (RGM) which originally was not. The findings support the predictions that interactive variable LnVolRatio*Skew affect RGM. Both findings confirm this research predictions on the possibility of manipulated IPO trading in Indonesia IPO 2009-2012."

"The purpose of this research is to examine the influence of good corporate governance mechanismabout earnings management in companies listed in Indonesian Stock Exchange during 2006 to2010. The independent variables include the size of commissioner board, independent commissionerboard percentage, size of audit committee, and commissioner meeting frequency. The dependent variableis earnings management which is measured by discretionary revenue model (Stubben, 2010).Size of company is used as the control variable in this research. The population of this research is465 samples from companies listed at Indonesian Stock Exchange during 2006 to 2010. The samplingmethod used in this research is purposive sampling method. In addition, the data analysis methodused is regression analysis and descriptive statistics. The result of this research indicates that themechanism of good corporate governance which is represented by the size of commissioner board,independent commissioner board percentage, size of audit committee, and commissioner meeting frequencydo not have any significant impact on earnings management. However, the result shows thatcompany size gave positive influence toward earning management."

"Shari’ah stock market is also affected by many highly interrelated economic, social, political andother factor, same as the conventional stock market, the interaction between macroeconomic variablesand Shari’ah stock market creating volatility in the stock price as a response towards severalshocks. The sensitivity of Shari’ah stock market towards shocks happened related with the futureexpectation of micro and macro factor in one country which can be predict or unpredictable.There are six macroeconomic variables that used in this research; inflation, exchange rate, interestrate, dow jones index, crude oil palm price, and FED rate. Using vector error correction model(VECM), the result shows that domestic macroeconomic variables that significantly affect IndonesiaShari’ah compliance for long term, while for international macroeconomic variables the selectedvariable such as FED rate and Dow Jones Index are not significantly affected Indonesia Shari’ahcompliance both in short term and long term."

"In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies."

"Modeling the correlation of assets returns volatilities across different markets or segments of amarket has practical value for portfolio selection and diversification, market regulation, and riskmanagement. This paper therefore evaluates the nature of time-varying correlation between volatilitiesof stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-GeneralisedAutoregressive Conditional Heteroscedasticity (DCC-GARCH) model. Results from DCCGARCH(1,1) model show evidence of volatility clustering and persistence in Nigeria stock marketand crude oil returns. The results also show that there is no dynamic conditional correlation in ARCHeffects between stock market returns and crude oil prices in Nigeria. The results further show thatthere is strong evidence of time-varying volatility correlation between stock market and crude oilreturns volatility. The findings will help shape policy-making in risk management and market regulationin Nigeria."

"This research proposes a numerical approach in estimating the trend of behavior of this market. This approach is applied to a model that is inspired by catalytic chemical model, in terms of differential equations, on four composite indices, New York Stock Exchange, Hong Kong Hang Seng, Straits Times Index, and Jakarta Stock Exchange, as suggested by Caetano and Yoneyama (2011). The approach is used to minimize the difference of estimated indices based on the model with respect to the actual data set. The result shows that the estimation is able to capture the trend of behavior in stock market well."

"This article contributes to country specific result on the responses of sector stock indices to crudeoil price changes. Using linear and asymmetric models and by studying the association of crude oiland stock price, this article aims to explain about the short-term responses of Indonesian sector stockindices to crude oil price changes. Besides, we also try to figure out whether there are asymmetricresponses within. Our findings suggest that the strength and the sensitivity of this association varyacross sectors, and the effects are positive for all sectors. We also find strong significance of asymmetryreactions for Agriculture and Consumer Goods sector stock returns due to changes in crudeoil price."

"This paper empirically examines the effect of banks' revenue diversification on the stock-basedreturn and risk measures using data on the ASEAN-5, and addition from China, Japan, and SouthKorea banking sector. This paper use panel Fixed Effect and robustness test with Random Effect andTSLS. We use non-interest income share as a measure for revenue diversification. We find that revenuediversification has no effect on bank’s market value but significantly decrease bank total risks. Whennon-interest income is decomposed, we find that fee-income business has significant positive effect onbank value. Furthermore, it’s important to see characteristic of banks that practice diversification,such as bank size and capital. Overall, we provide evidence that banks, especially larger oneswithgood condition on capital, could increase their value and lower their risk by diversifying non-interestincome, especially with fee income as well as other types of non-interest income."