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"The primary objective of this study is to investigate the Indonesian LQ45 stock market's reaction to the second US interest rate hike in 2022, as well as the effect of the type of industry (financial or other industries) and the proportion of foreign ownership on the reaction. The event study test revealed that the LQ45 stock market reacted less negatively to the second US interest rate hike in 2022 compared to market expectations, leading to a positive abnormal return during the dates surrounding the event in general, consistent with the findings mentioned and documented in a previous study (Sumantri, A., Mardani, R.M., & Prioyono, R.A., 2022). Furthermore, the regression result shows that the negative returns for the financial sector will be lower than for others, thus leading to a less positive abnormal return for the financial sector, which corresponds to the findings of (Jiayi Kang, 2023) who concluded that higher interest rates could lead to higher interest rates in the interest rate market reducing loan demand, and money would also flow from the stock market to the bond market, dealing a huge blow to banking funds. This demonstrates that the type of industry while controlling for foreign ownership levels and debt to equity ratio has significant impact on stock market reaction and provides evidence regarding the performance of the financial industry. Finally, it has been demonstrated that the proportion of foreign ownership does not have any influence on the stock market reaction for all event windows in the length of observation, which is not consistent with the findings of (Jeongsim Kim, 2023).

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Tujuan utama dari penelitian ini adalah untuk menginvestigasi reaksi pasar saham LQ45 Indonesia terhadap kenaikan suku bunga AS yang kedua di tahun 2022, serta pengaruh jenis industri (industri keuangan atau industri lainnya) dan proporsi kepemilikan asing terhadap reaksi tersebut. Hasil pengujian studi peristiwa menunjukkan bahwa pasar saham LQ45 bereaksi lebih tidak negatif terhadap kenaikan suku bunga AS yang kedua di tahun 2022 dibandingkan dengan ekspektasi pasar, yang mengarah pada abnormal return yang positif pada tanggal-tanggal di sekitar peristiwa tersebut secara umum, konsisten dengan temuan yang disebutkan dan didokumentasikan pada penelitian sebelumnya (Sumantri, A., Mardani, R.M., & Prioyono, R.A., 2022). Lebih lanjut, hasil regresi menunjukkan bahwa return negatif untuk sektor keuangan akan lebih rendah dibandingkan dengan sektor lainnya, sehingga menyebabkan abnormal return yang kurang positif untuk sektor keuangan, yang sesuai dengan temuan (Jiayi Kang, 2023) yang menyimpulkan bahwa suku bunga yang lebih tinggi dapat menyebabkan suku bunga yang lebih tinggi di pasar suku bunga yang mengurangi permintaan kredit, dan uang juga akan mengalir dari pasar saham ke pasar obligasi, yang memberikan pukulan besar pada dana perbankan. Hal ini menunjukkan bahwa jenis industri memiliki dampak yang signifikan terhadap reaksi pasar saham dan memberikan bukti mengenai kinerja industri keuangan. Terakhir, telah telah didemonstrasikan bahwa proporsi kepemilikan asing tidak memiliki pengaruh terhadap reaksi pasar saham LQ45 untuk semua rentang waktu pengamatan, yang berarti tidak konsisten dengan temuan (Jeongsim Kim, 2023)."

"Penelitian ini bertujuan untuk menganalisis pengaruh kepemilikan asing perusahaan dan volume perdagangan saham perusahaan terhadap volatilitas return saham. Sampel yang digunakan untuk menguji variabel didapat dari 45 perusahaan yang terdaftar di Bursa Efek Indonesia. Penelitian ini menggunakan metode regresi linier berganda dengan data panel periode 2015 hingga 2021. Variabel yang diujikan dalam penelitian ini antara lain kepemilikan asing masing – masing perusahaan dan volume perdagangan saham sebagai variabel bebas, lalu volatilitas return saham sebagai variabel terikat. Dalam penelitian ini terdapat variabel kontrol, yaitu size, leverage, market-to-book, turnover. Hasil yang didapatkan adalah kepemilikan asing berpengaruh negatif signifikan terhadap volatilitas return saham dan volume perdagangan saham berpengaruh positif signifikan terhadap volatilitas return saham.

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This Study aims to analyze the effect of foreign ownership and stock trading volume on the stock return volatility. The sample used for testing the variables is from 45 companies on Indonesia Stock Market. This study uses multiple linear regression method with panel data for the period of 2015 to 2021. Variables tested are each company’s foreign ownership proportion and stock trading volume as independent variable, then stock return volatility as the dependent variable. There are control variables in this study which are size, leverage, market-to-book, and turnover. The result reached in this study are foreign ownership has significant negative effect on stock return volatility and stock trading volume has significant positive effect on stock return volatility."

"Penelitian ini bertujuan untuk memahami pengaruh skor ESG terhadap likuiditas saham dan pengaruh tidak langsung ESG terhadap likuiditas melalui mekanisme mediasi manajemen laba pada perusahaan yang tercatat di Bursa Efek Indonesia. Dengan menggunakan pendekatan regresi data panel, penelitian ini menganalisis sampel dari 33 perusahaan yang tercatat di Bursa Efek Indonesia periode 2018-2022. Proksi dari skor ESG adalah combined ESG score (ESG) yang didapatkan dari lembaga rating independen sebagai variabel independen. Selain itu, variabel independen lainnya adalah discretionary accruals yang digunakan sebagai pengukuran praktik manajemen laba yang dilakukan perusahaan. Hasil penelitian ini menunjukkan bahwa skor ESG berpengaruh positif signifikan terhadap likuiditas saham dan manajemen laba. Selain itu, ditemukan juga pengaruh signifikan tidak langsung skor ESG terhadap likuiditas saham melalui mekanisme mediasi manajemen laba.

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This study aims to understand the effect of ESG scores on stock liquidity and the indirect effect of ESG on liquidity through the mediation mechanism of earnings management in companies listed on the Indonesia Stock Exchange. Using a panel data regression approach, this study analyzes a sample of 33 companies listed on the Indonesia Stock Exchange for the period 2018-2022. The proxy for ESG score is the combined ESG score (ESG) obtained from an independent rating agency as an independent variable. In addition, another independent variable is discretionary accruals which are used as a measurement of earnings management practices carried out by the company. The results of this study indicate that ESG score has a significant positive effect on stock liquidity and earnings management. In addition, there is also a significant indirect effect of ESG scores on stock liquidity through the mediation mechanism of earnings management."

"Pandemi COVID-19 telah memicu berbagai tanggapan dari lingkungan ekonomi dan bisnis. Data pasar mengungkapkan korelasi negatif yang kuat antara pengumuman kasus pertama, pengumuman kasus pertama dan kematian pertama, dan setiap pengumuman kebijakan Pembatasan Sosial Berskala Besar (PSBB). Dalam jangka pendek, penelitian ini akan melihat bagaimana reaksi saham-saham penyusun IHSG terhadap kebijakan pemerintah, laju penyebaran COVID-19, dan laju kenaikan pasar modal dengan melihat signifikansi dari uji-t kumulatif abnormal return seluruh saham penyusun IHSG sebelum dan selama masa pandemi COVID-19. Temuan mengungkapkan bahwa setiap perubahan kebijakan PSBB berdampak pada return saham

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The COVID-19 pandemic has triggered a range of responses from the economics and business environment. The market data reveals a strong negative correlation between the first case announcement, the first case announcement and the first death, and every announcement of the Large-Scale Social Restrictions policy (PSBB). In the short term, this research will look at how the constituent stocks of the Indonesian Sharia stock index react to government policies, the rate of spread of COVID-19, and the rate of increase in the capital market by looking at the significance of the t-test of the cumulative abnormal return of all Indonesian Sharia stock index constituent stocks before and during the COVID-19 pandemic. The findings reveal that every change in PSBB policy has an impact on stock returns."

"Penelitian ini dilakukan dengan tujuan untuk menganalisis dan mengetahui hubungan dinamis jangka pendek (short-run relationship) dan jangka panjang (long-run relationship) antara nilai tukar dan indeks pasar saham terhadap FDI inflows selama periode 2003 hingga 2017 dengan menggunakan data kuartal. Metode yang digunakan dalam pengujian variabel adalah kausalitas Granger dan Vector Error Correction Model (VECM). Hasil penelitian didapatkan bahwa dari enam hubungan kausalitas yang terjadi pada tiga variabel yang diuji, hanya lima hubungan kausalitas yang signifikan. Hubungan kausalitas yang tidak ditemukan dalam penelitian ini adalah hubungan antara nilai tukar dengan pasar saham. Pada pengujian hubungan jangka pendek ditemukan hubungan negatif antara pasar saham dengan FDI inflows di negara Brazil. Selain itu, hubungan jangka panjang antara nilai tukar dan FDI inflows yang positif berada di negara China dan Afrika, sedangkan hubungan negatif berada di negara India. Hubungan positif jangka panjang antara pasar saham dan FDI inflows ditemukan di negara China dan hubungan negatif berada di Brazil, Rusia, India dan Afrika Selatan.

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The aim of this research to analyze and understand the dynamic short-run and long-run relationships between exchange rates and stock market index against FDI inflows during the period 2003 to 2017 using quarterly data. The methods used in this study are Granger causality and Vector Error Correction Model (VECM). The results showed that of the six causality relationships examed between Granger. The three variables have tested, only five relationships were significant. The relationship between exchange rates and stock market index was not significant. In the short-run relationship, there was found a negative relationship between stock market and FDI inflows in Brazil. In addition, a positive long-run relationships between exchange rates and FDI inflows can be found in China and South Africa, while negative relation can be seen in the case of Indian. The long-run positive relationships between stock market and FDI inflows was confirmed in China, while negative relations were found in Brazil, Russia, Indian and South Africa."

"[ABSTRAKPenelitian ini menyelidiki pengaruh kinerja dan risiko bank terhadap perubahanjumlah pinjaman antar bank, tingkat suku bunga pinjaman antar bank, serta imbalhasil saham bank.Sampel penelitian meliputi 6 bank anggota indeks LQ45 padaperiode per-kuartal 2010-2014.Metode regresi memakai regresi panel denganrandom effect dan pooled least squares. Hasil penelitian menunjukkan bahwakinerja dan risiko bank mempengaruhi tingkat suku bunga pinjaman antar bank,dan faktor biaya mempengaruhi tingkat imbal hasil saham bank.ABSTRACTThis research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return., This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research’s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank’s stock return.]"

"Penelitian ini bertujuan untuk menganalisis dinamika spillover atau limpahan volatilitas antara aset di pasar saham, pasar valuta asing, dan pasar komoditas di negara-negara ASEAN-5 (Indonesia, Singapura, Malaysia, Filipina, dan Thailand) selama periode 2018-2023. Dengan semakin terintegrasinya pasar keuangan global, penelitian ini mencoba memahami bagaimana shock di satu aset pasar dapat mempengaruhi aset pasar lainnya dalam kawasan ASEAN-5. Penelitian ini menggunakan model Vector Autoregression (VAR) untuk menganalisis hubungan antar aset-aset pasar, serta metode Forecast Error Variance Decomposition (FEVD) untuk mengevaluasi dampak dan kontribusi antar variable. Hasil penelitian menunjukkan bahwa dalam pasar modal, STI merupakan main transmitter sedangkan PSEi merupakan main receiver. Di sisi pasar valuta asing, Rupiah merupakan main transmitter dan Baht adalah main receiver. Pada pasar komoditas, sektor Energi merupakan main transmitter dan Logam Industri merupakan main receiver. Temuan ini penting bagi investor yang mencari diversifikasi portofolio, serta bagi regulator yang bertujuan menjaga stabilitas keuangan. Investor perlu memperhatikan dinamika lintas pasar ini untuk mengelola risiko dan memaksimalkan return portofolio mereka. Regulator juga dapat menggunakan informasi ini untuk memantau risiko yang dapat muncul akibat interaksi pasar-pasar tersebut.

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This study aims to analyze the dynamics of volatility spillovers between assets in the stock market, foreign exchange market, and commodity market in ASEAN-5 countries (Indonesia, Singapore, Malaysia, Philippines, and Thailand) over the period 2018-2023. With the increasing integration of global financial markets, this study attempts to understand how a shock in one asset market can affect other asset markets in the ASEAN-5 region. This study uses the Vector Autoregression (VAR) model to analyze the relationship between market assets, as well as the Forecast Error Variance Decomposition (FEVD) method to evaluate the impact and contribution between variables.The results show that in the capital market, STI is the main transmitter while PSEi is the main receiver. On the foreign exchange market side, Rupiah is the main transmitter and Baht is the main receiver. In the commodity market, the Energy sector is the main transmitter while Industrial Metals being the main receiver. These findings are important for investors seeking portfolio diversification, as well as for regulators aiming to maintain financial stability. Investors need to pay attention to these cross-market dynamics to manage risk and maximize their portfolio returns. Regulators can also use this information to monitor risks that could arise from the interaction of these markets."

"[ABSTRAKPenelitian ini membahas underreaction akibat bias konservatisme danoverreaction akibat representativeness heuristic terhadap informasi earningselama periode 2008-September 2014 pada Bursa Efek Indonesia. Metoda yangdigunakan adalah menguji strategi membeli saham dengan pertumbuhan EPStinggi dimasa lalu dan menjual saham dengan pertumbuhan EPS yang rendah ,untuk periode: 4, 8, 12 kuartal dengan masa kepemilikan 3,6, 9, 12 bulan.Hasilnya menunjukkan bahwa ke 12 strategi tersebut tidak menghasilkanabnormal return positif secara statistik, bahkan satu strategi menghasilkanabnormal return negatif yang signifikan, yang mengindikasikan adanyarepresentativeness heuristic.

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ABSTRACTThis study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic.;This study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic.;This study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic., This study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic.]"

"ABSTRAKAda insentif yang jelas bagi pelaku pasar untuk memanipulasi harga penutupan karena pentingnya harga penutupan, harga yang paling umum digunakan untuk berbagai tujuan. Dalam rangka memastikan pembentukan harga yang lebih efektif pada harga penutupan saham, pada tanggal 2 Januari 2013, Bursa Efek Indonesia BEI memperkenalkan metode call auction pre-closing pada sesi penutupan pasar saham. Tujuan penelitian ini adalah untuk mengetahui pengaruh implementasi tersebut terhadap eksistensi manipulasi harga penutupan dengan menggunakan data intraday.Analisis ini berfokus pada 4 bulan sebelum dan 4 bulan setelah diterapkannya pre-closing, yaitu dari bulan September 2012 sampai April 2013. Sampel representatif mencakup 37 saham yang masuk indeks LQ45 untuk keseluruhan periode, yang merupakan saham-saham dengan kapitalisasi pasar terbesar dan paling likuid. Dalam penelitian ini juga dibahas pola intraday yang diuji secara empiris baik sebelum dan sesudah penerapan pre-closing.Analisis data yang diperoleh menunjukkan bahwa 10 menit terakhir perdagangan adalah waktu perdagangan yang paling aktif sepanjang hari. Secara umum dibuktikan bahwa sebelum diterapkannya pre-closing, return 10 menit dari Indeks Harga Saham Gabungan IHSG dan sampel saham meningkat secara dramatis. Dengan tujuan untuk mengetahui apakah abnormal return tersebut terjadi akibat adanya manipulasi harga penutupan atau tidak, penelitian ini menggunakan pengujian model yang dikembangkan oleh Felixson dan Pelli 1999 . Hasil penelitian mengungkapkan adanya manipulasi harga penutupan di pasar saham Indonesia dan menunjukkan bahwa penerapan pre-closing telah mengurangi kemungkinan terjadinya manipulasi harga penutupan.

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ABSTRACTThere are obvious incentives for market participants to manipulate the closing price due to the significance of the closing price, the price that is most commonly used for many purposes. To ensure more effective price formation at closing price, on January 2, 2013, the Indonesia Stock Exchange IDX introduced a pre closing call auction method to close the stock market. The purpose of this paper is to investigate its effect on closing price manipulation using intraday data.The analysis focuses on 4 months before and 4 months after the introduction of pre closing, which is from September 2012 to April 2013. We use a representative sample which includes 37 stocks that composed the LQ45 stock index, the most liquid and largest market capitalization stocks, for the whole period. In this paper, we discuss some of the empirically observed intraday patterns both before and after the implementation of pre closing.Our data suggest that the last 10 minute of trading is the most active of the whole day. We document that before the introduction of pre closing, the 10 minute returns of both the IDX Composite Index IHSG and our sample stocks increased dramatically. To determine whether or not manipulation of closing prices exists, this study uses a test developed by Felixson and Pelli 1999 . Our results reveal the existence of closing price manipulation in Indonesia stock market and show that the implementation of pre closing has reduced closing price manipulation."

"Initial Public Offerings (IPO) is a process of offering share for the first time to society. There are two interested parties in IPO, they are company, who requiring fund, and investor, who investing fund. Therefore, long-term performance of share and company is important things to known. There are several objectives of this study. First, this study empirically examines initial return of share (the initial return period covers one day, its defined as the offering price to the first closing price). Second, this study empirically examines whether standard deviation return, underwriter reputation, percentage of total equity capital issued in an IPO and performance of market index influence initial return. Third, this study examines performance of share after listed at Jakarta stock exchange. Fourth, this study examines operating performance of company after IPO. Fifth, this study examines correlation between initial return and longterm performance of share. Sixth, this study examines correlation between initial return and operating performance of company.

This study calculates initial returns and market-adjusted initial returns. The mean of initial return and market-adjusted initial return over the 62 sample is 47.70% and 46.16% respectively. The result of this study support uncertainty investor hypothesis as plausible explanation for underpriced anomaly in Indonesia capital market. Cumulative abnormal return (CAR) and Buy and Hold Return (BHR) method are used to evaluate long-term of IPO. The average of Indonesia IPO (in 2000-2004) displays underperformance when BHR method used. In addition, there is no relation between initial return and long term performance (if CAR method used). However, there is relation between initial return and buy and hold return in 480, 600, 720 period. This study find operating underperformance of company after listed at Jakarta stock exchange. A significant decline found at Operating Return on asset variable and Operating profit margin. This study didn?t found correlation between initial return of share and operating performance of company after listed at Jakarta stock exchange."