Indonesian Stock Market Volatility: GARCH Model

Endri, Endri; Abidin, Zaenal; Simanjuntak, Torang P.; Nurhayati, Immas

doi:10.14254/1800-5845/2020.16-2.1

Cited by 43 publications

(41 citation statements)

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“…Other researches, such as Pinjaman & Aralas (2015) and Kalu & Okwuchukwu (2014) also approved that exchange rate and stock volatility have positive relations. Additionally, Endri, Abidin, Simanjuntak, & Nurhayati (2020) analyzed macroeconomic variables, international stock exchanges, and JCI volatility from January 2012 through December 2018 using GARCH method and found that exchange rate also positively and significantly affected JCI volatility.…”

Section: Discussionmentioning

confidence: 99%

Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

Nugroho

Robiyanto²

2021

J. Keuang. dan Perbank.

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Section: Discussionmentioning

confidence: 99%

Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

Nugroho

Robiyanto²

2021

J. Keuang. dan Perbank.

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“…Average excess return volatility is measured by the SD of excess returns [14]. The Sharpe ratio terms are stated below: where R i = Stock return i; S = Sharpe ratio; R f = Risk-free rate;…”

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confidence: 99%

Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation

Nurhayati

Endri

Aminda

et al. 2021

Journal of Open Innovation: Technology, Market, and Complexity

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This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, and average risk-free rate return (BI rate). By using Jensen’s Alpha, this study found that FREN was the highest beta with a value of 1.8189, indicating that the index was an effective and well-diversified stock. FREN is low priced and the highest market capitalization stock in its tick size (third tier stocks). Jensen’s Alpha is good for measuring the performance of large capitalization and low-priced stocks. There are eight stocks that always have negative values in each method of measuring stock performance, which indicates that these stocks underperformed during COVID-19.

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“…Conversely, if interest rates increase, this can make companies reconsider using debt because interest costs will be even greater. The research was done by Endri et al (2020a), Riaz et al (2014), andChadegani et al (2011) concluded that the interest rate has a negatively significant impact on corporate debt policy. Mokhova and Zinecker (2014) found an opposite relationship between interest rates and capital structure, both long and short term.…”

Section: Interest Rate and Leveragementioning

confidence: 99%

Oil Price and Leverage for Mining Sector Companies in Indonesia

Endri

Supeni²,

Budiasih³

et al. 2021

IJEEP

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The research was conducted to prove empirically the impact of oil prices, interest rates, profitability, company size, and liquidity on leverage in mining sector companies in Indonesia. The study population was 47 companies in the mining sector, using the purposive sampling method, the research sample was selected as many as 32 companies in a period of 5 years from 2014 to 2018 so that 160 observations were obtained. The data analysis method used a random-effects model selected from panel data regression. The empirical findings show that profitability, liquidity, world oil prices, and interest rates have a negative effect on leverage, while firm size has no impact. The empirical findings of this study can help the mining sector industry in Indonesia in making decisions about corporate debt policies that are significantly influenced by oil prices, profitability, liquidity, and interest rates to create optimal debt policies.

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Indonesian Stock Market Volatility: GARCH Model

Cited by 43 publications

References 0 publications

Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation

Oil Price and Leverage for Mining Sector Companies in Indonesia

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