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Journal : Jurnal Ekonomi dan Bisnis

Month of the Year Effect pada Pasar Obligasi di Indonesia Robiyanto, Robiyanto
Jurnal Ekonomi dan Bisnis Vol 20 No 2 (2017)
Publisher : Fakultas Ekonomika dan Bisnis Universitas Kristen Satya Wacana

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (313.398 KB) | DOI: 10.24914/jeb.v20i2.1093

Abstract

This study examines the month-of-the-year effect on the bond returns in Indonesia. I use the monthly closing price index (Indonesia Bond Indexes / INDOBeX) data for the periods of July 2003-July 2017 from Bloomberg. I then run the Generalize Autoregressive Conditional Heteroscedasticity (GARCH) analysis technique to analyze the data because the residuals exhibit a significant pattern of Autoregressive Conditional Heteroscedasticity (ARCH). The results show that only the month of July has a significantly positive effect on the bond returns; indicating that there is the month-of-the-year effect in the Indonesian bond market. Further, these also imply that the Indonesian bond market does not exhibit a random walk pattern and consequently they are inefficient in the weak form.AbstrakPenelitian ini menguji pengaruh bulan-bulan perdagangan (month of the year) terhadap return obligasi di Indonesia. Data yang dipergunakan dalam penelitian ini adalah data indeks harga obligasi (Indonesia Bond Indexes / INDOBeX) penutupan bulanan selama periode Juli 2003 hingga Juli 2017 yang diperoleh dari Bloomberg. Analisis data dilakukan dengan menggunakan teknik analisis Generalize Autoregressive Conditional Heteroscedasticity (GARCH) karena pola residual yang dihasilkan menunjukkan adanya pola Autoregressive Conditional Heteroscedasticity (ARCH) yang signifikan. Hasil penelitian ini menunjukan bahwa bulan Juli memiliki pengaruh positif yang signifikan terhadap return obligasi di Indonesia. Sementara bulan-bulan lainnya tidak memiliki pengaruh terhadap return obligasi di Indonesia. Hasil ini menunjukkan bahwa terjadi month of the year effect di pasar obligasi di Indonesia. Temuan ini memiliki implikasi bahwa pasar obligasi di Indonesia tidak berjalan acak (random walk) sehingga tidak efisien dalam bentuk lemah.
MONTH OF THE YEAR EFFECT PADA BEBERAPA PASAR MODAL DI ASIA TENGGARA DAN PASAR KOMODITAS Robiyanto, Robiyanto
Jurnal Ekonomi dan Bisnis Vol 18 No 2 (2015)
Publisher : Fakultas Ekonomika dan Bisnis Universitas Kristen Satya Wacana

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (154.369 KB) | DOI: 10.24914/jeb.v18i2.260

Abstract

One of prominent phenomenon in capital market is month of the year effect which is the occurence of certain monthly pattern in capital market return during trading years. There were enormous researches, which had been done to explain this phenomenon in capital market but the results always varied. Unfortunately there was a few research to explain this phenomenon in commodities market. Based on these facts, research about this seasonality still need to be done both in capital market and commodities market. Data used in this study were several South East Asia monthly closing stock market indexes and several commodity product monthly closing prices such as gold, silver, platinum, paladium and West Texas Intermediate Crude Oil during January 1999 ? March 2014 period. GARCH (1,1) was employed to analyze the data. The finding shows that month of the year effect still exist in capital market in South East Asia and commodity market during research period with various occurences. Each capital market and commodity market behaves variously during trading year. This may lead to an opportunity, which can be grabbed by active market switching strategy for sophisticated investors, and investors who have multiple access to regional capital markets and commodity markets.
STRUKTUR MODAL, PROFITABILITAS, DAN NILAI PERUSAHAAN: EFEK MODERASI GOOD CORPORATE GOVERNANCE Noviani, Afi Virna; Atahau, Apriani Dorkas Rambu; Robiyanto, Robiyanto
Jurnal Ekonomi dan Bisnis Vol 22 No 2 (2019)
Publisher : Fakultas Ekonomika dan Bisnis Universitas Kristen Satya Wacana

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (693.547 KB) | DOI: 10.24914/jeb.v22i2.2601

Abstract

The research aims to investigate the effects of capital structure and profitability on firm value with Good Corporate Governance (GCG) as its moderating variable. This study uses annual financial report data obtained from 27 companies listed in the Index Business 27 for years 2014-2016. Data collection techniques using purpose sampling method with a sample of 23 companies. Analysis of this study using with STATA 11 program. The results show that the capital structure does not significantly affect the value of the company with Good Corporate Governance as a moderating variable, while profitability significantly influences the value of the company with GCG as its moderating variable.