THE GRANGER CAUSALITY TESTS FOR THE FIVE ASEAN COUNTRIES STOCK MARKETS AND MACROECONOMIC VARIABLES DURING AND POST THE 1997 ASIAN FINANCIAL CRISIS

This study seeks to examine the existence of Granger-causality among stock prices indices and macroeconomic variables in five ASEAN countries, Indonesia; Malaysia; the Philippines; Singapore; and Thailand with particular attention to the 1997 Asian financial crisis and period onwards. Using monthly time series data of the countries, a Granger-causality test based on the vector autoregressive (VAR) analytical framework was employed to empirically reveal the causality among the variables. This research finds that there were few Granger causalities found between the country's wtock price index and macroeconomic variables. This indicates that the linkages between domestic stock price movements and macroeconomic factors were very. Due to that, the ASEAN stock markets were crelatively unable to efficiently capture changes in economic fundamentals during the observation period in most of the countries in accordance to the literature in emerging stock markets, and that the influence of specific macroeconomic factors on the domestic economies differ across countries. This also implies that the stock markets do not seem to have played a significant role in most countries' economies, and macroeconomic variables are unlikely to be appropriate indicators to predict not only the future behaviour of other macroeconomic variables, but also that of the stock market price indices. Abstract in Bahasa Indonesia : Makalah ini mencoba untuk menganalisis keberadaan Granger-causality antara indeks harga saham dan variabel-variabel ekonomi makro di lima negara ASEAN, yaitu Indonesia; Malaysia; Filipina; Singapore; dan Thailand yang berfokus pada periode terjadinya krisis keuangan Asia pada tahun 1997 dan sesudahnya. Dengan mempergunakan data time series bulanan dari setiap negara tersebut, tes Granger-causality yang didasarkan pada kerangka analisa VAR (vector autoregressive) diaplikasikan untuk mengungkap secara empiris hubungan kausal antar variabel. Dari hasil tes diketahui bahwa hanya terdapat sejumlah kecil Granger-causality antara indeks harga saham dan variabel-variabel ekonomi makro. Hal ini mengindikasikan sangat lemahnya kaitan antara pergerakan indeks harga saham di dalam negeri dengan variabel-variabel ekonomi makro dikarenakan bahwa pasar modal di negara-negara ASEAN relatif tidak mampu secara efisien menangkap informasi perubahan besaran-besaran ekonomi makro domestik. Dan, bahwa pengaruh dari variabel-variabel ekonomi makro tertentu dalam perekonomian domestik ternyata berbeda di tiap negara. Hal tersebut mengimplikasikan bahwa bursa saham ASEAN nampaknya tidak berperan penting dalam perekonomian domestik, dan bahwa variabel-variabel ekonomi makro negara-negara tersebut nampaknya tidak dapat dipakai sebagai indikator yang baik untuk memprediksikan bukan saja terhadap perilaku variabel-variabel ekonomi makro lainnya, tetapi juga perilaku indeks harga saham di masa yang akan datang. Kata kunci: Granger-causality, krisis keuangan Asia, bursa saham, variable ekonomi makro, VAR

Pengaruh Pengumuman Dividen Terhadap Perubahan Harga Saham Sebelum dan Sesudah Ex-Dividend Date di Bursa Efek Jakarta (BEJ)

Penelitian ini bertujuan untuk menganalisis pengaruh ex-dividen date terhadap perubahan harga saham di Bursa Efek Jakarta. Periode penelitian selama 30 hari, yaitu 15 hari sebelum dan 15 hari sesudah ex-dividend date yang dianalisa dengan menggunakan metode event study melalui aplikasi uji beda dua rata-rata berpasangan. Hasil penelitian menunjukkan bahwa nilai rata-rata harga saham sebelum ex-dividend date dan nilai rata-rata harga saham sesudah ex-dividend date secara statistik berbeda signifikan. Hal ini mengindikasikan, bahwa terjadi pergerakan harga saham yang signifikan selama antara dua periode observasi tersebut akibat pengumuman pembagian dividen. Lebih lanjut, besarnya perubahan harga saham tersebut secara statistik tidak berbeda dengan nilai dividen per lembar saham yang dibagikan

Foreign Capital Growth and Economic Growth: A Case Study of ASEAN Countries

This study aims to examine the effect of foreign direct investment and external debt growth on ASEAN-6 countries’ economic growth during the period of 2011-2019 based on neoclassical growth theory. The panel data regression is used to analyze the countries’ data. The results indicate that the growth of foreign direct investment does not significantly affect the countries’ economic growth, while external debt does

WHAT CAN WE LEARN FROM TRAIT THEORIES AND CHARISMATIC-TRANSFORMATIONAL LEADERSHIP?: A NOTE TO DEVELOP PERSONAL CAREER STRATEGIES

This study examines how personal strategies for career advancement and leadership skills can be developed by drawing a red line from the trait theories of leadership and charismatic-transformational leadership. Shackleton's experience will provide an important example and reinforce those two theories which suggest that no leadership theories can be applied in isolation and that directly or indirectly, those theories will be manifested in a successful leader. Some challenges to the future leadership are examined in order to develop some personal career strategies that may be applicable for future careers. Five strategies (personal vision, personal development, mentoring, team building, and learning and change) of future leadership career are finally suggested. The first two strategies deal with the development of personal leadership started by setting a personal mission which inspires the development of personal leadership qualities. The next two strategies, mentoring and team-building are intended to incorporate the personal leadership into an organisational setting and make the leadership meaningful for other people. Finally, it can be inferred that those four strategies are not sufficient in a turbulent and dynamic environment and thus the last strategy is required to enhance the leaders' ability to stimulate learning and change in the organisation. Abstract in Bahasa Indonesia : Studi ini bertujuan untuk mengetahui secara mendalam tentang bagaimanakah strategi-strategi untuk meningkatkan karir dan kemampuan kepemimpinan seorang individu dapat dibangun dengan berfokus pada teori kepemimpinan trait dan teori kepemimpinan transformasi karismatik. Pengalaman Shackleton akan menjadi contoh yang penting dan menguatkan, bahwa tidak satupun dari kedua teori kepemimpinan tersebut dapat diaplikasikan didalam suatu keadaan yang terisolasi, dan bahwa kedua teori tersebut, baik secara langsung maupun tidak, akan termanifestasikan dalam diri seorang pemimpin yang sukses. Berbagai tantangan terhadap kepemimpinan di masa mendatang juga dibahas dengan tujuan untuk merumuskan beberapa strategi karir perorangan yang mungkin dapat diaplikasikan untuk pencapaian karir seseorang di kemudian hari. Terdapat lima strategi karir yang disarankan yaitu visi pribadi, pengembangan pribadi, mentoring, pembentukan team, dan pembelajaran dan perubahan. Dua strategi pertama berkaitan dengan pembangunan kepemimpinan pribadi yang didahului dengan penetapan misi pribadi yang mengilhami pembentukan kualitas kepemimpinan seseorang. Dua strategi selanjutnya ditujukan untuk mengintegrasikan kepemimpinan pribadi ke dalam sebuah kerangka organisasi dan membuat kepemimpinan tersebut berdampak bagi orang lain. Akan tetapi, keempat strategi tersebut tidak cukup mampu untuk diterapkan dalam suatu situasi yang tidak menentu dan dalam lingkungan yang selalu berubah secara dinamis, sehingga diperlukan strategi kelima untuk meningkatkan kemampuan para pemimpin dalam merangsang atau memotivasi minat belajar dan perubahan dalam organisasi. Kata Kunci: kepemimpinan, teori kepemimpinan trait, kepemimpinan transformasi karismatik

PASAR MODAL REGIONAL DALAM MASA KRISIS FINANSIAL 1997 DAN 2007: KAJIAN TERHADAP INTERDEPENDENSI BURSA EFEK ASIA TENGGARA

The devastating effect of the two world finansial crises had widely influenced not only on developed capital markets but also emerging ones, including the ASEAN regional markets. The crises have been commonly believed to have significant impact on the changing behaviour of the regional indices movements. This study investigates how the crises have affected the interrelation of stock indices’ movements amongst the five South East Asian countries. The multivariate time series analysis frameworks applied on series of the two sub-sample periods reveals the existing of a cointegrating relationship among the stock markets during the 1997 finansial crisis, but none of cointegrating vector to be found on the series of the 2007 crisis. The short run dynamic analyses conclude that the short run interrelation among the regional indices seems to be more intense during the 2007 finansial crisis period. For the latest period of crisis, the number of significant causal linkages between two variables on the series was greater than the other period. The analyses also show that the explanatory power of an endogenous variable to another in the system increased during the latest crisis, implying that the contagious effect of the crisis had increased the short run interdependence of the regional stock markets

What Can We Learn from Trait Theories and Charismatic Transformational Leadership?: A Note to Develop Personal Carrier Strategies

This study examines how personal strategies for career advancement and leadership skills can be developed by drawing a red line from the trait theories of leadership and charismatic-transformational leadership. Shackleton�s experience will provide an important example and reinforce those two theories which suggest that no leadership theories can be applied in isolation and that directly or indirectly, those theories will be manifested in a successful leader. Some challenges to the future leadership are examined in order to develop some personal career strategies that may be applicable for future careers. Five strategies (personal vision, personal development, mentoring, team building, and learning and change) of future leadership career are finally suggested. The first two strategies deal with the development of personal leadership started by setting a personal mission which inspires the development of personal leadership qualities. The next two strategies, mentoring and team-building are intended to incorporate the personal leadership into an organisational setting and make the leadership meaningful for other people. Finally, it can be inferred that those four strategies are not sufficient in a turbulent and dynamic environment and thus the last strategy is required to enhance the leaders� ability to stimulate learning and change in the organisation

Market Integration and Financial Crisis: New Evidence from Asian Pacific Markets

We investigated the stock market integration among national equity indices in eight countries from the period of 1995 to 2009, which was then clustered into four sub-sample periods. The multivariate time series analyses were employed to observe the degree and the existence of the integration. We found a cointegrating vector in each of three sub-sample periods. Interestingly, in the 1997 financial crisis, we found that there was no indication of cointegration relationship among the equity indices. The results of block causality tests and the accounting innovation analysis indicate that the short run dynamic interactions among the stock indices became more intense during the current financial crisis, and that the U.S. stock market played dominant role in the regional market

The influence of real interest rates, inflation, exchange rates and GDP on stock return in the property sector

Stocks are one of the investment products in financial markets that need to be understood in terms of risk and return, where changes in stock returns can be influenced by external and internal factors. This study aims to determine the significant effect of real interest rates, inflation, exchange rates, and gross domestic product on property sector stock returns on the Indonesia Stock Exchange (IDX) in the 2012-2019 period. This period shows a fluctuating property market cycle due to changes in external factors, namely the economy and politics in Indonesia. Public companies in the property and real estate sector are listed on the IDX, with a total of 67 companies selected with certain criteria; 26 companies were selected. Secondary data obtained from the World Bank and Bank Indonesia were tested using panel data regression. The test results show that real interest rates, inflation, and exchange rates have a significant effect on stock returns, but the gross domestic product has no significant effect. This research proves the importance of the governments role in maintaining the economic and political stability of a country so that investors are interested in investing in the stock market. Contributions from the property and real estate sector in driving the economy from upstream to downstream also need government support regarding regulations and taxation

The Effect of Firm-Characteristics and Corporate Governance on Corporate Social Responsibility and Future Firm Performance

This study aims to determine firm-specific characteristics (profitability, leverage, and size) and corporate governance (board size, board independence, women board of directors, and audit committees) affect the performance of Corporate Social Responsibility (CSR) and the effect of CSR performance on the future performance firms in the next 1-3 periods by mining sector companies listed on the Indonesia Stock Exchange in 2008-2017. The method used is Ordinary Least Square (OLS) regression with the type of panel data. The findings of this study that profitability, size, board size, board independence, and women of board are not related to CSR performance in mining companies. However, leverage and audit committees affect CSR performance in mining companies. CSR performance affects future firm performance during the 1st period after the CSR performance of mining companies. This study provides new knowledge and contributes to further research regarding factors that affect CSR performance and CSR performance can provide company performance in the next periods. These results can encourage companies to disclose CSR performance because there seems to be a positive influence on future performanc

PERGERAKAN HARGA RUMAH DI INDONESIA: ANALISIS SISI PERMINTAAN

Penelitian ini mengobservasi pengaruh variabel-variabel permintaan seperti pendapatan masyarakat, jumlah pembeli, harga apartemen, ekspektasi harga rumah, dan juga suku bunga KPR terhadap harga rumah residensial di Indonesia pada periode 2012 hingga 2018. Hasil penelitian menunjukkan bahwa suku bunga KPR, pendapatan masyarakat dan ekspektasi harga rumah berpengaruh negatif terhadap harga properti residensial, sedangkan bertambahnya jumlah pembeli meningkatkan harga rumah residensial