Government Bond Yield Volatility and It’s Determinants: The Case of Indonesia Government Bond

This research is conducted from gaps of research findings regarding factors influencing government bond yield. The aim of this research is to develop a model of government bond yield determinants and to test hypothesis about the effect of inflation, foreign reserves, local interest rate, stock market return, exchange rate, foreign interest rate, world oil prices, real sector performance, and conditional variances on government bond yield. Time series process and multifactor models are employed. The model combines two approaches called Multifactor EGARCH-M Model. The population is Indonesian government bond, denominating in IDR and has a fixed coupon rate. The sample selected is five years tenor bond. The findings are: (1) Indonesia’s government bond yield has volatility clustering as measured by GARCH process; (2) based on adjusted R2, logL, Akaike Information Criterion (AIC) and Schwarz Criterion (SC), Multifactor EGARCH-M Model is the best model among six models developed; (3) as a proxy of market risk and default risk, GARCH-M has the biggest effect on its yield followed by non gold reserve; (4) the other variables having influences on government bond yields are: local interest rate, stock market return, exchange rate, foreign interest of rate, and world oil price. Inflation and real sector performance have no effect on government bond yields

COST EFFICIENCY LEVEL OF ISLAMIC BANKS IN INDONESIA: A STOCHASTIC FRONTIER ANALYSIS Study on Indonesian Islamic Banks (Islamic Commercial Bank and Islamic Windows) during 2011-2014 Period

This research aims to compare and analyze on the cost efficiency level of Islamic Commercial Bank (ICB) and Islamic Windows (IW) in Indonesia. Another purpose is to find out whether the Islamic Banks are ready to face the application of ASEAN Economic Community (AEC) based on the result of efficiency analysis. This research is conducted on eleven samples in total, which consist of seven ICB and four IW. This research employs Stochastic Frontier Analysis (SFA) with cost function to measure the efficiency. Asset approach is selected as the approach to determine the input and output variables. The input variables used in this research are cost of profit/loss sharing and cost of labor, whereas the output variables selected are total financing channeled by Islamic banks in the sample and securities owned by them. Analysis of Variance (ANOVA) is employed to find out the difference between the efficiency level of ICB and IW. The result of analysis by SFA shows that in average Indonesian Islamic Banks has achieved the efficiency level at 0.652188318 or 65.22% within the year of 2011 to 2014. It indicates that the Islamic banks in Indonesia have not yet achieved the cost efficiency in generating outputs using inputs available. In other words, Indonesian Islamic banks have to improve the performance in order to increase competitive advantage to face the application of AEC. Another finding reveals that Islamic Commercial Banks tend to be more efficient compared to Islamic Windows. Based on the result of regression on panel data to test the effect of input and output variables on total cost, the variables that have positive and significant impact on total cost are total financing, cost of profit/loss sharing, and cost of labor. Meanwhile owned securities have negative insignificant effect on total cost. The ANOVA result reveals that there is no significant difference between the efficiency level of Islamic Commercial Banks and Islamic Windows

ANALISIS REAKSI PASAR MODAL TERHADAP PENGUMUMAN INVESTASI TEKNOLOGI INFORMASI: STUDI KASUS PADA PERUSAHAAN YANG LISTING DI BEJ PERIODE 2002-2005

Dengan menggunakan metodelogi event study. penelitian ini menganalisis dampak pengumwnan investasi teknologi informasi terhadap reaksi pasar modal yang ditunjukkan oleh abnormal return saham, pada 52 perusahaan di bidang komunikasi, manufaktur dan keuangan yang melakukan publikasi pengumuman investasi teknologi informasi selama periode 2002-2005. Pengujian secara simultan dilakukan untuk mengetahui ada tidaknya perbedaan rata-rata abnormal return terhadap kelompok industri yang berbeda dan klasifikasi jenis investasi yang ditanamkan, apakah ivestasi Tl tersebut inovatif non inovatif atau unclassified. Kesimpulan yang didapat, bahwa pengumuman investasi TI untuk keseluruan sampel maupun tiap-tiap ketegori yang diuji, tidak terdapat perbedaan rata-rata abnormal return disekitar hari pengumuman. Hal ini disebabkan pengumuman investasi TI tersebut tidak mempunyai kandungan informasi, sehingga investor menganggap informasi tersebut sebagai bad news dan merupakan suatu sinyal yang tidak menguntungkan untuk mengambil keputusan investasi. Hal ini mengindikasikan bahwa pelaku pasar modal memiliki perilaku yang sama dalam menyikapi adanya pengumuman investasi Tl yang dipublikasikan oleh perusahaan. Bagaimanpun, reaksi pasar terhadap pengumuman investasi Tl tergantungpada sejumlahfaktor, karakteristik industri.jenis investasi, waktu investasi, sumber daya organisasi dan strategi perusahaan merupakan sebagian faktor yang dipertimbangkan dalam menilai investasi TI. Akan tetapi terdapat banyak return yang sifatnya intangible benefit yang diperoleh perusahaan dengan penggunaan teknologi informasi, seperti sistem informasi bagi manajemen secara tepat waktu, meningkatkan kualitas produk, meningkatkan pelayanan pelanggan, meningkatkan komunikasi dalam organisasi, memperoleh keunggulan kompetitif, dan perbaikan kerja bagi karyawan. Karena pada saat implementasi dan orang bisnis mu/ai memahami, maka semakin banyak peminat dari bisnis untuk mengembangkan TI

Interdependency of Investment and Financing with Financial Constrains: Evidence from Emerging Market Economies

Aim: This study aims to investigate the sensitivity level of liquidity and leverage to investment decision between non-financially and financially constrained firms at low and high investment firm. Materials and Methods: The sample includes sharia firms listed in Indonesia Stock Exchange in the period of 2011 to 2015 and 96 firms are selected as sample with 480 observations for data collection. Results: The results reveal that liquidity and leverage have a positive influence to investment decision of all sampled firms, and also firms with low and high investment value. Liquidity is more sensitive to investment decision for financially constrained firms and for firms with low investment value. Leverage is more sensitive to investment decision for non-financially constrained firms with high investment value. Conclusion: This study concludes that there is a close interdependency between investment decision and financing decision