Search results
1 – 5 of 5Rangga Handika and Dony Abdul Chalid
This paper aims to investigate whether the best statistical model also corresponds to the best empirical performance in the volatility modeling of financialized commodity markets.
Abstract
Purpose
This paper aims to investigate whether the best statistical model also corresponds to the best empirical performance in the volatility modeling of financialized commodity markets.
Design/methodology/approach
The authors use various p and q values in Value-at-Risk (VaR) GARCH(p, q) estimation and perform backtesting at different confidence levels, different out-of-sample periods and different data frequencies for eight financialized commodities.
Findings
They find that the best fitted GARCH(p,q) model tends to generate the best empirical performance for most financialized commodities. Their findings are consistent at different confidence levels and different out-of-sample periods. However, the strong results occur for both daily and weekly returns series. They obtain weak results for the monthly series.
Research limitations/implications
Their research method is limited to the GARCH(p,q) model and the eight discussed financialized commodities.
Practical implications
They conclude that they should continue to rely on the log-likelihood statistical criteria for choosing a GARCH(p,q) model in financialized commodity markets for daily and weekly forecasting horizons.
Social implications
The log-likelihood statistical criterion has strong predictive power in GARCH high-frequency data series (daily and weekly). This finding justifies the importance of using statistical criterion in financial market modeling.
Originality/value
First, this paper investigates whether the best statistical model corresponds to the best empirical performance. Second, this paper provides an indirect test for evaluating the accuracy of volatility modeling by using the VaR approach.
Details
Keywords
Wendy Kesuma, Irwan Adi Ekaputra and Dony Abdul Chalid
This paper investigates whether individual investors are attentive to stock splits and whether higher split ratios (stronger private information signals) reduce the disposition…
Abstract
Purpose
This paper investigates whether individual investors are attentive to stock splits and whether higher split ratios (stronger private information signals) reduce the disposition effect.
Design/methodology/approach
This study employs stock split events and transaction data in the Indonesia Stock Exchange (IDX) from January 2004 to December 2017. The authors measure individual investors' attention using buy-initiated trades. To test the effect of split signal on disposition effect, the authors regress individual investors' sell-initiated trades on past stock returns.
Findings
Unlike Birru (2015), the authors find that individual investors are attentive to stock splits, especially when stock split ratios are high. In turn, stock splits tend to weaken the disposition effect. The higher the stock split ratios, the weaker the disposition effect.
Research limitations/implications
This study has a limitation in that the authors exclude all stock splits with dividend events around the split date. These stock splits cover 37% of all splits in Indonesia.
Practical implications
Practically, individual investors should look for stock-related information to reduce disposition bias.
Originality/value
To the best of authors’ knowledge, this study is the first to test individual investors' attention on stock splits based on their buy-initiated trades. This study is also the first to test the impact of stock split ratios on the disposition effect reduction. This study's findings enrich the scant literature on individual investors' attention and how to reduce their disposition effect bias.
Details
Keywords
Permata Wulandari, Liyu Adhi Kasari Sulung, Elevita Yuliati, Dony Abdul Chalid and Salina Kassim
This paper aims to examine a range of factors that may influence the intention of ultra-micro-SMEs in Indonesia in choosing the type of microfinance facilities in the case of…
Abstract
Purpose
This paper aims to examine a range of factors that may influence the intention of ultra-micro-SMEs in Indonesia in choosing the type of microfinance facilities in the case of getting better offerings.
Design/methodology/approach
Drawing from the theory of planned behavior (TPB) framework, religious elements factors include religious leader endorsements, religiosity and Sharia compliance, whereas socially/commercially driven factors include social and rational sociodemographic indicators. Data was obtained from 319 ultra-micro-SMEs in emerging economies such as Indonesia, and structural equation modeling was used to analyze the survey data.
Findings
The findings reveal that commercial aspects, as rational variables, have a negative influence on the intention to switch from Islamic to conventional microfinancing. On the contrary, social influence from peers and family positively influences the intention to switch from Islamic to conventional microfinancing. Religious aspects, however, have no influence on the intention to switch or actual switching behavior from Islamic to conventional. Intention to switch was shown to positively influence actual switching behavior as per the prediction of the TPB.
Originality/value
There is a lack of research on the choice or behavior of ultra-micro-SMEs when deciding whether to use Islamic or conventional microfinance. This study enriches the literature by providing empirical evidence on the factors affecting this choice-making.
Details
Keywords
Dony Abdul Chalid and Rangga Handika
This study aims to investigate the benefits of commodity hedging in the global stock index, bond and foreign currency (FX) portfolios.
Abstract
Purpose
This study aims to investigate the benefits of commodity hedging in the global stock index, bond and foreign currency (FX) portfolios.
Design/methodology/approach
The authors compare various hedging strategies and factor transaction costs. The authors analyze equally weighted, dynamic hedging ratio, risk parity and reward to risk timing strategies. Volatilities are estimated using historical, GARCH(1,1), and APARCH(1,1) methods. In addition, the authors evaluate the portfolio's hedging performance (HP) based on four different dimensions: volatility (annualized standard deviation), Sharpe ratio (SR), HP, and high-low ratio (HL).
Findings
The authors observe different benefits of the commodity hedging strategy among financial assets (stocks, bonds or FX).The authors find that commodity hedging in the stock markets is the best option, if the authors optimize the hedging ratio using dynamic hedging from historical data. The authors also document that for stock portfolio managers, adding commodities will generate a more conservative strategy, whereas for bond and/or FX portfolio managers, adding commodities will generate a more aggressive strategy.
Originality/value
This study contributes to the literature by investigating commodity hedging in the global stock index, bond and FX portfolios. First, the authors provide details on the diversification benefits in the commodities. Second, the authors document the hedging strategy that is the best as a part of the diversification strategy by adding commodities. Third, the authors provide a practical analysis by reporting the financial assets portfolio that is appropriate for commodity hedging following the portfolio managers' objectives (e.g. reducing risks or improving the risk-reward ratio).
Details
Keywords
Gita Gayatri, Yusniza Kamarulzaman, Tengku Ezni Balqiah, Dony Abdul Chalid, Anya Safira and Sri Rahayu Hijrah Hati
This study aims to examine the perceptions and evaluations of Muslim COVID-19 survivors and health workers regarding the halal, business and ethical attributes of hospitals during…
Abstract
Purpose
This study aims to examine the perceptions and evaluations of Muslim COVID-19 survivors and health workers regarding the halal, business and ethical attributes of hospitals during their interactions related to COVID-19 treatment.
Design/methodology/approach
Descriptive qualitative research with semi-structured online interviews was used to gather insights from COVID-19 survivors and health workers who treated COVID-19 patients. The findings were then compared with existing literature on hospital services and Sharia attributes.
Findings
The study found that patients and health-care workers in hospitals are concerned about whether the hospital follows Sharia law, the quality of health-care and hospital services and the ethical conduct of hospital staff. This is especially true during the COVID-19 pandemic, when patients are more anxious about religious conduct and the afterlife.
Research limitations/implications
Hospitals need to address halal attributes in all aspects of their services for Muslim patients and business attributes such as standard health-care quality, service quality and ethical attributes. Participants indicated that when these needs are met, they are more likely to revisit the hospital and recommend it to others.
Originality/value
This study contributes to understanding the expectations of Muslim patients regarding hospital services that meet Islamic ethical and business requirements. Using the COVID-19 pandemic as a case study broadens the understanding of how to better serve Muslim customers.
Details