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"Parallel market exchange rate has a very important role in the economy. The definition of Parallel market or Black market is buying or selling of products and commodities, or engaging in exchange of foreign currencies in violation of government restriction. The purpose of this illegal transaction is usually to avoid the tax government imposes on the transactions. The crucial thing parallel plays in the economy is that it influences both the domestic transaction, through which the domestic monetary system works, and the international transaction, which led to the inequilibrium of balance of payment. There are many causes which stimulate the emergence of demand and supply of parallel market foreign exchange. Widespread trade restrictions and foreign exchange controls have resulted in inefficient patterns of resource use and led to the emergence of parallel markets in goods and foreign currency in many developing countries. The evidence collected over the past few years has shown that current account restrictions (including import licences, foreign exchange allocations, and import deposit requirements) create incentives for illegal transactions, such as smuggling and fake invoicing, as well as capital flight and capital inflows via unofficial channel. This paper examines the implication of the existence of illegal trade transactions and parallel currency markets for short-run policymaking in Indonesia, using a macroeconomic model that incorporates currency substitution features and forward-looking rational expectations. By using the Agenor model, a type of simultaneous-equation simulation model, and the two-stage least square method to estimate the parameter of the model, we found that parallel market for foreign exchange is statistically significant in Indonesia. It is shown that the existence of parallel market influences the economic structure and the adjustment process on the policy shock government imposes on. It is shown econometrically that the macroeconomic model used in this study is stable and valid. It means that the model is able to explain the presumed phenomenon quite satisfactorily. Therefore, this model can be used as an alternative approach to simple macroeconomic model building, which incorporating the parallel market exchange rate phenomenon. In addition, this model is also developed incorporating the fully anticipated policy, or rational expectation, and currency substitution features."

"Perkembangan rights issue di pasar modal Indonesia yang dimulai pada tahun 1989 semakin tahun terakhir ini. Pemahaman mengenai rightsissue merupakan salah satu tujuan skripsi ini. Sedangkan melalui studi lapangan, skripsi ini bertujuan meneliti pengaruh rights issue terhadap kinerja harga saham sekaligus menguji efisiensi bentuk setengah kuat pada Bursa Efek Jakarta. Studi kepustakaan dalam skripsi ini adalah untuk mengetahui landasan teoritis dari rights issue dan efisiensi pasar. Pengaruh rights isssue terhadap kinerja harga saham diteliti melalui suatu event study di sekitar minggu pengumuman dan minggu terjadinya ex-right. Penelitian ini mengambil sampel saham-saham yang melakukan rights issue di lingkungan Bursa Efek Jakarta pada periode Januari - 0ktober 1994. Dalam mengestimasi imbalan normal saham digunakan tiga buah metode, yaitu: Market Adjusted Return Method, Simple Market Model, dan AC Method-Market Model. Hasil penelitian dengan ketiga metode menunjukkan bahwa meskipun terdapat imbalan abnormal rata-rata yang signifikan sebelum tanggal pengumuman namun tidak terdapat indikasi yang menunjukkan antisipasi pasar terhadap informasi akan adanya right issue. Setelah tanggal pengumuman didapati adanya suatu reaksi positif dari pasar terhadap pengumuman rights issue selama enam minggu yang ditunjukkan adanya imbalan abnormal rata-rata yang positif walaupun nilainya tidak signifikan. Reaksi positif ini kemudian diikuti adanya penurunan nilai imbalan abnormal rata-rata hingga satu minggu sebelum akhir masa pengamatan yang diperkirakan karena setelah saham memasuki masa masa exright terjadi koreksi harga yang tajam sehingga mengakibatkan adanya abnormal loss yang signifikan. Adanya imbalan abnormal yang signifikan pada minggu ex-right serta abnormal loss yang signifikan pada beberapa minggu setelah minggu pengumuman dan minggu ex-right menunjukkan bahwa Bursa Efek Jakarta belum memasuki efisiensi pasar bentuk setengah-kuat. Penelitian efisiensi pasar modal hendaknya diperkuat oleh penelitian-penelitian sejenis dengan perbaikan pada jumlah sampel dan metodologi penelitiannya."

"[Studi ini menginvestigasi keberadaan contagion yang menyebar melaluikebijakan moneter US dan pasar equity US ke berbagai pasar keuangan negara berkembang dan negara maju terutama Indonesia di periode 2005 sampai 2014. Hubungan antara US dan negara-negara yg diinvestigasi di studi ini dipertimbangkan, studi ini menggunakan the US Federal Funds Rates sebagai perwakilan kebijakan moneter US, dan menggunakan harga saham Standard and Poor’s 500 sebagai perwakilan pasar equity US, serta menggunakan nilai tukar matauang harian terhadap US. Metode Vector Autoregression (VAR) dapatmengidentifikasi keberadaan contagion dari kebijakan moneter US dan shock di pasar equity US ke berbagai pasar keuangan yaitu Indonesia, Australia, Singapura, Jepang, Eropa dan Inggris. Hasil studi ini menunjukan bahwa contagion menyebar dari pasar equity US ke hampir semua pasar keuangan yang dianalisis di studi ini di antara periode krisis keuangan global tahun 2008 dan 2011. Namun, tidak adacontagion yang signifikan menyebar dari kebijakan moneter US ke pasar-pasar keuangan yang dianalisis.;This study investigates the existence of contagion that transmits from the US monetary policy and the US equity market to a range of emerging and developed financial markets especially to Indonesia, over period 2005 to 2014. The relationship between the US and the investigated countries is considered, taking the US Federal Funds Rates, as the representative of the US monetary policy, and equity prices of Standard and Poor’s 500, as the representative of the US equity market, and using the daily foreign exchange rates against the US dollar for the investigated markets. The Vector Autoregression (VAR) approach has allowed identifying the existence of contagion from the US monetary policy and the US equity market shock to a range of markets, namely, Indonesia, Australia, Singapore, Japan, Europe and the UK. The results show that contagion transmits from the US equity market for most of countries analysed in this study between the Global Financial Crisis in 2008 and2011. There is no significant contagion from the US monetary policy to investigated markets., This study investigates the existence of contagion that transmits from the USmonetary policy and the US equity market to a range of emerging and developedfinancial markets especially to Indonesia, over period 2005 to 2014. The relationshipbetween the US and the investigated countries is considered, taking the US FederalFunds Rates, as the representative of the US monetary policy, and equity prices ofStandard and Poor’s 500, as the representative of the US equity market, and using thedaily foreign exchange rates against the US dollar for the investigated markets. TheVector Autoregression (VAR) approach has allowed identifying the existence ofcontagion from the US monetary policy and the US equity market shock to a rangeof markets, namely, Indonesia, Australia, Singapore, Japan, Europe and the UK. Theresults show that contagion transmits from the US equity market for most ofcountries analysed in this study between the Global Financial Crisis in 2008 and2011. There is no significant contagion from the US monetary policy to investigatedmarkets.]"

"Penelitian ini dilakukan untuk menganalisis hubungan jangka pendek maupun jangka panjang antara variabel komoditas minyak dan variabel komoditas emas terhadap kurs nilai tukar, dan pasar saham di Indonesia. Metode yang digunakan pada penelitian ini adalah metode ARDL Bound Cointegration test. Tidak ditemukan adanya hubungan keseimbangan jangka panjang antar variabel pada penelitian ini. Penelitian ini menemukan adanya hubungan jangka pendek negatif dari pergerakan komoditas minyak terhadap performa komoditas emas. Ditemukan adanya hubungan jangka pendek positif antara ihsg dengan komoditas minyak dan emas. Tidak ditemukan adanya hubungan jangka pendek dari kurs nilai tukar terhadap indeks harga saham gabungan.

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This research aims to analyze the long-run and short-run relationship between oil, gold, exchange rate, and stock market in Indonesia. The method used is ARDL Bound Cointegration test. There is no evidence of long-run equilibrium relationship between variables. This study found a negative short-run relationship between oil and gold commodities. There is positive short-run relationship between Indonesian Stock Market, oil, and gold commodities. There is no evidence of short-run relationship between exchange rate and Indonesian Stock Market."

"ABSTRAK

Studi ini menganalisa perilaku pricing dari eksportir produk industri Indonesia berdasarkan heterogenitas pasar dengan mengestimasi derajat Exchange Rate Pass Through (ERPT) dari harga ekspor produk industri Indonesia (pada level 4 digit klasifikasi Harmonized System) terhadap 3 negara mitra dagang utamanya dalam menghadapi fluktuasi nilai tukar pada periode 2005-2014. Dilakukan estimasi model regresi data panel Pricing to Market (PTM) untuk ekspor ke pasar China, US, dan Jepang, membedakan produk homogen dengan produk terdiferensiasi dengan mengontrol tingkat inflasi dan keterbukaan perdagangan di negara mitra dagang, indeks kebijakan makroekonomi yang merefleksikan perubahan cost eksportir, share eksportir di negara tujuan ekspor dan share produk yang di ekspor ke negara tujuan terhadap total ekspor. Hasil studi menemukan bahwa derajat PTM secara signifikan berbeda antara produk homogen dengan produk terdiferensiasi, tetapi heterogenitas pasar tidak secara signifikan menyebabkan perbedaan derajat PTM. Perilaku PTM yang dipraktekan oleh eksportir Indonesia dapat membatasi keefektifan nilai tukar sebagai instrumen untuk memperbaiki neraca perdagangan.

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ABSTRACT

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In this paper we studied pricing behaviour of Indonesian industrial product exporters based on market heterogeneity by estimating the degree of Exchange Rate Pass Through (ERPT) of  industrial product`s export price (at the-4 digit level of Harmonized System classification) to 3 Indonesian major trading partners in facing the exchange rate fluctuations during 2005-2014. We estimate a Pricing to Market (PTM) model using panel data regression for exports to China, US, and Japan markets, distinguishing homogeneous from differentiated goods and correcting for changes in the level of inflation and openness in the export destination market, a maroeconomic policy index partly reflecting changes in exporter`s costs, the share of the exporter in the destination market and the share of the products in the exporter`s total exports. We find that PTM significantly different between homogeneous and differentiated products, but the market heterogeneity does not significantly differ the level of PTM. The PTM behaviour that conducted by Indonesian exporters limit the effectiveness of exchange rate as an instrument to fix the trade balance.

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"ABSTRAKJumlah kepemilikan asing di pasar modal Indonesia cukup dominan. Laporan OJK mencatat pergerakan nilai tukar USD/IDR, kinerja indeks harga saham gabungan IHSG dan indeks yield Obligasi Indonesia cenderung mengikuti pergerakan arus modal asing. Penelitian ini menggunakan metode Vector Autoregression untuk mengolah data time series periode 2011-2017 dan melihat hubungan antara arus modal asing, nilai tukar USD/IDR, return IHSG, yield obligasi pemerintah 10 tahun. Dari hasil uji estimasi var yang mencakup granger causality, impulse respon function, variance decomposition ditemukan bahwa variabel nilai tukar USD/IDR yang memegang peran penting dalam mempengaruhi pergerakan variabel penelitian lainnya. Temuan lainnya adalah perbedaan sifat investor asing dalam menghadapi pergerakan return IHSG dan yield obligasi pada pasarnya masing-masing. Dimana investor asing cenderung melepaskan portfolio Indonesia netsell ketika ada kenaikan yield, namun cenderung membeli portfolio Indonesia netbuy ketika return IHSG naik.

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ABSTRACT The amount of foreign ownership in Indonesian capital market is quite dominant. The OJK report notes the USD IDR exchange rate movement, the performance of the composite stock price index IHSG and the Indonesian bond yield index tend to follow the movement of foreign capital flows. This research uses Vector Autoregression method to process time series data from 2011 2017 period and see the relationship between foreign capital flows, USD IDR exchange rate, IHSG return, 10 year government bond yield. From the result of var estimation test which includes granger causality, impulse response function, variance decomposition, it is found that USD IDR exchange rate variable that plays an important role in influencing the movement of other research variables. Foreign flow, however, didn rsquo t give a significant impact. Other findings are similarity in the nature of foreign investors in the face of JCI return movement and bond yields on their respective markets. Where foreign investors tend to release the Indonesian portfolio netsell when there is a decrease in bonds yield increase or stock return increase price, but tend to buy Indonesian portfolio netbuy when it rises."

"Penyusunan tesis ini bertujuan untuk mengetahui apakah pembayaran utang luar negeri swasta dapat berdampak pada penentuan nilai tukar Rupiah.Penelitian tersebut didasari pertimbangan bahwa ketergantunan sektor swasta Indonesia terhadap pembiayaan dari luar negeri masih relatif tinggi, sehingga jumlah valuta asing yang diperlukan untuk membayar utang luar negeri juga semakin meningkat. Penelitian ini dilakukan dengan menggunakan pendekatan moneter, sehingga pada tesis ini juga akan diuji dampak selisih jumlah uang beredar, output riil dan suku bunga antara Indonesia dan Amerika terhadap nilai tukar Rupiah. Model ekonometrika yang digunakan adalah ordinary least squares dengan menggunakan data triwulanan pada periode 2002-2009. Hasil penelitian menunjukkan bahwa pembayaran utang luar negeri swasta tidak mempengaruhi nilai tukar Rupiah. Pergerakan nilai tukar Rupiah lebih dipengaruhi oleh variabel selisih jumlah uang beredar dan selisih output riil antara Indonesia dan Amerika.

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This thesis is intended to analyze the impact of private external debt repayment on the Rupiah exchange rate. The thesis?s background is the high dependence of the Indonesian private sector on external financing and the increasing need for foreign exchage to fulfill these external obligations. As we used the monetary model, this study was also intended to analyze the impact of the differences in money supply, real output and interest rate between Indonesia and the United States. We applied ordinary least squares method and used secondary data for the period 2002-2009. The results show that private external debt repayment does not influence the Rupiah exchage rate. The Rupiah?s volatility was mainly affected by the differences in money supply and riil output between Indonesia and the United States."

"Studi ini mengkaji kebijakan moneter, kebijakan fiskal, kinerja pasar saham, dan hubungan di antara mereka dalam hal stabilitas ekonomi di Indonesia. Melalui kajian literatur dari beberapa penelitian empiris yang meneliti kasus Indonesia dan di negara-negara lain, studi ini menemukan bahwa kebijakan fiskal dan kebijakan moneter mempunyai efek signifikan dengan arah negatif terhadap harga saham. Oleh karena itu, pemerintah harus menaruh perhatian lebih terhadap penerapan stimulus fiskal dan disiplin fiskal serta penerapan instrumen-instrumen kebijakan moneter dalam merancang kebijakan yang sesuai dan positif terhadap performa pasar modal. Selain itu, batas realistis pada pembayaran utang harus diatur sedemikian rupa untuk memungkinkan pengembangan keuangan internal. Dari perspektif moneter, bank sentral harus fokus mengurangi efek lag sehingga reaksi berlebihan dari investor dapat diminimalkan. Dari perspektif pasar, kampanye kesadaran bagi perusahaan regional dan asing untuk mendaftar dan aktif di pasar bursa harus ditingkatkan. Selain itu, mendorong pasar agar investor tertarik berinvestasi di sektor riil juga merupakan tindakan penting, yang pada gilirannya dapat merangsang kapasitas produksi yang lebih tinggi bagi perekonomian.

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This study investigates the Indonesian fiscal policy, monetary policy, stock market performance, and the relationship between them in terms of economic stability in Indonesia. Through a literature review of several empirical studies, which scrutinize Indonesian cases and those in other countries, this study has found that amongst others, fiscal policy and monetary policy are negatively significant related to stock prices. Therefore, the government should pay close attention to the application of fiscal stimulus and observe fiscal discipline, when it takes into consideration monetary decisions regarding the performance of stock market. In addition, realistic limits on payments of debt service should be appropriately rearranged to allow for internal financial development. From a monetary perspective, the central bank should focus on reducing the lag effect so that the overreaction of investors can be minimized and the policy can be more effective. From a market perspective, an awareness campaign to help more regional and foreign companies become listed and quoted in the stock exchange market should be enhanced. In addition, encouraging the market is also an important action so that investors are interested in investing in the real sector, which in turn can lead to a higher production capacity for the economy and aggregate output."

"Skripsi ini membahas anomali pasar Day of the Week Effect yang terjadi pada pasar valuta asing Indonesia periode 2001-2007. Return harian terhadap Rupiah dari tujuh (7) nilai tukar mata uang asing yang paling likuid digunakan dalam penelitian, yaitu Australian Dollar (AUD), Canadian Dollar (CAD), Swiss Franc (CHF), Euro (EUR), British Pound (GBP), Japanese Yen (JPY) dan US Dollar (USD). Data dianalisis meng gunakan analisis regresi berganda variabe dummy dan hasil analisis tersebut menunjukkan bahwa tidak ada Day of the Week Effect pada pasar valuta asing Indonesia di periode tersebut. Lebih spesifik, ter nyata Day of the Week Effect terjadi pada bulan tertentu. Hasil ini konsisten dengan penelitian sebelumnya dari anomali ini baik pada pasar valuta asing maupun pasar saham. Dari hasil ini dapat ditarik kesimpulan dan beberapa implikasi manajerial.

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This thesis examines market anomaly the Day of the Week Effect existed in Indonesia foreign exchange market for period 2001-2007. The daily return against Rupiah of the 7 most liquid foreign exchange rates are used in this research, those are Australian Dollar (AUD), Canadian Dollar (CAD), Swiss Franc (CHF), Euro (EUR), British Pound (GBP), Japanese Yen (JPY), and US Dollar (USD). The data collected was analyzed using multiple regression analysis of dummy variables and the results showed that no Day of the Week Effect in Inodnesia foreign exchange market on that period. Specifically, the Day of the Week Effect exist on certain months. This latter result is consistent with previous studies on anomalies either in the foreign exchange markets or the stock markets. Further discussions and managerial implications can be derived from these results."