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Abstrak :
ABSTRAK
This study analyzes optimal asset mix for Australian portfolios with the main investment objective for capital preservation. An alternative measure of risk of annual maximum drawdown has been used to reflect investor preference for capital preservation as opposed to conventional risk measure of standard deviation and variance. The contribution of the study is two folds. First, this study has put different perspective to look at portfolio risk in the view of capital preservation. Second, the optimal weight for asset class mix that minimizes annual maximum drawdown has been analyzed for the case of Australian market. The results suggest that for capital preservation, investors should expect lower returns and need to put a greater allocation on less risky assets such as cash or bond. To this end, cash and bond have provided stable long term annual returns along with contained level of annual maximum drawdowns. In contrast, when investors demand higher expected return, they should increase asset allocation into stocks (equities) market at the expense of higher maximum drawdowns.

Abstrak :
Penelitian ini bertujuan melakukan analisis pengaruh likuiditas terhadap alokasi portofolio asing di negara BRICS dan MIST periode 2002-2012. Likuiditas diukur menggunakan Price Impact, Trading Volume, Turnover Ratio, dan Corwin Schultz Spread. Penelitian menggunakan data panel serta metode regresi Fixed dan Random Effect Model. Selain itu, penelitian juga bertujuan untuk menganalisis hubungan variabel bilateral dan makroekonomi terhadap alokasi portofolio asing di negara BRICS dan MIST periode 2002-2012. Penelitian menemukan bahwa likuiditas memiliki pengaruh positif terhadap alokasi portofolio asing di negara BRICS dan MIST periode 2002-2012. ...... The aim of this research is to analyze the impact of liquidity on Foreign Portofolio Allocation in BRICS and MIST Countries during 2002-2012. Liquidity are measured using Price Impact, Trading Volume, Turnover Ratio, and Corwin Schultz Spread. This research uses panel data with Fixed and Random Effect Model as a regression method. Furthermore, this research also analyze the effect of bilateral and macroeconomic condition on Foreign Portfolio Allocation. This research found that market liquidity positively affects Foreign Portfolio Invesments in BRICS and MIST Countries during 2002-2012.

Abstrak :
In this paper, we analyze the empirical relationship between stock return and trading volume based on stock market cycles. Using daily data for Jakarta Composite Index (JCI) closing price and trading volume from 2010 to 2014, we identify the bull and bear phases, then we analyze the return– volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positive contemporaneous return–volume relationship in both bull and bear markets, which is only significant in bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3) there exists a positive unidirectional causality from stock return to trading volume. Our research has two implications. First, in the bull market, overconfidence may grow with long-lasting past success and there is also momentum or positive feedback trading. Second, stock return is able to forecast trading volume. In addition, our findings are robust for different sample period and data frequency.