nevi danila - Academia.edu (original) (raw)
Papers by nevi danila
Karsa : Jurnal Sosial dan Budaya Keislaman, Dec 28, 2022
IQTISHODUNA: Jurnal Ekonomi Islam
The COVID-19 pandemic is the best opportunity for applying Islamic social finance. The government... more The COVID-19 pandemic is the best opportunity for applying Islamic social finance. The government’s limitations in tackling the impact of COVID-19 raise the participation of the Muslim community significantly. Applying Islamic social finance during COVID-19 taught us its effectiveness in dealing with disasters, especially in disaster-prone countries like Indonesia. This research combines normative and empirical aspects. The normative study is sourced primarily from the Qur'an, hadith, and scholarly ijtihad. The empirical study searches for empirical practices regarding Islamic social finance development in Indonesia. The study show that Islamic social finance practice in Indonesia during the COVID-19 has reflected a unique and rich actualization in terms of its basis, characteristics, varieties, and purposes; such as social investment, revolving assistance, exemption of tuition fees, and shadaqah of production tools. The community partnership patterns show that it has great pote...
Global Business Review
This article studies the herding behaviour of environmental, social and governance stock indices ... more This article studies the herding behaviour of environmental, social and governance stock indices in the emerging market based on International Monetary Fund emerging market criteria. We use the daily data as a sample. Cross-sectional absolute deviation is employed to identify the herding behaviour of the investors. The findings report that all the indices do not exhibit herding behaviour, even under the upwards and downwards episodes of the market. When oil price and implied volatility are included in the model, the herding only existed in some samples, such as Egypt and India, during upwards oil price fluctuation and implied volatility, respectively. Meanwhile, Brazil, China and Taiwan also show evidence of herding behaviour during downwards oil price fluctuation. It is due to the large size of the companies with solid governance norm included in the indices, and the information on the companies are widely available. It gives the implication that the investors do not rely on others...
Global business review, Mar 22, 2024
Buletin Ekonomi Moneter dan Perbankan, Mar 31, 2023
The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to det... more The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility. Our results suggest that COVID-19 does not influence bond and sukuk market volatility in most of our samples. Furthermore, market sentiment does not exist in the fixed income market. The dominance of long-term investors in the fixed-income market could be the cause, especially given the minor impact of the pandemic on market volatility. In terms of risk, sukuk is less risky than its counterpart, and no statistical difference is found in risk before and during the COVID-19 pandemic for sukuk and bonds. Finally, sukuk may be considered a safe haven instrument in the financial market coupled with bonds as diversification tools in the investors' portfolios.
PLOS ONE
The research examines a comovement and spillover of volatility among foreign exchange, convention... more The research examines a comovement and spillover of volatility among foreign exchange, conventional and shariah stock markets in Association of South East Asian Nation-5 (ASEAN) countries and Gulf Cooperation Council (GCC) countries. Generalized Autoregressive Conditional Heteroskedasticity—Baba, Engle, Kraft and Kroner (GARCH-BEKK) and Dynamic Conditional Correlation (GARCH-DCC) models are used to capture the correlation and transmission volatility of the markets. The overall results show that both the Shariah and the conventional stock indices respond similarly to each country’s currency. A bidirectional (two-way relationship) volatility spillover exists only in Malaysia and a unidirectional (one-way relationship) volatility is observed in Indonesia, Singapore, Thailand, and Bahrain. The rest of the markets–the Philippines, Saudi Arabia, and the United Arab Emirates (UAE)–do not have any volatility spillover evidence. Based on DCC outcomes, the conventional and Shariah stock in AS...
IQTISHODUNA: Jurnal Ekonomi Islam
The development of the digital economy is an essential part of Indonesia's G20 presidency. We... more The development of the digital economy is an essential part of Indonesia's G20 presidency. We evaluate the digital economy, focusing on blockchain adoption in the financial services industry and buying and selling transactions. Even then, there are still doubts regarding system transformation, information security, and guarantee of traceability, both in terms of data validation in complying with Islamic principles (halal industry). In this issue, we show that the importance of developing blockchain adoption can be developed in the broader field, especially in responding to deindustrialization on the principles of collaboration in digital transformation that are more inclusive, empowering, complying with sharia principles, and sustainable. This research is critical to know as a basis for consideration by government policies, industry, and entrepreneurs in considerations related to blockchain adoption through supply chain management principles that are standardized with the princi...
Afro-Asian journal of finance and accounting, 2022
Defence and Peace Economics
Journal of Indonesian Economy and Business
Introduction/main objectives: The aim of this research is to study the impact of macroeconomic va... more Introduction/main objectives: The aim of this research is to study the impact of macroeconomic variables on the Indonesian Islamic stock market’s volatility. Background issues: To predict the stock market’s volatility, daily or high-frequency data has been applied to the model’s explanatory variables with the same data frequency. However, when it comes to the macroeconomic variables as volatility drivers, the data is low-frequency, such as weekly, monthly, or quarterly. The current study uses a model which treats the data equally. Novelty: This study employs the mixed data sampling (MIDAS) model, which allows data from multiple frequencies to be included in the same model. This model can combine daily stock returns’ data with monthly or quarterly macroeconomic data. Hence, this is the first paper to study the determinants of the volatility of Indonesia's Islamic stock index using GARCH-MIDAS. Research Methods: The Generalized Autoregressive Conditional Heteroscedasticity GARCH-...
Global Business Review, Jul 16, 2021
<jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an... more <jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an observation of the dynamic correlation and transmission of volatility between these two instruments is relevant. This article investigates the volatility spillover of sukuk and conventional bond markets by using GARCH-BEKK model. Then, we measure the dynamics of the co-movement of both markets by using GARCH-DCC model, and finally, we examine the macroeconomic factors that determine the dynamic conditional correlation between sukuk and conventional bonds in two Association of Southeast Asian Nations (ASEAN) markets (i.e., Indonesia and Malaysia) and four Gulf Cooperation Council (GCC) markets (i.e., Kingdom of Saudi Arabia, UAE, Qatar and Oman). The data reveal unidirectional and bidirectional volatility spillovers of sukuk and bond indices. The results also show strong evidence of dynamic conditional correlation for all markets. On the basis of the BEKK and dynamic conditional correlation (DCC) results, we infer that bonds and sukuk in ASEAN and GCC markets show the efficiency of the markets, which do not offer any diversification benefits to investors for having both instruments in their portfolios. As regards portfolio diversification strategies, investors must pay attention to the co-movements and spillover of both markets accordingly. Finally, only Oman market is influenced by all macroeconomic variables. </jats:p>
Sustainability
Emerging markets offer some of the world’s most impactful investment possibilities for investors ... more Emerging markets offer some of the world’s most impactful investment possibilities for investors concerned with addressing global climate and socioeconomic issues. Sophisticated investors conjectured that socially responsible investment (SRI) or environmental social and governance (ESG) might give greater returns than investing in conventional stocks in an emerging market. At the same time, the investors favour conserving the environment while generating long-term economic growth. Being able to earn greater returns is an indication of an inefficient market. This paper investigates the random walk (weak-form of the efficient market) of SRI/ESG indices in the emerging market (based on IMF emerging market criteria). We use the daily data as a sample. Random walk is tested using an Augmented Dickey–Fuller (ADF) Unit Root test, Variance ratio test and Hurst exponent test. The findings report that all the indices are not following a random walk. Lack of ESG disclosure, inadequate corporat...
Jurnal ABM Mengabdi, Dec 1, 2015
Afro-Asian J. of Finance and Accounting
Journal of Accounting, Business and Management (JABM), 2011
Global Business Review, Jul 16, 2021
<jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an... more <jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an observation of the dynamic correlation and transmission of volatility between these two instruments is relevant. This article investigates the volatility spillover of sukuk and conventional bond markets by using GARCH-BEKK model. Then, we measure the dynamics of the co-movement of both markets by using GARCH-DCC model, and finally, we examine the macroeconomic factors that determine the dynamic conditional correlation between sukuk and conventional bonds in two Association of Southeast Asian Nations (ASEAN) markets (i.e., Indonesia and Malaysia) and four Gulf Cooperation Council (GCC) markets (i.e., Kingdom of Saudi Arabia, UAE, Qatar and Oman). The data reveal unidirectional and bidirectional volatility spillovers of sukuk and bond indices. The results also show strong evidence of dynamic conditional correlation for all markets. On the basis of the BEKK and dynamic conditional correlation (DCC) results, we infer that bonds and sukuk in ASEAN and GCC markets show the efficiency of the markets, which do not offer any diversification benefits to investors for having both instruments in their portfolios. As regards portfolio diversification strategies, investors must pay attention to the co-movements and spillover of both markets accordingly. Finally, only Oman market is influenced by all macroeconomic variables. </jats:p>
Sustainability, 2021
This study explores the effects of interactions among key stakeholders, i.e., auditors, underwrit... more This study explores the effects of interactions among key stakeholders, i.e., auditors, underwriters, and firm owners on IPOs’ first-day returns in selected OECD nations. It also examines the alteration effects of legal origin (Common law and Civil law) on the relationship between the interacted key stakeholders and IPOs’ first-day returns. A total of four thousand one hundred and sixty-four IPOs from twenty-eight OECD nations are included in this study. Since it is cross-sectional data, a two-stage least square regression is applied. The empirical outcomes indicate that, in general, the interacted reputable underwriters and auditors have a positive impact on IPOs’ first-day return. The relationship is modified between common law and civil law nations, whereby in civil law nations, no significance is demonstrated except for the interaction between the reputable auditors and underwriters. In the common law nation, interactions between reputable auditors and ownership retention have a...
The objective of this paper is to predict Indonesia's inflation rate in 2009 by employing BOX... more The objective of this paper is to predict Indonesia's inflation rate in 2009 by employing BOX-JENKINS (ARIMA) model. The prediction of inflation rate is very important since the inflation affects us in economy aspect. Moreover, by knowing the approximate inflation in the future will help companies to plan the operational cost better. It also will help the government to anticipate the predicted inflation by making good policies, thus the prosperity of Indonesia people will be achieved. AR (2) is the best ARIMA model that we obtain. By employing AR (2), we predict the inflation rate in 2009 is 10.48%. This number is not surprising since inflation rate in Indonesia is mainly affected by exchange rate. As we know that the global crisis will start recovering in early 2010 (Yearly Bank Indonesia Report, 2008). The impact is that exchange rate pressure will be still high in 2009, it is due to non-optimal export and limited foreign fund's inflow.
The growth of shariah banks has increased rapidly. At the same time, Indonesia financial market h... more The growth of shariah banks has increased rapidly. At the same time, Indonesia financial market has developed shariah financial instruments. In order to keep up with this development, shariah banks need to innovate their products for being remain competitive domestically and abroad. On top of that, the shariah product innovation has to concern on risk management to minimize the exposure. This paper elaborates eight (8) model shariah business which include the hedging. The models are namely Value-Based Salam; Bai Bil Wafa (repurchase agreement) combination with Ijara with Option Stipulation; Bai Istijrar; Murabaha-Bilateral Mutual Adjustment; Credit-Based Mudarabah; Third Party Hedging; Musharakah-Deferred Sale with Partnership; Diminishing Partnership. Key words: Value-Based Salam ; Bai Bil Wafa (repurchase agreement) with Option Stipulation; Bai Istijrar; Murabaha-Bilateral Mutual Adjustment; Credit-Based Mudarabah; Third Party Hedging; Musharakah-Deferred Sale with Partnership;...
Karsa : Jurnal Sosial dan Budaya Keislaman, Dec 28, 2022
IQTISHODUNA: Jurnal Ekonomi Islam
The COVID-19 pandemic is the best opportunity for applying Islamic social finance. The government... more The COVID-19 pandemic is the best opportunity for applying Islamic social finance. The government’s limitations in tackling the impact of COVID-19 raise the participation of the Muslim community significantly. Applying Islamic social finance during COVID-19 taught us its effectiveness in dealing with disasters, especially in disaster-prone countries like Indonesia. This research combines normative and empirical aspects. The normative study is sourced primarily from the Qur'an, hadith, and scholarly ijtihad. The empirical study searches for empirical practices regarding Islamic social finance development in Indonesia. The study show that Islamic social finance practice in Indonesia during the COVID-19 has reflected a unique and rich actualization in terms of its basis, characteristics, varieties, and purposes; such as social investment, revolving assistance, exemption of tuition fees, and shadaqah of production tools. The community partnership patterns show that it has great pote...
Global Business Review
This article studies the herding behaviour of environmental, social and governance stock indices ... more This article studies the herding behaviour of environmental, social and governance stock indices in the emerging market based on International Monetary Fund emerging market criteria. We use the daily data as a sample. Cross-sectional absolute deviation is employed to identify the herding behaviour of the investors. The findings report that all the indices do not exhibit herding behaviour, even under the upwards and downwards episodes of the market. When oil price and implied volatility are included in the model, the herding only existed in some samples, such as Egypt and India, during upwards oil price fluctuation and implied volatility, respectively. Meanwhile, Brazil, China and Taiwan also show evidence of herding behaviour during downwards oil price fluctuation. It is due to the large size of the companies with solid governance norm included in the indices, and the information on the companies are widely available. It gives the implication that the investors do not rely on others...
Global business review, Mar 22, 2024
Buletin Ekonomi Moneter dan Perbankan, Mar 31, 2023
The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to det... more The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility. Our results suggest that COVID-19 does not influence bond and sukuk market volatility in most of our samples. Furthermore, market sentiment does not exist in the fixed income market. The dominance of long-term investors in the fixed-income market could be the cause, especially given the minor impact of the pandemic on market volatility. In terms of risk, sukuk is less risky than its counterpart, and no statistical difference is found in risk before and during the COVID-19 pandemic for sukuk and bonds. Finally, sukuk may be considered a safe haven instrument in the financial market coupled with bonds as diversification tools in the investors' portfolios.
PLOS ONE
The research examines a comovement and spillover of volatility among foreign exchange, convention... more The research examines a comovement and spillover of volatility among foreign exchange, conventional and shariah stock markets in Association of South East Asian Nation-5 (ASEAN) countries and Gulf Cooperation Council (GCC) countries. Generalized Autoregressive Conditional Heteroskedasticity—Baba, Engle, Kraft and Kroner (GARCH-BEKK) and Dynamic Conditional Correlation (GARCH-DCC) models are used to capture the correlation and transmission volatility of the markets. The overall results show that both the Shariah and the conventional stock indices respond similarly to each country’s currency. A bidirectional (two-way relationship) volatility spillover exists only in Malaysia and a unidirectional (one-way relationship) volatility is observed in Indonesia, Singapore, Thailand, and Bahrain. The rest of the markets–the Philippines, Saudi Arabia, and the United Arab Emirates (UAE)–do not have any volatility spillover evidence. Based on DCC outcomes, the conventional and Shariah stock in AS...
IQTISHODUNA: Jurnal Ekonomi Islam
The development of the digital economy is an essential part of Indonesia's G20 presidency. We... more The development of the digital economy is an essential part of Indonesia's G20 presidency. We evaluate the digital economy, focusing on blockchain adoption in the financial services industry and buying and selling transactions. Even then, there are still doubts regarding system transformation, information security, and guarantee of traceability, both in terms of data validation in complying with Islamic principles (halal industry). In this issue, we show that the importance of developing blockchain adoption can be developed in the broader field, especially in responding to deindustrialization on the principles of collaboration in digital transformation that are more inclusive, empowering, complying with sharia principles, and sustainable. This research is critical to know as a basis for consideration by government policies, industry, and entrepreneurs in considerations related to blockchain adoption through supply chain management principles that are standardized with the princi...
Afro-Asian journal of finance and accounting, 2022
Defence and Peace Economics
Journal of Indonesian Economy and Business
Introduction/main objectives: The aim of this research is to study the impact of macroeconomic va... more Introduction/main objectives: The aim of this research is to study the impact of macroeconomic variables on the Indonesian Islamic stock market’s volatility. Background issues: To predict the stock market’s volatility, daily or high-frequency data has been applied to the model’s explanatory variables with the same data frequency. However, when it comes to the macroeconomic variables as volatility drivers, the data is low-frequency, such as weekly, monthly, or quarterly. The current study uses a model which treats the data equally. Novelty: This study employs the mixed data sampling (MIDAS) model, which allows data from multiple frequencies to be included in the same model. This model can combine daily stock returns’ data with monthly or quarterly macroeconomic data. Hence, this is the first paper to study the determinants of the volatility of Indonesia's Islamic stock index using GARCH-MIDAS. Research Methods: The Generalized Autoregressive Conditional Heteroscedasticity GARCH-...
Global Business Review, Jul 16, 2021
<jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an... more <jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an observation of the dynamic correlation and transmission of volatility between these two instruments is relevant. This article investigates the volatility spillover of sukuk and conventional bond markets by using GARCH-BEKK model. Then, we measure the dynamics of the co-movement of both markets by using GARCH-DCC model, and finally, we examine the macroeconomic factors that determine the dynamic conditional correlation between sukuk and conventional bonds in two Association of Southeast Asian Nations (ASEAN) markets (i.e., Indonesia and Malaysia) and four Gulf Cooperation Council (GCC) markets (i.e., Kingdom of Saudi Arabia, UAE, Qatar and Oman). The data reveal unidirectional and bidirectional volatility spillovers of sukuk and bond indices. The results also show strong evidence of dynamic conditional correlation for all markets. On the basis of the BEKK and dynamic conditional correlation (DCC) results, we infer that bonds and sukuk in ASEAN and GCC markets show the efficiency of the markets, which do not offer any diversification benefits to investors for having both instruments in their portfolios. As regards portfolio diversification strategies, investors must pay attention to the co-movements and spillover of both markets accordingly. Finally, only Oman market is influenced by all macroeconomic variables. </jats:p>
Sustainability
Emerging markets offer some of the world’s most impactful investment possibilities for investors ... more Emerging markets offer some of the world’s most impactful investment possibilities for investors concerned with addressing global climate and socioeconomic issues. Sophisticated investors conjectured that socially responsible investment (SRI) or environmental social and governance (ESG) might give greater returns than investing in conventional stocks in an emerging market. At the same time, the investors favour conserving the environment while generating long-term economic growth. Being able to earn greater returns is an indication of an inefficient market. This paper investigates the random walk (weak-form of the efficient market) of SRI/ESG indices in the emerging market (based on IMF emerging market criteria). We use the daily data as a sample. Random walk is tested using an Augmented Dickey–Fuller (ADF) Unit Root test, Variance ratio test and Hurst exponent test. The findings report that all the indices are not following a random walk. Lack of ESG disclosure, inadequate corporat...
Jurnal ABM Mengabdi, Dec 1, 2015
Afro-Asian J. of Finance and Accounting
Journal of Accounting, Business and Management (JABM), 2011
Global Business Review, Jul 16, 2021
<jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an... more <jats:p> Sukuk and conventional bonds gain their popularity in the global market. Hence, an observation of the dynamic correlation and transmission of volatility between these two instruments is relevant. This article investigates the volatility spillover of sukuk and conventional bond markets by using GARCH-BEKK model. Then, we measure the dynamics of the co-movement of both markets by using GARCH-DCC model, and finally, we examine the macroeconomic factors that determine the dynamic conditional correlation between sukuk and conventional bonds in two Association of Southeast Asian Nations (ASEAN) markets (i.e., Indonesia and Malaysia) and four Gulf Cooperation Council (GCC) markets (i.e., Kingdom of Saudi Arabia, UAE, Qatar and Oman). The data reveal unidirectional and bidirectional volatility spillovers of sukuk and bond indices. The results also show strong evidence of dynamic conditional correlation for all markets. On the basis of the BEKK and dynamic conditional correlation (DCC) results, we infer that bonds and sukuk in ASEAN and GCC markets show the efficiency of the markets, which do not offer any diversification benefits to investors for having both instruments in their portfolios. As regards portfolio diversification strategies, investors must pay attention to the co-movements and spillover of both markets accordingly. Finally, only Oman market is influenced by all macroeconomic variables. </jats:p>
Sustainability, 2021
This study explores the effects of interactions among key stakeholders, i.e., auditors, underwrit... more This study explores the effects of interactions among key stakeholders, i.e., auditors, underwriters, and firm owners on IPOs’ first-day returns in selected OECD nations. It also examines the alteration effects of legal origin (Common law and Civil law) on the relationship between the interacted key stakeholders and IPOs’ first-day returns. A total of four thousand one hundred and sixty-four IPOs from twenty-eight OECD nations are included in this study. Since it is cross-sectional data, a two-stage least square regression is applied. The empirical outcomes indicate that, in general, the interacted reputable underwriters and auditors have a positive impact on IPOs’ first-day return. The relationship is modified between common law and civil law nations, whereby in civil law nations, no significance is demonstrated except for the interaction between the reputable auditors and underwriters. In the common law nation, interactions between reputable auditors and ownership retention have a...
The objective of this paper is to predict Indonesia's inflation rate in 2009 by employing BOX... more The objective of this paper is to predict Indonesia's inflation rate in 2009 by employing BOX-JENKINS (ARIMA) model. The prediction of inflation rate is very important since the inflation affects us in economy aspect. Moreover, by knowing the approximate inflation in the future will help companies to plan the operational cost better. It also will help the government to anticipate the predicted inflation by making good policies, thus the prosperity of Indonesia people will be achieved. AR (2) is the best ARIMA model that we obtain. By employing AR (2), we predict the inflation rate in 2009 is 10.48%. This number is not surprising since inflation rate in Indonesia is mainly affected by exchange rate. As we know that the global crisis will start recovering in early 2010 (Yearly Bank Indonesia Report, 2008). The impact is that exchange rate pressure will be still high in 2009, it is due to non-optimal export and limited foreign fund's inflow.
The growth of shariah banks has increased rapidly. At the same time, Indonesia financial market h... more The growth of shariah banks has increased rapidly. At the same time, Indonesia financial market has developed shariah financial instruments. In order to keep up with this development, shariah banks need to innovate their products for being remain competitive domestically and abroad. On top of that, the shariah product innovation has to concern on risk management to minimize the exposure. This paper elaborates eight (8) model shariah business which include the hedging. The models are namely Value-Based Salam; Bai Bil Wafa (repurchase agreement) combination with Ijara with Option Stipulation; Bai Istijrar; Murabaha-Bilateral Mutual Adjustment; Credit-Based Mudarabah; Third Party Hedging; Musharakah-Deferred Sale with Partnership; Diminishing Partnership. Key words: Value-Based Salam ; Bai Bil Wafa (repurchase agreement) with Option Stipulation; Bai Istijrar; Murabaha-Bilateral Mutual Adjustment; Credit-Based Mudarabah; Third Party Hedging; Musharakah-Deferred Sale with Partnership;...