Capital Market Risk Research Articles

Dampak Rasio Kecukupan Modal dan Risiko terhadap Profitabilitas pada Bank Konvensional di Indonesia

Purpose: To determine the effect of capital adequacy ratio, market risk, credit risk, liquidity risk, operational risk, bank size, and other variables on banking profitability in Indonesia. Methodology: Panel data regression analysis; purposive sampling; capital adequacy ratio, market risk, credit risk, liquidity risk, operational risk, bank size as instruments; 39 banks listed on Indonesia Stock Exchange; return on assets as dependent variable. Results: Capital adequacy ratio and bank size have a positive and significant influence on profitability. Credit risk and operational risk have a significant negative effect. Market risk and liquidity risk have no significant effect. Limitations: The study is limited to data from banks listed on the Indonesia Stock Exchange between 2018-2024, so it may not reflect conditions outside this period or region. Contribution: This research is useful in the fields of banking management, corporate finance, and investment strategy.

Corporate governance and capital market risk: New evidence from firm-specific measures among Chinese listed companies

This paper empirically analyzes the relationship between corporate governance and capital market risk using A-share listed companies in China’s Shanghai and Shenzhen markets from 2008 to 2022 as a research sample. The study finds that corporate governance decreases capital market risk using new risk measurement at the firm level. Further analysis shows that such an effect is more pronounced in the sample of private companies, companies with a higher degree of indebtedness, and companies with a lower concentration of power. This paper’s findings help us better understand corporate governance’s role in stock risk and provide theoretical support and empirical evidence to improve the stability of the financial market in emerging markets.

ESG uncertainty, investor attention and stock price crash risk in China: evidence from PVAR model analysis

ESG uncertainty refers to the discrepancies in ratings by multiple third-party ESG rating agencies, challenging investors in assessing a company’s true ESG status. This study integrates ESG rating data from six major Chinese agencies to construct an ESG Uncertainty Index. Using a PVAR model, it explores the bidirectional relationships among ESG uncertainty, investor attention, and stock price crash risk in the Chinese capital market. The findings reveal no direct causal relationship between ESG uncertainty and stock price crash risk. However, there is a bidirectional Granger causality between ESG uncertainty and investor attention, as well as between stock price crash risk and investor attention. This suggests that increased ESG uncertainty and stock price crash risk attract more investor attention, which in turn amplifies these issues. The study implies that investor attention mediates the relationship between ESG uncertainty and stock price crash risk, indirectly affecting the latter. These findings highlight the importance of enhancing information disclosure regarding ESG factors to improve market transparency and stability.

Pengaruh Pelatihan Pasar Modal, Persepsi Risiko, Literasi Keuangan, Dan Modal Minimal Investasi Terhadap Minat Investasi Mahasiswa

This study aims to determine the factors that influence investment interest based on capital market training, risk perception, financial literacy, and minimum investment capital. This research method uses quantitative research. The population used is active students of S1 Management class 2018-2020 at Muhammadiyah Sidoarjo University. Non-probability sampling is Porposive sampling. This research collection technique uses a questionnaire or questionnaire. The data analysis technique uses PLS-SEM. The result of this study is that minimum investment capital has a significant positive effect on investment interest.

The Effect of Profitability, Liquidity and Company Size on Capital Structure in Companies Listed on the Indonesian Stock Exchange

This study investigates the effect of profitability, liquidity, and firm size on the capital structure of firms listed on the Indonesia Stock Exchange (IDX). Using data from manufacturing firms, the study found that profitability and liquidity have a negative and significant influence on capital structure decisions, with more profitable firms tending to rely on less debt and more internal sources of funds. However, firm size does not consistently have a significant negative impact on capital structure, suggesting that external factors such as capital market conditions and economic policies have a more dominant role in determining a firm's capital structure. These results provide important insights for financial practitioners in designing appropriate funding strategies to maximise firm value and effectively manage financial risk in the Indonesian capital market.

Are annuities an inferior or normal good? Evidence from a less-developed country

One crucial decision made at retirement in Chile is whether to acquire an annuity or a phased withdrawal (PW) scheme. Annuities, unlike PW, do not allow for inheritance and provide smaller initial pension benefits while protecting against longevity and capital market risks. If preferences show decreasing absolute risk aversion (DARA), then an annuity (insurance) should be considered an inferior good. We test this hypothesis on Chilean data using a binary choice model. Our results reject the DARA hypothesis for the whole sample. However, after splitting the sample into low- and high-income groups, we find that the former have increasing absolute risk aversion (IARA) behavior, whereas the latter have DARA behavior. These findings suggest that policy programs encouraging retirement savings, such as tax breaks and subsidies, should be approached with caution depending on the balance of high and low-income individuals, particularly in less-developed economies.

Influence of Capital Adequacy Ratio, Credit Risk, Market Risk and Financial Distress Indicator towards Stock Return

The research objective is to the influence of capital adequacy ratios, credit risk, market risk, and financial distress indicators on stock returns. The sample uses a saturated sampling method. The data used is secondary data collected using the documentation method. Independent variables include indicators of capital adequacy ratio, credit risk, market risk, and financial distress with the dependent variable being stock returns. The analysis uses multiple regression. This research found that: capital adequacy ratio, credit risk, market risk, and financial distress have no effect on stock returns.

Impact of financial risk management on performance of Nigerian commercial banks

This study explored the impact of financial risk management Nigerian commercial banks' financial performance from 2009 to 2022. Return on assets (ROA) is used to assess financial performance, and capital risk (CAR), liquidity risk (LQR), market risk (MKR), and operational risk (OPR) are used to proxy financial risks. Fixed effects panel data regression analysis is used in the study on a sample of 70 observations from five significant commercial banks in Nigeria. The findings demonstrate that, even while the model as a whole is statistically significant, demonstrating the joint significance of the financial risk factors, when bank-specific heterogeneity is taken into account, none of the risk variables individually significantly affect ROA. The lack of significance of individual predictors points to issues of model misspecification, omitted variable bias, multicollinearity and autocorrelation. Further research should focus on refining the econometric approach through inclusion of pertinent control variables, use of dynamic modeling techniques and addressing diagnostic concerns. From a policy perspective, the findings highlight the imperative of enhancing risk management practices and prudential oversight to safeguard bank profitability and financial stability. The study provides a baseline model and recommendations for improving modeling strategies to gain richer insights into the financial risk-performance nexus for Nigerian commercial banks. With a robust empirical approach, valuable policy guidance can be provided to promote sound risk management systems and regulations for a profitable, stable and resilient banking sector that supports Nigeria's economic growth.

Capital market opening and commercial bank risk: Evidence from “Shanghai–Hong Kong Stock Connect”

Based on the implementation background of the “Shanghai–Hong Kong Stock Connect” policy, this paper explores the impact of capital market opening on the commercial banks risk. The results show that the capital market opening has a positive impact on the commercial banks risk. Financial information quality and external information environment are important transmission mechanisms for the capital market opening to affect the commercial bank risk. The impact of capital market opening on the commercial bank risk is heterogeneous, and it has a stronger effect on the risk reduction of commercial banks with larger asset size and capital flow ratio. This study objectively presents the effect of the implementation of the “Shanghai–Hong Kong Stock Connect” policy, and provides empirical evidence for commercial banks to avoid the capital market risks they may face.

Stock Risk Warning and Financial Market Stability Based on the Perspective of Stock Price Crash Risk of Peer Enterprises

This study empirically tests the effect of stock risk warning of listed companies on the risk of stock price crash of non-warning companies in the same industry and its mechanism in the Chinese A-share listed companies from 2008 to 2021 as samples. The research results show that the risk warning information has a capital market governance effect on peer companies, that is, the new risk warning information in an industry will alleviate the risk of stock price crash of peer companies. This conclusion remains robust after a series of robustness and endogeneity tests. The mediating mechanism test shows that the idiosyncratic information content of the stock price mediates the process of risk warning information affecting the risk of stock price crash of peer companies. The heterogeneity test shows that the governance effect of risk warning information on the risk of stock price crash of peer companies is more significant when the problem of company agency is more serious, the competitive market position is lower, or the differences in opinion among investors are smaller. This study provides empirical evidence for the necessity of the existence of the risk warning system. Additionally, it provides a reference for the capital market risk supervision of similar transition economies such as China.

Faktor Penentu Minat Investasi di Pasar Modal Syariah: Studi Pada Generasi Z Kota Malang

The Islamic capital market has enormous potential to encourage sustainable economic and financial development. Investors in the Islamic capital market are still very small when compared to the total population of Indonesia. Public interest in investing is quite low, but they do not have sufficient knowledge to assess the risks and returns of the Islamic capital market. Thus, the purpose of this study is to examine the factors that influence Gen Z's interest in investing in the Islamic capital market, risk perception, social media influencers, and disposable income. This research utilizes a quantitative methodology focused on the generation Z population in Malang City. A total of 200 research samples were collected using the incidental sampling method. The collected information was analyzed using the PLS (Partial Least Squares) method. The results of data analysis show that interest in investing in Islamic capital markets is influenced by Islamic capital market literacy, risk perception, and social media influencers. However, the results of data analysis show that disposable income does not affect investment interest. This study has practical implications for increasing Gen Z participation in Malang City in investing in the Islamic capital market. Educational efforts aimed at improving Islamic capital market literacy, effective risk management, and utilizing the positive influence of social media influencers can motivate Gen Z's interest in investing in the Islamic capital market.

Analysis Of The Effect Of Motivation And Knowledge About Capital Market, Return, Risk And Minimum Capital On Interest To Invest In The Indonesia Stock Exchange (Case Study In The Financial Audit Board Of The Republic Of Indonesia)

The purpose of this study was to find out how the influence of motivation, capital market knowledge, return, risk and initial capital on interest in investing in the Indonesia Stock Exchange.The research method uses a quantitative approach using primary data in the form of a survey through a questionnaire instrument, while the analytical method uses multiple regression statistical analysis. The research sample is BPK employees with random sampling technique.Based on the results of this study confirms: 1) Motivation has a positive and significant effect on interest in investing, the results of statistical tests noted that 49.4% of investment interest is influenced by motivation which shows that BPK employee motivation has a positive and significant influence on investment interest; 2) Knowledge of the capital market has a positive effect on investment interest. The results of statistical tests noted that 19.8% of BPK employees' investment interest was influenced by knowledge of the capital market; 3) Knowledge of Return has an effect on investment interest. The results of statistical tests noted that only 9.8% of BPK employees' investment interest was influenced by knowledge of returns; 4) knowledge about risk has a positive effect on investment interest. The results of statistical tests noted that 0.277 or 27.7% of knowledge about risk affects the investment interest of BPK employees; 5) Knowledge of minimum capital has an effect on investment interest. The results of statistical tests noted that 11.3% knowledge of minimum capital affects the investment interest of BPK employees; and 6) Motivation, knowledge of the capital market, stock returns, risk and minimal capital together have an effect on interest in investing in the capital market. The results of statistical tests noted that 76.9% interest in investment is jointly influenced by motivation, knowledge of the capital market, stock returns, risk and minimal capital. Meanwhile, the remaining 23.1% is influenced by external factors other than the five independent variables studied.

The Influence Of Risk Management On Financial Performance With Firm Size As A Moderating Variable In Islamic Commercial Banks For The Period 2017-2021

The purpose of this study was to determine the effect of capital adequacy, operational risk, and market risk on financial performance with firm size as a moderating variable in Islamic commercial banks in Indonesia. This study uses a quantitative survey type that uses time-series data of monthly from January 2017 to December 2021 as secondary data. The data obtained are processed using the Eviews 10 application. Analysis methods include descriptive statistical tests, stationarity tests, multiple linear regression tests, classical assumption tests, and Moderated Analysis Regression (MRA). This result proves that 1) CAR has a positive but not significant impact on ROA. 2) BOPO and NOM have a positive significant impact on ROA. 3) Firm size has a negative but not significant ROA. 4) Firm size can not moderate the impact of CAR and NOM on ROA. 5)Firm size can moderate the impact of BOPO on ROA.

A Guaranteed-Return Structured Product as an Investment Risk-Hedging Instrument in Pension Savings Plans

This study proposes a structured product (SP) for hedging defined contribution pension fund members against capital market risk. Using Monte Carlo simulations on three different guaranteed returns to test the investment strategy of the SP against a balanced investment portfolio, we measure their performance across a wide variety of capital market returns and risk scenarios. The results show that the SP guarantees a minimal return on the pension savings portfolio and offers a higher portfolio return at a lower investment risk, compared with the balanced investment portfolio. We conclude that the SP may become popular among pension fund members, potentially leading to improved risk management, greater competition, and investment strategy innovations for defined contribution pension schemes.

Pengaruh Pelatihan Pasar Modal, Return Investasi, Persepsi Risiko, dan Literasi Keuangan Terhadap Minat Investasi Melalui Aplikasi Online Pada Generasi Z.

The purpose of this study was to see whether there was any influence from capital market training, investment returns, risk perceptions, and financial literacy on the z generation's investment interest. The method used in this research is a quantitative research method. With a questionnaire data collection tool, with a population of generation z at the University of 17 August 1945 Surabaya Faculty of Economics and Business. The results of this study are that there is an effect of capital market training (X1) on the z generation's investment interest, there is an effect of investment return (X2) on the z generation's investment interest, no effect of risk perception (X3) is found on the z generation's investment interest, and there is an influence of literacy finance (X4) to investment interest in generation z. But if tested Simultaneously all Variables have a Significant effect.

Identify the Factors Which Affect to Risk Management Efficiency of the Banks: Evidence from Licensed Commercial Banks in Sri Lanka

Key financial indicator in banking system is capital adequacy ratio is considered. This ratio was approved by the Basel Committee on Banking Supervision. The main objective of this study was examining and identifying the factors affecting to risk management efficiency in domestic licensed commercial banks in Sri Lanka. As well as to find out what is the relationship between capital adequacy ratio and each risk factors. To achieve my research objectives, various type of analytical methods uses to analysis the data: Descriptive Analysis, Unit Root Test, Correlation and Coefficient Regression Analysis, The Hausman’s test and Hypothesis Testing. The sample of this study is 12 licensed commercial banks in Sri Lanka. There are 13 domestic licensed commercial banks and one bank has removed due to deviations of the data. A nature of this study is quantitative and annual data got period from 2013 to 2018. The Capital adequacy ratio use as the dependent variable and Credit risk, market risk, liquidity risk, profitability, operational efficiency, and bank size were used as independent variables. The results of the study revealed that credit risk, liquidity risk, profitability and operational efficiency has a significant impact on capital adequacy ratio and credit risk, liquidity risk and profitability share a positive significant relationship with the capital adequacy ratio. Further, operational efficiency has a negative significant relationship with the capital adequacy ratio and market risk and bank size did not show an impact on the on the risk management efficiency. The study concluded that the independents variables have a high impact on the dependent variable and explanatory power of the model is approximately 66%.

Pengaruh Pelatihan Pasar Modal, Return Investasi, Persepsi Risiko, Dan Literasi Keuangan Terhadap Minat Investasi Melalui Aplikasi Online Pada Generasi Z.

The purpose of this research is to find out whether there is an effect of Capital Market Training(X1), Investment Return(X2), Risk Perception(X3), and Financial Literacy(X4) on Generation Z Invesment Interst, either partially or simulaneously.. The method used in this study is a quantitative research method, using a questionnaire data collection tool, with a Generation Z at the University of 17 August 1945 Surabaya Faculty of Economics and Business Undergraduate 1 year 2019-2020 class as the population. The results of this study are that there is an effect of capital market training(X1) on the z generation's investment interest, there is an effect of investment return(X2) on the z generation's investment interest, no effect of risk perception(X3) is found on the z generation's investment interest, and there is an influence of literacy finance(X4) to investment interest in generation z. But if tested Simultaneously all Variables have a Significant effect.

Mathematical Modeling of Concentration Risk under the Default Risk Charge Using Probability and Statistics Theory

In the Fundamental Review of the Trading Book (FRTB), the latest regulation for minimum capital market risk requirements, one of the major changes, is replacing the Incremental Risk Charge (IRC) with the Default Risk Charge (DRC). The DRC measures only the default and does not consider the migration rating risk. The second new change in this approach was that the DRC now includes equity assets, contrary to the IRC. This paper studies DRC modeling under the Internal Model Approach (IMA) and the regulator conditions that every DRC component must respect. The FRTB presents the DRC measurement as Value at Risk (VaR) over a one-year horizon, with the quantile equal to 99.9%. We use multifactor adjustment to measure the DRC and compare it with the Monte Carlo Model to understand how the approach fits. We then define concentration in the DRC and propose two methods to quantify the concentration risk: the Ad Hoc and Add-On methods. Finally, we study the behavior of the DRC with respect to the concentration risk.

The Impact of Capital Adequacy Ratio, Credit Risk, Market Risk, Financial Distress, and Macroeconomic Toward Stock Return With Audit Quality as Moderator

This study was conducted to analyze the effect of capital adequacy ratio, credit risk, market risk, financial distress, inflation, and the exchange rate on stock returns with audit quality as moderating. The object of this research is companies in the banking sector listed on the Indonesia Stock Exchange for the period 2015-2020. This research was conducted with the aim of explaining quantitatively the attitude tendency of the population by examining a sample of the population. The research data is included in the type of secondary data in the form of financial reports and bank annual reports book 3 and book 4 of the implementation of Basel during the period 2015-2020. The data was obtained from the Indonesia Stock Exchange website, namely the website www.idx.co.id. The data analysis method used in this study uses panel data regression with the help of the Eviews 10 program. The results of this study conclude that the capital adequacy ratio, market risk, financial distress, inflation, exchange rate, and audit quality have no effect on stock returns. However, credit risk has an influence on stock returns. In this study there is a moderating variable, obtained audit quality as a moderating variable does not affect the relationship between capital adequacy ratio, market risk, financial distress, inflation, and the exchange rate to stock returns. However, audit quality as a moderating variable is able to influence the relationship between credit risk and stock return.

Capital Market Knowledge, Return, Risk Perception, Technological Advancement, and Investment Interest in Social Media

Purpose: This study aims to determine and investigate the effect of capital market knowledge, return, risk perception, and technological advancement on investment interest in social media. Methodology: The present study employs a descriptive research design that utilizes quantitative methods. The study's population consisted of followers of the @ngertisaham account on Instagram. A sample of 100 respondents was collected using the Slovin formula. The data collection methodology applies a questionnaire, and next, the acquired data is processed employing the IBM SPSS Statistics version 25 software application. The data analysis technique uses a validity test, reliability test, classical assumption test, and hypothesis testing (multiple linear regression analysis, coefficient of determination, f-test, and t-test). Findings: The findings of this study show that there is only a partial relationship between capital market knowledge, technological advancement, and investment interest among Instagram followers of the @ngertisaham account. However, this relationship is not significant. In contrast, the return and risk perception variables show positive and statistically significant effects on investment interest among Instagram followers of the @ngertisaham account. Novelty: The novelty aspect of this study is using respondents of Instagram followers of the @ngertisaham account.