Investment Returns Research Articles

THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE JAKARTA ISLAMIC INDEX (JII): AN ANALYSIS FROM 2010 TO 2023

Introduction: Sharia investment activities become one of the most promising economic activities. This is proven from the resilience of sharia capital market activities, which have remained strong despite the challenges of the Covid-19 pandemic. This research examine the influence of macroeconomic variables on the Jakarta Islamic Index (JII). Method: This research used a quantitative approach with time series data for the period of January 2010 to December 2023. Specifically, the Vector Error Correction Model (VECM) method was employed to examine both the long-term and short-term effects, as well as the shocks in macroeconomic variables on Jakarta Islamic Index (JII). Results: This study indicate that in the long term, the exchange rate, IHSG and WGP variables have a significant positive impact on JII, while the inflation variable has a significant negative impact. Conversely, the WGP variable shows an insignificant negative impact on stock movements rates within JII. In the short term, however, the variables of inflation, exchange rate, IHSG, COP (Crude Oil Prices) and WGP do not have any impact on the movement of shares listed on JII. Conclusions and Suggestions: The findings of this research encourage investors to pay more attention to the movement of macroeconomic rate variables and information from companies related to financial reports before making a decision to invest their capital. The inflation, exchange rate, and IHSG variables can be utilized as references in decision making because better movement of the IHSG and exchange rate and stable inflation are able to provide optimal returns for investors.

Climate-Smart Agricultural Finance (CSAF): A model for sustainable investments in agriculture

Climate-Smart Agricultural Finance (CSAF) integrates environmental risk assessments into agricultural lending models to promote sustainability and climate resilience. This paper explores the significance of CSAF in mitigating climate-related risks, improving farm productivity, and enhancing long-term economic stability for both farmers and investors. It outlines the mechanisms through which CSAF promotes sustainable agriculture, such as the use of green bonds, sustainability-linked loans, and carbon credit financing. Additionally, it analyzes the benefits of CSAF, including improved climate resilience, risk mitigation, and financial returns for investors. The paper concludes with recommendations for improving CSAF models, emphasizing financial inclusion, enhanced data collection, and public-private partnerships to promote wider adoption. CSAF offers a promising path toward building a more sustainable and resilient agricultural sector in the face of climate change.

Analisis Faktor-Faktor Equity Risk Premium Perusahaan Sektor Kesehatan yang Terdaftar di Bursa Efek Indonesia

This study aims to analyze the determinants of equity risk premium among healthcare sector companies listed on the Indonesia Stock Exchange during the period from 2011 to 2022. The equity risk premium, a crucial concept in investment decision-making, represents the additional return investors require for holding risky assets compared to risk-free assets. The study uses independent variables such as book to market equity ratio, beta, leverage, and firm size to understand their influence on the equity risk premium. This research adopts a quantitative approach, utilizing panel data analysis to evaluate the relationships between the variables. The sample is selected using purposive sampling, focusing on healthcare companies listed on the Indonesia Stock Exchange that have published financial statements for the years 2011 to 2022. The results of the study indicate that beta significantly affect the equity risk premium in the healthcare sector. However, book to market equity ratio, leverage, and firm size do not show a significant impact on the equity risk premium. The findings contribute to the literature by providing insights into the unique determinants of the equity risk premium in the healthcare sector, particularly in the context of the Indonesian market. These insights are valuable for investors seeking to optimize their portfolios and manage risk effectively, as well as for companies aiming to improve their financial performance and investor relations.

Research on Predicting Stock Market Profitability Changes Based on Machine Learning

The expansion of the market in our country has led to rapid economic growth, and many companies have begun to seek foreign investment for themselves. What investors are given is an invisible but very useful thing - stocks. However, stocks are unpredictable and subject to many influences, making it difficult for investors to predict whether the stock trend will decline or rise. It is uncertain whether investors will make a profit or lose money. The development of artificial intelligence technology has played a crucial role in driving stock model prediction. With the development and gradual maturity of machine learning technology, machine learning models are used for efficient and accurate analysis of massive data in the stock market, thereby achieving data mining in the stock market, analyzing changes in stock returns, and predicting them to improve investor returns.

Predicting multi-frequency crude oil price dynamics: Based on MIDAS and STL methods

Accurate prediction of crude oil prices is important for national energy security and socioeconomic development. Research on crude oil price forecasting has primarily focused on the overall price, overlooking the differentiated investment needs of different entities. To solve this problem, we introduce the Seasonal and Trend decomposition using Loess (STL) method into the Mixed Data Sampling (MIDAS) model. This enables us to more accurately analyze the predictive capability of predictors for crude oil prices at different frequencies. Selected predictors include the Dow Jones Index, US Dollar exchange rate, economic policy uncertainty, related crude oil and energy prices, carbon asset prices, and investor attention. Empirical results indicate that these predictors significantly enhance the forecasting accuracy across all components, with the strongest impact in the trend component. Interestingly, a lag effect is observed in the predictors' impact on the seasonal and residual components, but not on the trend component. Moreover, we calculate the duration of each predictor's effectiveness for different components of crude oil prices, distinguishing short-term and long-term effective predictors. This research offers novel insights into the design of crude oil price forecasting models, which is crucial for enhancing investor returns and maintaining stability in the energy market.

INTEREST RATES AND INVESTOR RETURNS: A STUDY OF DYNAMICS IN ISLAMIC BANKING

This study aims to evaluate the effect of interest rates on stock returns for investors in Islamic banking in Indonesia. The study employs a descriptive quantitative method and utilizes simple regression analysis to evaluate the impact of interest rates on investor stock returns. The findings indicate that fluctuations in interest rates do not affect the stock returns of investors in Islamic banking in Indonesia. This can be attributed to the fact that Islamic banks operate under a profit-sharing system rather than an interest-based system. Furthermore, Indonesia's predominantly Muslim population places significant importance on Sharia compliance, which serves as a primary consideration for investors in Islamic banking. This indicates that interest rates do not influence investors interest in investing in Islamic banks.

A indústria brasileira de private equity: Market timing para desinvestimento pós IPO

This is a descriptive, quantitative study that used as a database information from Equity Investment Funds (EIF) and records of 49 companies supported by Private Equity (PE) and Venture Capital (VC) in Brazil, between the years 2000 and 2020, which carried out an IPO and were fully divested. The results show that 2.7 years is the approximate time for total divestment - close to the 3 years of the US market, in addition to the fact that when the shares held by the PE/VC Funds were fully divested, the prices of the shares were higher than the prices at the IPO and, finally, that the exits resulted in positive abnormal returns for investors. Therefore, this study brings contributions to society and to the Applied Social Sciences, as it is innovative in measuring the Market Timing of divestment in the PE/VC industry in Brazil, as well as filling a gap in the internal literature and perhaps assisting researchers interested in further exploring this subject.

Too naïve to NAV? Performance display and capital misallocation

AbstractWe find that mutual fund flows respond to price returns (changes in net asset value per share or NAV returns) that are widely displayed in practice, whereas total fund returns include both price returns and fund distributions. NAV return‐chasing is not driven by tax considerations or alternative performance and risk metrics and leads to suboptimal investment performance. Additionally, NAV return‐chasing generates price pressure on funds’ stock holdings. These findings suggest that more prevalent displays of total investment returns could improve investor decision‐making, especially for less sophisticated investors.

Measuring The Information Content Of Accounting Profits In The Iraqi Banking Sector For Banks Listed On The Iraqi Stock Exchange

The study aims to measure the information content of the accounting profits of banks listed on the Iraqi Stock Exchange, as the sample included 10 banks for a period of 4 years (2016-2019). The study concluded that banks that have a high explanatory ability reflect greater stability in the stock price, which would reassure Investors and stakeholders, thus reducing dispersion and fluctuations in the stock price, while banks with weak explanatory power show higher volatility in the stock price, which indicates additional risks that increase the fluctuation in investor returns, and the influencing factors have a major role in enhancing or reducing the information content of profits. Which explains the discrepancy between banks, and the study recommended the need to enhance the quality of financial disclosure, especially banks with weak explanatory capacity, increase transparency, and work to enhance the informational content of profits, which in turn increases investors’ confidence in accounting information, as well as encouraging banks to strengthen their internal control systems, which helps in Reducing accounting errors and the accuracy of declared profits, thus stabilizing the share price. Strengthening the administrative capabilities of executive managers contributes significantly to enhancing the informational content of profits by allocating the company’s available resources efficiently and effectively.

Examining the Impact of Financial Literacy on Investment Behaviour and Demographic Factors in Bangalore

This study investigates the relationship between financial literacy, investment behavior, and demographic factors such as age, gender, education, and marital status among individuals in Bangalore. Utilizing a quantitative research design, data were collected through a structured questionnaire from 78 respondents. Descriptive statistics summarized demographic profiles and financial literacy scores, while inferential statistics, including ANOVA and chi-square tests, were used to test hypotheses. Results indicated significant relationships between age and savings, education and savings, financial literacy and investment returns, and education and investment returns. However, no significant differences were found in financial literacy scores across different investment behaviors, marital statuses, and savings levels. These findings underscore the critical role of financial literacy in shaping investment behavior and highlight the need for targeted financial education programs to enhance financial decision-making among diverse demographic groups in Bangalore.

Integrated outcomes of large-scale ecological restoration projects on biodiversity–eco-environment–society in China

China has executed large-scale ecological restoration projects (ERPs) to meet the goals of environmental protection and economic development. Yet, the integrated outcomes of these projects on the biodiversity–eco-environment–society dimensions remain unclear, but when available could be insightful for adaptation and adjustments, particularly in this United Nations decade on Ecosystem Restoration (2021–2030). Based on multi-source data, we identified the categories and quantities of large-scale ERP implementation in the county-level. By comparing the time-series multiple factors of implemented vs unimplemented counties, we quantify the contributions and compare the relative effects of up to six different ERPs. Combining random forest, spatial autocorrelation, and network analysis, we explore the key factors that affect the contributions of ERPs. Here, we show that the triple dimensions in the low ERP group (regions implementing 0–2 projects) produced better outcomes than the high ERP group (regions implementing 3–5 projects) in relatively developed regions, while the high ERP group has more gains than the low ERP group in relatively less-developed regions. Notably, regional characteristics and different social assets mediate the ERP contributions, while human capital and financial capital have important roles. Overall, the ERPs generated positive contributions and could increase the network stability of multi-dimensions in relatively less-developed regions, but it may lead to imbalances in some factors (i.e., mammal species conservation, and human capital). To continue to minimize the negative effects from past, and to improve the returns of ERP policy and investments, more timely and adaptive management of ERPs are needed, especially in relatively less-developed regions.

School District Housing Buyers and Educational Investment Returns: A Case Study of X District in Shanghai

As a dual carrier of educational resources and economic assets, school district housing has become an important tool for family educational investment and social class reproduction. This paper takes Shanghai's X District as an example to explore, from a sociological perspective, the purchasing behaviors of different groups regarding school district housing and their educational investment returns. It reveals the key role of school district housing in the accumulation of cultural and social capital. The study finds that high-income families, the middle class, and the working class in X District exhibit different demand tendencies when purchasing school district housing, reflecting goals of obtaining high-quality educational resources, expanding social capital, and achieving upward social mobility, respectively. The phenomenon of school district housing exacerbates the imbalance in the distribution of educational resources and limits social mobility.

Optimizing Short and Long Term Investment Returns Using Multi-Armed Slot Machine Algorithms

This study focuses on comparing the effectiveness of UCB, Thompson sampling and Epsilon-Greedy algorithms in multi-armed slot machine algorithms for short-term and long-term investment return optimization in financial markets. This analysis examines stock performance data from Tesla, General Motors, and Ford over specific periods: five years of weekly data (2019-2024) and six months of daily data (February to August 2024). From the results, it is shown that for long-term investments, Over the five-year period, Thompson Sampling outperformed UCB and Epsilon-Greedy algorithms in terms of stability and overall return, demonstrating a consistent upward trend with fewer fluctuations. For short-term investments, although the UCB algorithm performs similarly to the Thompson sampling algorithm, the returns in the UCB algorithm grow progressively slower as the timeline is lengthened. In the six-month daily data analysis, the Epsilon-Greedy algorithm excelled in capturing short-term gains due to its aggressive exploration mechanism, though it also showed higher volatility in response to market fluctuations, and the algorithm should be chosen to be able to keep up with the fluctuations in the stock market in real time, and the investor should take into account the cost of time as well as changes in the market in order to formulate an optimal investment strategy.The findings of this study will provide a practical type of approach to investors when developing investment strategies. Future research will explore other classes of new algorithms and consider more market factors so that they can be better adapted to the complex investment environment in the future.

PENGARUH PENDAPATAN PREMI, BEBAN KLAIM, RISK BASED CAPITAL DAN HASIL INVESTASI TERHADAP LABA PERUSAHAAN ASURANSI UMUM SYARIAH YANG TERDAFTAR DI OTORITAS JASA KEUANGAN INDONESIA

Abstract: Corporate Profit or commonly called profitability, is a measure of how well a company has succeeded in generating net profit from its operations in a certain period. This study aims to determine how much influence Premium Income, Claim Expenses, Risk Based Capital and Investment Returns have on the Profit of Sharia General Insurance Companies registered with the Indonesian Financial Services Authority, with an observation period of three years, namely from 2020 to 2022. The data used in this study are secondary data that are quantitative in nature, namely by using financial reports published by the Financial Services Authority. The population in this study were 25 issuers and the sample selected in this study were 17 issuers, and using the purposive sampling method with certain criteria. The analysis method uses the panel data regression analysis method. The model used in this study is the panel data fixed effect model, classical assumption test and hypothesis test. The results show that premium income, claim expenses, risk based capital and investment returns simultaneously have a significant effect on the Profit of Sharia General Insurance Companies registered with the Indonesian Financial Services Authority. Premium income partially has a negative and significant effect on company profits. Claim expenses partially have a positive and significant effect on company profits. Risk based capital partially has a positive and significant effect on company profits. Investment results partially have no effect on company profits. Keywords: Premium Income, Claims Expense, Risk Based Capital, Investment Results and Company Profit

Determinan Proporsi Dana Tabarru’ pada Lembaga Keuangan Asuransi Jiwa Syariah

Financial management in Islamic insurance companies uses a split fund system. It is also supported by PMK Number 18/PMK.010/2020, which emphasizes that operators or sharia insurance companies must separate wealth by tabarru' fund obligations from the obligations and assets of company funds. The separation of funds has been carried out since participants pay contributions (premiums) at the beginning of the transaction. The purpose of this study is to analyze the factors that influence the proportion of tabarru' funds in Sharia Life Insurance companies. This research is a quantitative research, and the source of the data obtained is secondary data. The population is 21 Sharia Life Insurance companies registered with OJK. The sample of this study uses a purposive sampling technique by producing 16 sharia life insurance companies registered with the OJK, using annual financial statements according to the variables used during the period (2017-2019). Data analysis uses panel data regression analysis with fixed effects model which is processed using eviews 9. The findings from this research show that claims, sharia reinsurance, and operating expenses have a significant effect, while the growth of tabarru' funds and investment returns of tabarru' funds have no significant effect. With the coefficient of determination (R square) 0.775396 which means claims, sharia reinsurance, operating expenses, growth of tabarru' funds and investment returns of tabarru' funds can explain 77% of the proportion of tabarru' funds and the rest is influenced by other variables outside the study.. Keywords: Proportion of Tabarru' Funds, Sharia Life Insurance, Separation of Funds

Behavioral Economics and Stock Market Decision-Making: Investor Biases and Investment Strategies

This study examines the application of behavioral economics to stock market decision-making, focusing on common cognitive biases of investors and their impact on investment decisions. Unlike the complete rationality assumed in traditional economics, behavioral economics reveals the irrational behaviors that investors exhibit when facing risks and uncertainties, such as overconfidence, loss aversion, and herd effect. By examining classical theories such as prospect theory, loss aversion, and the anchoring effect, as well as specific case studies such as the 2008 global financial crisis, this study aims to reveal how these psychological biases affect investors’ decision-making process. Further, this study examines how behavioral economics theories can be used to improve investment strategies by recommending methods such as low volatility investment strategies to help investors make more rational and effective investment choices in a complex market environment. Through in-depth analysis of the core theories and cases of behavioral economics, investors are better able to identify biases in the decision-making process, thereby optimizing their investment decisions and improving long-term investment returns.

Cost-effectiveness analysis of screening three-year old for social-emotional problems

Abstract Aim To assesses the long-term cost-effectiveness of a population-based screening to detect social-emotional problems at 3-years-old combined with an evidence-based intervention to prevent mental health problems. Methods A decision-analytic Markov model compares two alternatives 1) all 3-years-old get screened for social-emotional problems, and parents for children at a high risk receive a generic targeting parenting intervention 2) no screening and no intervention. The cohort of 3-year-old is modeled until they are 19 years old. The screening test is the ASQ:SE and the intervention was given to children with scores that suggest social-emotional problems. The model considered development of anxiety, conduct problems, and ADHD, over the 16 years. The analyses were done from a societal and healthcare perspectives. Health outcomes were assessed with DALYs averted. Results Results suggest that the probability of population-based screening for social-emotional problems combined with the parenting intervention to high risk-children being cost-effective is high, adopting a societal and healthcare perspective, 98% and 97% each. From a societal perspective, the likelihood of cost saving is high, 85 %. The combination of screening and intervention strongly dominated the comparator. Conclusions The findings align with previous research; prevention aimed at children’s mental health disorders will likely yield high investment returns. Successful implementation of population-based screening for social-emotional problems combined with an effective evidence-based parenting intervention might be an important way to contribute to sustainable and efficient mental health care. Key messages • The impact of combining population-based screening with intervention is encouraging when considering a long-term view. • Prevention aimed at children’s mental health will likely yield high investment return.

Factors afffecting on the growth assets of sharia life insurance companies in Indonesia

Purpose - The objective of this research is to present a summary and examination of the impact of investment returns, claims, and premiums on asset growth in Indonesian sharia life insurance firms from 2018 to 2022.Method - This study uses quantitative methods. The study's population consists of sharia life insurance companies that are registered with the OJK, and its sample consists of seven such companies that provide complete financial reports through 2022. Panel data analysis is the data analysis technique employed in this study, and the Common Effect Model (CEM) was selected using eviws 10.Result - This study provides evidence that premiums and claims have a detrimental effect on Indonesian Islamicic life insurance businesses' asset growth. Low premiums and high claims inhibit asset growth. On the other hand, investment returns have a positive effect, because Islamicic insurance companies gain opportunities for asset growth from investments in various sectors. Therefore, claim management and optimization of investment returns are very important to encourage the growth of company assets.Implication - These findings have implications from the results of this investigation, which show that a company is better and can be considered healthy if its assets are larger.Originality - This study is the first to employ profit-sharing finance as an intervening variable.

The Effects of Climate Change on Kenya’s Economic Growth

Changes in the climate and natural disasters have hampered Kenya's growth in economy, as seen by periodic droughts, floods, and shifts in rainfall and temperature patterns. The research investigated the effects of climatic change on Kenya's GDP growth. Modeling was done using Autoregressive Distributed Lag (ARDL) model estimation technique while analyzing data from 1990 to 2023. Climate change was represented by annual rainfall fluctuations, carbon emissions, and forest depletion, with inflation, exchange rates, and government spending serving as the controlling factors. The regression results indicated that at 5% level of significance short run carbon emissions affect growth negatively but the long run results indicated a positive effect. Forest depletion positively impacts growth in the long run period. Government expenditure, changes in the exchange rate and economic growth had an inverse relationship. Inflation did not have potential long term impact on GDP. This study recommended that the government to balance economic growth with environmental sustainability by promoting cleaner technologies and renewable energy projects. Investments advanced irrigation and drought resistant crops are crucial. Sustainable forest management should involve controlled logging and reforestation to ensure long term health. Reducing exchange rate volatility through foreign reserves and diversified exports will stabilize the economy. Enhancing government expenditure efficiency by focusing on high return investments and minimizing waste will boost GDP stability.

Control risk premium: Dual‐class shares, family ownership, and minority investor returns

AbstractDespite exhibiting significant valuation discounts, dual‐class shares surged from 1% of initial public offerings in 1980 to nearly half in recent years. This study investigates the potential harm of such structures by examining the identity and returns of minority shareholders. We find that sophisticated investors predominantly hold low‐voting shares. Furthermore, outside shareholders earn a positive risk premium rather than suffering low returns, consistent with the hypothesis that market prices compensate for the risk associated with dual‐class structures. Our analysis reveals that such structures are confounded with family control, which is present in 89% of dual‐class firms in the Russell 3000. Interestingly, single‐class firms with family shareholders also enjoy positive abnormal returns, implying minority shareholders care more about the presence of a controlling shareholder than a specific voting structure. This research contributes to the ongoing debate on restricting dual‐class structures by highlighting the complex relationship between ownership, control, and shareholder returns.