Dwi Fitrizal Salim
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Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
Dwi Fitrizal Salim , Aldilla Iradianty , Farida Titik Kristanti , Widyadhana Candraningtias doi: http://dx.doi.org/10.21511/imfi.19(3).2022.25Investment Management and Financial Innovations Volume 19, 2022 Issue #3 pp. 302-311
Views: 628 Downloads: 194 TO CITE АНОТАЦІЯCovid-19 has an impact on stock investment, especially in Indonesia, marked by the decline in the Jakarta Composite Index (JCI) at the beginning of the Covid-19 pandemic. During the Covid-19 era, there was a lot of negative information about the uncertainty of the market, which made investors irrational about the choice of stocks in the portfolio. So this research will have a hypothesis that the High Volatility stock group will be the best portfolio in Covid-19 conditions. The sample used is the Group of stocks that have the largest market capitalization value in JCI. Stocks with large market caps are chosen because of one of the indicators of blue chip stock. The sample will be divided into three portfolio groups, High Volatility, Moderate Volatility, and Low Volatility. The results obtained that High Volatility became the best portfolio during the Covid-19 period. The results of this study prove that the group of stocks with High Volatility will get positive returns and sharpe performance results are the highest and positive, compared to moderate volatility and low volatility portfolios. This result arises because stocks with High Volatility are subject to large price fluctuations and in this situation, investors can invest in these stocks in a short time frame. The short-term process is carried out regularly so that it can be in accordance with investors' expectations for investments in the portfolio.
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Horizon of cryptocurrency before vs during COVID-19
Ikaputera Waspada , Dwi Fitrizal Salim , Astrie Krisnawati doi: http://dx.doi.org/10.21511/imfi.20(1).2023.02Investment Management and Financial Innovations Volume 20, 2023 Issue #1 pp. 14-25
Views: 880 Downloads: 432 TO CITE АНОТАЦІЯInvestment cannot be separated from the level of return and risk inherent in assets. Today, investment instruments are not only stocks, currencies, bonds, deposits, savings and others. The beginning of Bitcoin’s emergence as a pioneer of Cryptocurrency was in 2009. Crypto assets are emerging rapidly and are accompanied by an increase in the number of transactions each period. The growth in the market capitalization value of crypto assets has also grown significantly. During COVID-19, many investments, such as stocks, experienced a decline due to market uncertainty. The results of this study prove that with the existence of COVID-19, the crypto market is not affected. Crypto is an attraction characterized by a high degree of fluctuation, and there is no limit to transactions in the open market 24 hours to trade. The Cryptocurrency market is currently a market that can provide short-term benefits to risk-taking investors, while the market in other investment instruments is declining. 78% of the value capitalization of the top 200 cryptocurrencies is represented by the top 9 cryptos used as samples in this study. So that if there is a decrease in these 9 cryptos, it will also have an impact on the overall capitalization value of crypto in the market. The future development of Cryptocurrencies will no longer be digital assets traded with many speculators who can control prices, it can even be digital money that can be used worldwide without any transaction fees and is controlled on a blockchain system.
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Are Indonesian construction companies financially distressed? A prediction using artificial neural networks
Farida Titik Kristanti , Zahra Safriza , Dwi Fitrizal Salim doi: http://dx.doi.org/10.21511/imfi.20(2).2023.04Investment Management and Financial Innovations Volume 20, 2023 Issue #2 pp. 41-52
Views: 854 Downloads: 226 TO CITE АНОТАЦІЯConstruction companies are very dependent on the projects carried out by a company. Therefore, measuring whether a company is distressed or non-distressed can be done by looking at the ratios derived from the components of the financial statements from both the balance sheet and the company’s profit and loss. This study offers a new method for measuring financial distress in companies with Artificial Neural Networks (ANN). The model provided comes from several financial ratios in 17 construction companies listed on the Indonesia Stock Exchange. The model is expected to produce the best model by showing the lowest prediction error rate. The results showed that the best ANN model has 25 inputs, 20 hidden layer neurons, and 1 best model output. The model obtained will be tested directly on the sample used; the results are that 6 construction companies in Indonesia have financial distress and 11 non-distress problems. This result proves that the best model obtained can predict the level of financial distress of companies with a small error rate to produce 6 companies identified as financially distressed. This result can be a warning for companies to increase revenue by adding new projects to get out of financial distress status. Traditional financial distress models such as Altman, Zmijewski, Springate, and Fulmer, which have become researchers’ guidelines for measuring financial distress, can be added to the ANN 25-20-1 model as a comparison to strengthen the research results.
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US macroeconomic determinants of Bitcoin
Mailinda Tri Wahyuni , Endrizal Ridwan , Dwi Fitrizal Salim doi: http://dx.doi.org/10.21511/imfi.21(2).2024.19Investment Management and Financial Innovations Volume 21, 2024 Issue #2 pp. 240-252
Views: 324 Downloads: 126 TO CITE АНОТАЦІЯThis study aims to determine the impact of macroeconomic variables on bitcoin prices in the United States. Bitcoin is one of the cryptocurrencies that has the highest price and the most users in the United States in recent years. This study uses monthly data on inflation, interest rates, USD/EUR rates, gold prices, and bitcoin prices. To achieve the objectives of this study, Dynamic Conditional Correlation (DCC) and Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) were used. The results showed that there is a negative and significant relationship between the variables of inflation, interest rates, and USD/EUR rates affecting the price of Bitcoin in that period. Conversely, there is a positive and significant relationship between the price of gold and the price of Bitcoin in the United States during that period. An in-depth understanding of how macroeconomic factors such as inflation, interest rates and the USD/EUR rates affect Bitcoin price is key to making smart investment decisions in an increasingly complex crypto market. The findings of this analysis confirm that the significant relationship between macroeconomic variables and Bitcoin price provides deeper insights for investors to anticipate market movements and design adaptive investment strategies.
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