Micro and Macro Determinants of Delisting and Liquidity in Indonesian Stock Market: A Time-Dependent Covariate of Survival Cox Approach

Authors

  • Dedy Dwi Prastyo Department of Statistics, Institut Teknologi Sepuluh Nopember, Kampus ITS – Sukolilo, Surabaya 60111, Indonesia
  • Yurike Nurmala Rucy Department of Statistics, Institut Teknologi Sepuluh Nopember, Kampus ITS – Sukolilo, Surabaya 60111, Indonesia
  • Advendos D.C. Sigalingging Department of Statistics, Institut Teknologi Sepuluh Nopember, Kampus ITS – Sukolilo, Surabaya 60111, Indonesia
  • Suhartono Suhartono Department of Statistics, Institut Teknologi Sepuluh Nopember, Kampus ITS – Sukolilo, Surabaya 60111, Indonesia
  • Soo-Fen Fam Department of Technopreneurship, Universiti Teknikal Malaysia Melaka, 76100 Durian Tunggal, Melaka, Malaysia

DOI:

https://doi.org/10.11113/matematika.v34.n3.1140

Abstract

Coxmodel is popular in survival analysis. In the case of time-varying covariate; several subject-specific attributes possibly to change more frequently than others. This paper deals with that issue. This study aims to analyze survival data with time-varying covariate using a time-dependent covariate Cox model. The two case studies employed in this work are (1) delisting time of companies from IDX and (2) delisting time of company from LQ45 (liquidity index). The survival time is the time until a company is delisted from IDX or LQ45. The determinants are eighteen quarterly financial ratios and two macroeconomics indicators, i.e., the Jakarta Composite Index (JCI) and BI interest rate that changes more frequent. The empirical results show that JCI is significant for both delisting and liquidity whereas BI rate is significant only for liquidity. The significant firm-specific financial ratios vary for delisting and liquidity.

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Published

2018-12-31

How to Cite

Prastyo, D. D., Rucy, Y. N., Sigalingging, A. D., Suhartono, S., & Fam, S.-F. (2018). Micro and Macro Determinants of Delisting and Liquidity in Indonesian Stock Market: A Time-Dependent Covariate of Survival Cox Approach. MATEMATIKA: Malaysian Journal of Industrial and Applied Mathematics, 34(3), 73–81. https://doi.org/10.11113/matematika.v34.n3.1140