Zaäfri A. Husodo

Universitas Indonesia, Graduate School of Management

Depok, West Java 16424

Indonesia

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 16,394

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Top 16,394

in Total Papers Downloads

2,940

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (19)

1.

Empirical Test of Fama French Three Factor Model and Illiquidity Premium in Indonesia

Corporate Ownership & Control Journal / Volume 12, Issue 2, Winter 2015 (Scopus Indexed)
Number of pages: 23 Posted: 15 Feb 2014 Last Revised: 23 Feb 2015
Citra Amanda and Zaäfri A. Husodo
University of Auckland, Business School, Department of Accounting and Finance, Students and Universitas Indonesia, Graduate School of Management
Downloads 695 (36,345)

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Crisis, Illiquidity premium, Fama French three factor model

2.

The Structure of Interlinkages, Exogeneity and Contagion in the Stock Market and Foreign Exchange Market in Indonesia: A Study of Pre-Crisis and Crisis Times

Number of pages: 32 Posted: 10 May 2005
Zaäfri A. Husodo
Universitas Indonesia, Graduate School of Management
Downloads 277 (110,654)

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Contagion, stock market, Indonesia

3.

Intraday Speed of Price Adjustment in the Jakarta Stock Exchange

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 35 Posted: 10 Sep 2007
Zaäfri A. Husodo and Thomas Henker
Universitas Indonesia, Graduate School of Management and Bond University
Downloads 268 (114,533)

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Speed of adjustment, price discovery, noise, intraday pattern, the jakarta stock exchange

4.

On the Robustness of the Extended Fama-French Three Factor Model

Number of pages: 31 Posted: 12 Jan 2012 Last Revised: 29 Nov 2018
Intan Nurul Awwaliyah and Zaäfri A. Husodo
Department of Management, University of Jember and Universitas Indonesia, Graduate School of Management
Downloads 228 (135,001)
Citation 1

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asset pricing, three-factor model, size factor, book-to-market factor, momentum

5.

Noise and Efficient Variance in the Indonesia Stock Exchange

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 45 Posted: 24 Aug 2008
Thomas Henker and Zaäfri A. Husodo
Bond University and Universitas Indonesia, Graduate School of Management
Downloads 216 (142,257)
Citation 3

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Realized variance, Optimal sampling, Noise, Efficient variance, Indonesia Stock Exchange

6.

Short-Run Behavior of Stock Returns: Speed of Adjustment and its Contributing Factors in the Jakarta Stock Exchange

Number of pages: 57 Posted: 01 Jul 2007
Zaäfri A. Husodo and Thomas Henker
Universitas Indonesia, Graduate School of Management and Bond University
Downloads 207 (148,009)
Citation 1

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speed of adjustment, bid-ask spread components, jakarta stock exchange

7.

How Integrated are the ASEAN Capital Markets?

Number of pages: 26 Posted: 16 Feb 2014 Last Revised: 03 Feb 2015
Zaäfri A. Husodo and Irwan Adi Ekaputra
Universitas Indonesia, Graduate School of Management and Universitas Indonesia
Downloads 206 (148,693)

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ASEAN stock market, ASEAN equity market, (co)integration, dynamic correlation, liquidity, volatility

8.

Intraday Speed of Adjustment and the Realized Variance in the Indonesia Stock Exchange

Indonesian Capital Market Review, Vol. 1, pp. 13-26, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 28 Posted: 24 Aug 2008 Last Revised: 13 Feb 2013
Zaäfri A. Husodo and Thomas Henker
Universitas Indonesia, Graduate School of Management and Bond University
Downloads 196 (155,886)
Citation 1

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Speed of Adjustment, Realized Variance, Noise, Indonesia Stock Exchange

9.

Realized Volatility and Liquidity in the Indonesia Stock Exchange

Number of pages: 30 Posted: 16 May 2013
Risca Fleureta and Zaäfri A. Husodo
Universitas Indonesia, Graduate School of Management and Universitas Indonesia, Graduate School of Management
Downloads 153 (193,724)

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Emerging Market, Indonesia Stock Exchange, Realized Volatility, Liquidity

10.

Optimal Commodity and Cross-Currency Heding: The Case of Asean-5-Based Grain and Soft Commodity Traders

Number of pages: 50 Posted: 20 Jul 2011 Last Revised: 13 Feb 2013
Banyu Vidiapratama and Zaäfri A. Husodo
Universitas Indonesia and Universitas Indonesia, Graduate School of Management
Downloads 130 (220,958)

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ASEAN, Optimal Hedging, Commodity Hedging, Currency Hedging, Asset Pricing

11.

Family and Friends Versus Formal Financial Institutions: Lessons Learned About Financial Inclusion of Low Income Families in Greater Jakarta, Indonesia

Number of pages: 19 Posted: 20 Aug 2014 Last Revised: 21 Aug 2014
Universitas Indonesia, Graduate School of Management, Department of Management Faculty of Economics and Business Universitas Indonesia, University of Indonesia (UI) and University of Indonesia (UI) - Department of Management
Downloads 82 (302,931)

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Financial Inclusion, Low Income Families, Family and Friends, Indonesia

12.

Liquidity Premium Persistency in the Indonesia Stock Exchange

Universitas Indonesia, Graduate School of Management Research Paper No. 13-05
Number of pages: 32 Posted: 16 May 2013 Last Revised: 19 Sep 2013
Daniel Wojtyla and Zaäfri A. Husodo
Lembaga Pembiayaan Ekspor Indonesia (Indonesia Eximbank) and Universitas Indonesia, Graduate School of Management
Downloads 67 (339,568)

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liquidity premium, stock market, emerging stock market, Indonesia Stock Exchange

13.

Liquidity Premium Persistence in the Indonesia Stock Exchange (IDX)

Number of pages: 32 Posted: 03 May 2013
Daniel Wojtyla and Zaäfri A. Husodo
Lembaga Pembiayaan Ekspor Indonesia (Indonesia Eximbank) and Universitas Indonesia, Graduate School of Management
Downloads 63 (350,599)

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liquidity premium, stock market, emerging stock market, Indonesia Stock Exchange

14.

Liquidity-Risk-Premium Free Price Models of Government Bonds and Currency Forwards in Persistently Informed Markets

Number of pages: 27 Posted: 26 Sep 2016 Last Revised: 02 Jan 2017
Aryo Sasongko, Cynthia Afriani, Buddi Wibowo and Zaäfri A. Husodo
Bank Indonesia, Monetary Management Department, Universitas Indonesia, Graduate School of Management, University of Indonesia (UI) - Faculty of Economics and Business and Universitas Indonesia, Graduate School of Management
Downloads 61 (356,322)

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Asymmetric selection cost, Inventory holding cost, Bid-ask spread, Trading volume, Trading frequency, Liquidity innovation

15.

An Analysis of Temporal Relation between Monetary Conditions and Illiquidity Premium in Indonesia

Universitas Indonesia, Graduate School of Management Research Paper No. 13-11
Number of pages: 42 Posted: 09 Sep 2012
Zaäfri A. Husodo and Rama Raditya
Universitas Indonesia, Graduate School of Management and affiliation not provided to SSRN
Downloads 54 (378,003)

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Illiquidity, Liquidity, Asset pricing, Funding conditions, Monetary conditions

16.

Stock Market Prices and Financial System Stability

Number of pages: 38 Posted: 03 Sep 2019
Universitas Indonesia, Graduate School of Management, Universitas Indonesia, Graduate School of Management, University of Indonesia - Faculty of Economics, Bank Indonesia, Bank Indonesia, Bank Indonesia and Bank Indonesia
Downloads 23 (508,214)

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Macrofinancial Linkages, Macro-prudential, Macro-finance, Asset Mispricing, Fama-French 3-Factor Model, Fama-French 5-Factor Model, Financial Friction, Indonesian economy

17.

High-Frequency Betas and Cross Section of Expected Stock Returns in Southeast Asia

Number of pages: 26 Posted: 06 Aug 2019
Usman Arief, Zaäfri A. Husodo and Asiah Rusdi Muchtar
University of Indonesia (UI) - Faculty of Economics and Business, Universitas Indonesia, Graduate School of Management and University of Indonesia (UI) - University of Indonesia
Downloads 10 (586,827)

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high-frequency, beta, continuous, jumps, Southeast Asia, stock returns

18.

Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)

Number of pages: 28 Posted: 06 Aug 2019
Usman Arief and Zaäfri A. Husodo
University of Indonesia (UI) - Faculty of Economics and Business and Universitas Indonesia, Graduate School of Management
Downloads 4 (626,685)

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extreme price movements, private information, jump, high-frequency data

19.

Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment

Sasongko, A., Utama, C.A., Wibowo, B. et al. Comput Econ (2018). https://doi.org/10.1007/s10614-018-9848-z
Posted: 27 Jul 2015 Last Revised: 14 Oct 2018
Aryo Sasongko, Cynthia Afriani, Buddi Wibowo and Zaäfri A. Husodo
Bank Indonesia, Monetary Management Department, Universitas Indonesia, Graduate School of Management, University of Indonesia (UI) - Faculty of Economics and Business and Universitas Indonesia, Graduate School of Management

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Hybrid optimisation algorithms, Modified Bolder and Stréliski performance indicators, Monte Carlo method, Nelson Siegel extensions, Newton method, Term structure of interest rates

Other Papers (9)

Total Downloads: 304
1.

The Pricing of Sovereign Sukuk for R&D Financing in Indonesia: Analysis and Modeling

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 31 Posted: 13 Feb 2014 Last Revised: 11 Jun 2014
University of Indonesia (UI) - Faculty of Economics and Business, Universitas Indonesia - Graduate School of Management, Department of Management Faculty of Economics and Business Universitas Indonesia and Universitas Indonesia, Graduate School of Management
Downloads 81

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Sharia, R&D financing, Islamic finance, Sukuk, pricing, modeling

2.

Liquidity Innovation Function as a Liquidity Measure Bias from Statistical Mode to Construct Liquidity-Risk-Premium-Free Term Structure

Number of pages: 12 Posted: 18 Jul 2015 Last Revised: 27 Sep 2016
Aryo Sasongko, Cynthia Afriani, Buddi Wibowo and Zaäfri A. Husodo
Bank Indonesia, Monetary Management Department, Universitas Indonesia, Graduate School of Management, University of Indonesia (UI) - Faculty of Economics and Business and Universitas Indonesia, Graduate School of Management
Downloads 76 (254,021)

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Asset pricing, Liquidity innovation, Objective function, Liquidity-risk-premium-free bond price, Liquidity-risk-premium-free term structure

3.

Redefining and Constructing Basic Term Structures of Interest Rates and Analyzing Price Errors of Indonesian Government Bonds and the US Treasuries

Number of pages: 40 Posted: 04 Aug 2015 Last Revised: 27 Sep 2016
Aryo Sasongko, Cynthia Afriani, Buddi Wibowo and Zaäfri A. Husodo
Bank Indonesia, Monetary Management Department, Universitas Indonesia, Graduate School of Management, University of Indonesia (UI) - Faculty of Economics and Business and Universitas Indonesia, Graduate School of Management
Downloads 37 (369,258)

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Asset pricing, Bootstrap estimation, Liquidity measures, Objective function, Liquidity-risk-premium-free term structure, Basic term structure

4.

Dynamic Conditional Correlation Analysis in Asia Pacific and Latin America´s Equity Market: Interdependence and Contagion

Number of pages: 42 Posted: 08 Feb 2014 Last Revised: 12 Sep 2019
Ossi Ferli and Zaäfri A. Husodo
STIE Indonesia Banking School and Universitas Indonesia, Graduate School of Management
Downloads 36 (440,218)

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Multivariate GARCH; DCC; Interdependence; Contagion; Financial Integration

5.

Pyramidal Ownership Structure and Cost of Bank Loans: Evidence from Indonesian Business Groups

Global Finance Journal, Vol. 37, 2018
Number of pages: 44 Posted: 30 Jan 2017 Last Revised: 11 Sep 2019
Faculty of Economics and Business - Universitas Indonesia, INDONESIA, Universitas Indonesia, Graduate School of Management, Universitas Indonesia, Graduate School of Management and Monash University - Department of Accounting
Downloads 25

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Ownership structure, Business groups, Pyramids, Cost of debt, Bank loans

6.

Contagion: An Analysis of the Asian and the US Crises

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 26 Posted: 07 Feb 2014
Dyani Poedjioetomo and Zaäfri A. Husodo
Universitas Indonesia, Graduate School of Management and Universitas Indonesia, Graduate School of Management
Downloads 25

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Contagion, Exogeneity, Interdependence, Variance Decomposition

7.

Interest Margin, Market Power, Diversification Strategy and Banking Stability: Evidence from ASEAN

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 33 Posted: 11 Feb 2016
University of Indonesia (UI) - Faculty of Economics and Business, Universitas Indonesia, Universitas Indonesia, Graduate School of Management and Universitas Indonesia, Graduate School of Management
Downloads 18

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ASEAN, Banking, Diversification, Foreign Bank Penetration, Interest Margin, Market Power, Stability

8.

Portfolio Selection for the Emerging Markets of Southeast Asia

Number of pages: 43 Posted: 27 Sep 2018
Nurita Anggraini and Zaäfri A. Husodo
Master of Management and Universitas Indonesia, Graduate School of Management
Downloads 5

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Capital Asset Pricing Model, Three-Factor Fama-French, Five-Factor Fama-French, Size, Book-to-Market Equity, Profitability, Investment

9.

Identification of Systemically Important Financial Institutions and Systemic Risk Ranking Analysis in Indonesia

Number of pages: 18 Posted: 27 Sep 2018
Arza F. Prameswara and Zaäfri A. Husodo
University of Indonesia (UI) - Faculty of Economics and Business and Universitas Indonesia, Graduate School of Management
Downloads 1

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SIFIs, Systemic Risk, Systemic Risk Ranking, Principal Component Analysis, Delta CoVaR, MES, SRISK, Composite Risk Ranking