e102be9e-b216-49e5-9bc6-30803a23114820210208114321789wseamdt@crossref.orgMDT DepositWSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS1109-952610.37394/23207http://wseas.org/wseas/cms.action?id=4016211202021120201710.37394/23207.2020.17http://wseas.org/wseas/cms.action?id=23182To Define Window Dressing in the State Owned Enterprises and Private Companies (Case Study in Indonesia Stock Exchange LQ45)EricaVirginiaDepartment of Accounting, President University, Cikarang, INDONESIA, also with Accenture, Management Consulting Business, Jakarta, INDONESIAJosepGintingDepartment of Accounting, President University, Cikarang, INDONESIAFaiz A. M.ElfakiDepartment of Mathematics, Statistics and Physics, College of Aarts and Science, Qatar University,QATARWindow dressing in capital market can be defined as the activities of company to increase the stock price. This study was conducted to observe all the activities of window dressing in some companies listed in stock market. The detection of window dressing in this study was focused based on the samples from state owned companies (Telekomunikasi Indonesia Tbk, and Adhi Karya Tbk) and private sector from Astra Agro Lestari (Agriculture Industry). GARCH model was used while window dressing was analyzed by using the method given by Owens and Wu (2011). Results indicate that the best model to explain the behavior of volatility is AR(1)-GARCH(1,1). However, window dressing for three companies mentioned was occurred in 2014-2016; 2014 and 2016, respectively. In additional to that the t-test, was found to be significant for the three companies while the short-term average was above than the long-term average of the year.412020412020172183https://www.wseas.org/multimedia/journals/economics/2020/a385107-930.pdf10.37394/23207.2020.17.19http://www.wseas.org/multimedia/journals/economics/2020/a385107-930.pdf10.1016/0378-4266(92)90046-3Allen, L. and Saunders, A. Bank Window dressing: Theory and Evidence. Journal of Banking and Finance, 16,1992,pp. 585-623.10.2139/ssrn.1787326Agarwal, V., Gay, G. D., and Ling, L. Window Dressing in Mutual Funds. The Review of Financial Studies, Forthcoming,2014. Available at SSRN: https://ssrn.com/abstract=1804939or http://dx.doi.org/10.2139/ssrn.1804939 , Retrived 15 December, 2017.Box, G.E.P., and Pierce, D.A. Distribution of residual auto correlations in autoregressive-integrated moving average time series models.J.Am. Statist. Assoc. 65, 1970, pp.1509-1526.Brooks, C. Introductory Econometrics for Finance (3rd ed).New York: Cambridge University Press, 2014.10.1016/0304-4076(86)90063-1Bollerslev, T. Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 1986, pp.307-327, Retrieved April 20, 2017 from https://pdfs.semanticscholar.org/7da8/ bfa5295375c1141d797 e80065a599153c19d.pdf.Brockwell, P.J., and Davis, R.A. Introduction to Time Series and Forecasting. New York: Springer-Verlag,2002.10.1108/13581981311315550Choi, Seung Hee and Chhabria, Maneesh. Window Dressing in Mutual Fund Portfolios: Fact or Fiction?, Journal of Financial Regulation and Compliance, 21(2),2013,pp.136-149.10.3846/btp.2011.07Dzikevičius,A., and Šaranda, S. Smoothing Techniques for Market Fluctuation Signals, Business: Theory and Practice, 12(1),2011,pp. 63–74. DOI:10.3846/Btp.2011.07.10.2307/1912773Engle, R. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50,1982, pp.987-1007.10.1257/jep.15.4.157Engle, R. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. Journal of Economic Perspectives, 15(4),2001,pp.157–168.10.1007/s10693-005-5108-1Kotomin, V., and Winters, D., Quarter-end effects in banks: preferred habitat or window dressing? Journal of Financial Services Research 29,2006,pp.61-82.Morey, M.R., and O'neal, E.S.,Window Dressing In Bond Mutual Funds, Journal of Financial Research, 29(3),2006,pp. 325-347.Montgomery, D., Jennings, C., Kulachi, M. Introduction Time Series Analysis and Forecasting. Hoboken, New Jersey: John Wiley & Sons Inc, 2008. Owens, E., Wu, J.S. Window Dressing of Financial Leverage, 2011. Retrieve on Nov.6, 2017 . https://pdfs.semanticscholar.org/7669/e94d07af8aec27e068ae95d972a8b7b18098.pdf. Pankratz, A. Forecasting with Dynamic Regression models.Canada: Wiley Intersciences Publication, 1991.Tsay, R.S. Analysis of Financial Time Series. John Wiley & Sons, Inc.Hoboken, New Jersey2005.Wei, W.W. Time Series Analysis : Univariate and Multivariate Methods (2nd edn). Pearson, New York,2006.Wang, Peijie. Financial Econometrics, (2nd edn.), New York: Routledge, Taylor and Francis Group,2009.Weiss, A.A. ARMA models with ARCH errors. Journal of Time Series Analysis, 5,1984,pp.129-143.