Government Bond Yield Volatility and It's Determinants: The Case of Indonesia Government Bond

Muharam, Harjum

doi:10.2139/ssrn.2366806

Cited by 3 publications

(3 citation statements)

References 63 publications

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“…and several other studies such as Ajireswara (2014), Sari (2017), Rahma (2016), andMuharam (2013), and Bakhtiar (2020). The first stage before doing the modeling is calculating the SBSN return by converting the SBSN end-day closing price data into SBSN return.…”

Section: Methodsmentioning

confidence: 61%

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The Characteristics of Government Sukuk Return Volatility Before and During Covid-19, and After Implementation of Primary Dealer System

Rahmina

Achsani

Santoso

2022

jma

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Government Sukuk (SBSN) has been launched since 2008, but it assumed illiquid. Therefore, the Ministry of Finance in 2020 regulates primary dealer for SBSN. At the same time, the restrictions on mobility due to the Covid-19 Pandemic in 2020 triggered negative sentiment. It increased volatility in the capital market. Asymmetric volatility occurs when market crash. The purpose of this study is to identify characteristics of government sukuk return volatility before and during the Covid-19 pandemic and after the implementation primary dealer system using EGARCH. The results show that SBSN responds to shocks more quickly during the pandemic. The benchmark series responds to shocks faster than non-benchmark. Moreover, during the pandemic, PBS04, PBS05, PBS07 and PBS22 were categorized high risk-high return. PBS02, PBS11, PBS14, PBS19, and SR10 were categorized low risk-low return. PBS17, PBS12, PBS15 and PBS21 were catogerized high risk-low return. PBS02, PBS14, PBS19, PBS17, PBS12 and SR10 have negative asymmetric return volatility. Furthermore, SBSN benchmark series PBS05 and PBS25 were categorized high risk-high return, PBS02 were categorized low risk-low return, and PBS026 were categorized high risklow return. Most of the benchmark series have negative asymmetric return volatility.

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Section: Methodsmentioning

confidence: 61%

“…Sari and Achsani (2017) find that the volatility of the Indonesian stock market is asymmetric. These studies on return volatility generally use models from the GARCH family as conducted by Rahma (2016), Covarrubias et al (2006), Sari and Achsani (2017), Muharam (2013), and Paramita and Pangestuti (2016).…”

Section: Methodsmentioning

confidence: 99%

The Characteristics of Government Sukuk Return Volatility Before and During Covid-19, and After Implementation of Primary Dealer System

Rahmina

Achsani

Santoso

2022

jma

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“…Penelitian (Tjandrasa, 2017) dan (Pramana & Nachrowi, 2016) menemukan suku bunga berpengaruh positif terhadap yield obligasi. Sama halnya dengan penelitian (Dhar, 2016), (Yuliani et al, 2016), (Kurniasih & Restika, 2015), (Sihombing et al, 2014), (Muharam, 2013) dan (Indarsih, 2013).…”

Section: Pendahuluanunclassified

Pengaruh Kupon, Maturitas, Likuditas Dan Suku Bunga Terhadap Yield Obligasi Korporasi

Sari¹,

Rahyuda²

2019

EJMUNUD

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The performance of bonds reflect from bond yields that are useful as information in making investment decisions. The purpose of this study was to determine the effect of coupon, maturity, liquidity and interest rate of the corporate bond yields This research was conducted on all companies that issue corporate bonds and are listed in Indonesian Stock Exchange on 2015-2017 periods. with a total sample of 44 bonds from 23 companies through non purposive sampling technique. Data analysis technique used multiple linear regression analysis and methods of data collection in this study using non-participant observation. Based on data analysis indicate that coupon, maturity, and interest rate partially positive and significant effect on bond yields. By contrast, liquidity partially negative and significant effect on bond yields. Keyword : coupon, maturity, liquidity and interest rate , bond yields

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Sovereign Gold Bond - A Financial Innovation in India

Gupta¹

2018

IJEMS

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Government Bond Yield Volatility and It's Determinants: The Case of Indonesia Government Bond

Cited by 3 publications

References 63 publications

The Characteristics of Government Sukuk Return Volatility Before and During Covid-19, and After Implementation of Primary Dealer System

The Characteristics of Government Sukuk Return Volatility Before and During Covid-19, and After Implementation of Primary Dealer System

Pengaruh Kupon, Maturitas, Likuditas Dan Suku Bunga Terhadap Yield Obligasi Korporasi

Sovereign Gold Bond - A Financial Innovation in India

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