Analisis pengaruh kupon, maturity, likuiditas dan rating obligasi terhadap yield obligasi perbankan

Putri, Rizavia Mardhika (2019) Analisis pengaruh kupon, maturity, likuiditas dan rating obligasi terhadap yield obligasi perbankan. Masters thesis, Institut Pertanian Bogor.

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Abstract

Issue of bonds is an effort by the Bank to increase components of supplementary capital (Tier 2). In Basel III regulations issuing bonds can only be calculated at a maximum of 100% of the Bank's Core Capital. Nowdays in Indonesia the corporate bond market capitalization is dominated by the Banking sector. Banks as issuer of banking bonds, needs a strategy to issue bonds. Bond, Yield is the most important factor as a consideration for investors to buy bonds as investment instruments. Investors will calculate the amount of investment income for the funds bought by the bonds using a Yield measuring instrument (Rahardjo 2003). Banks as bond issuers must be able to offer attractive bonds for investors by promising the best Yield on these bonds, so that the target of funding through bond emissions can be achieved. This study analyze the effect of coupons, maturity, liquidity and bond rating of the banking sector bonds on bond Yields and forecasted the Yield of banking bonds in the next one year and 4 quarter. The research period in the 3 quarter of 2014 to the 3 quarter of 2018. The sample used in the study was Bank bonds which were actively traded in the bond market during the study period, there are 14 Bonds issued from 7 Banks of BUKU 3. Yield used in Yield To Maturity research is dependent variable and coupon, maturity, liquidity and bond maturity. The panel data analysis method is used in the research after testing the best model so the fixed effect model is selected in the study. The results showed that the R-square value was 78.73%. The coupon and maturity variables have a significant positive effect on the level of α = 5%. While the bond maturity variable has a negative effect on bond Yields at the level of α = 5%, And the liquidity variable has not effect on bond Yields. Furthermore, forecasting is done on bond Yields. By using a forecasting model/method of time series relationship that is interpreted in the trend analysis chart in Minitab Software, there are 4 types of models to be chosen to right forecasting model, namely linear models, quadratic models, models exponential growth and S-Curve model. The result of forecasting 14 Bank bonds in the sample is that the majority of bond Yields show a declining trend and only one Bank bond shows a increasing Yield.

Item Type: Thesis (Masters)
Uncontrolled Keywords: obligasi, peramalan obligasi, perbankan, yield to maturity, model fixed efek, bonds, bonds forecasting, banks, yield to maturity.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 31 Dec 2019 06:31
Last Modified: 31 Dec 2019 06:31
URI: http://repository.sb.ipb.ac.id/id/eprint/3517

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