Image of Hasil Konstruksi Model Struktural Harga Obligasi (Studi pada Obligasi Korporasi yang Telah Terdaftar dan Diperdagangkan di Pasar Obligasi Indonesia Periode Tahun 2003-2006)

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Hasil Konstruksi Model Struktural Harga Obligasi (Studi pada Obligasi Korporasi yang Telah Terdaftar dan Diperdagangkan di Pasar Obligasi Indonesia Periode Tahun 2003-2006)

ABSTRACTrnrnAs an instrument of trade and investment, the prices of bonds change from time to time. Bond prices the current value of cash flow during a bond period. Bond prices can be determined by using duration and convexity. The use of such measurement results in a deviation between the estimated price and the actual price. The variables used in determining the duration and convexity are: the coupon level, time to maturity of corporate bonds, yield to maturity of default-free risk bonds, interest rate volatility and risk premium. Thus, futher studies of variables determining bond prices are still open.rnrnActing on the deviation between the estimated price and the actual price, this research was conducted to develop a structural model of corporate bond prices to obtain the variables determining bond prices and to prove that bond rating, friction (transaction cost) and trade activities influence bond prices.rnrnThe data used were corporate bond prices registered and transacted in the bond market between the year 2003 and 2006. The research samples were 445 observations using the purposive sampling technique to gather samples. The data were analysed using the structural equation modeling.rnrnThe research indicates that (1) bond rating, friction (transaction cost), and trade activities are the variables determining bond prices; (2) bond rating has information content and the relational structure between bond rating and bond prices is monotonicity, shown by the fact that the influence of bond rating on prices is increases as the bond rating quality decreases and that the influence of bond rating on bond prices increases the longer the bond maturity; (3) friction (transaction cost) has a negative and significant effect on bond prices. In the bond rating segmentation, the influence of friction (transaction cost) on bond prices increases the higher the bond rating quality. Furthermore, in the bond maturity segmentation, the influence of friction (transaction cost) on bond prices increases the longer the bond maturity; (4) trade activity in the high quality bond rating segmentation and 3-to-5-year maturity is dominated by informed investors while trade activity in the medium quality bond rating segmentation and 7-to-10-year maturity is dominated by uniformed investors; (5) the constructed structural model of bond prices explains the factors causing a deviation between the estimated price and the actual price.rnrnThe result of this research can be used to form a mathematical model determining bond prices and to give information for investors in creating portfolios and holding periods; for bond emitters in issuing bonds; for BAPEPAM (The Capital Market Supervising Body) and stock exchange administrators in encouraging a more well-functioning market; and for rating agencies, the information content of bond rating can be used in rating activities.rnrnKey words: corporate bond, bond rating, transaction cost, trade activity, bond price, structural model.

Ketersediaan
(D) 332.632 3 SIL h1Tersedia
Informasi Detail
Judul Seri
-
No. Panggil
(D) 332.632 3 SIL h
Penerbit
Bandung : Program Doktor Ilmu Ekonomi Program Pascasarjana Universitas Katolik Parahyangan.,
Deskripsi Fisik
xii, 210 p. : il. ; 30 cm
Bahasa
Indonesia
ISBN/ISSN
-
Klasifikasi
332.632 3
Tipe Isi
-
Tipe Media
-
Tipe Pembawa
-
Edisi
-
Subjek
BOND MARKET
Info Detail Spesifik
-
Pernyataan Tanggungjawab
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