ANALISIS DURASI DAN CONVEXITY UNTUK MENGUKUR SENSITIVITAS HARGA OBLIGASI KORPORASI TERHADAP PERUBAHAN TINGKAT SUKU BUNGA (Studi Empiris Pada Obligasi-obligasi Di Indonesia).

Abdul Hamid, Ahmad Rodoni, Titi Dewi W, Edi Hidayat


Abstract


Bond as one of alternative instruments of investment in capital market except stock gives some stabile return and relatively has fixed income. Such another instruments, bond faced some investment risks that must be watched deeply by the bondholders. As widely known from theory that interest rate is one of the mean risk faced by the bondholders cause it effects price and yield bond, and we know that there is inverse relationship between those two variables (bond price and interest rate). The Purpose of this research is examined duration and convexity to measure the bond price sensitivity towards changes in interest rate. Sample the data used fixed income bond, which published by Surabaya Stock Exchange. The statistic method used independent sample test for hypothesis examination. The result of reseacrh support hypothesis that the measure tools can be used to measure the bond price sensitivity towards changes in interest rate

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