ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI YIELD OBLIGASI KONVENSIONAL DI INDONESIA (Studi Kasus Pada Perusahaan Listed di BEI)

Abstract

Basically the value of inflation affect bond’s yield. When inflation was increase , so that
bond’s yield will increase as well. However, in 2010 increase of inflation were followed
by decrease of bond’s yield. In 2011, when BI rate was increase, also was followed by
decrease of bond’s yield. The aims of this study are to analyze the effect of BI rate,
inflation, GDP and bond rating to bond yield.
The research use purposive sampling method. Purposive sampling method is a sampling
method that is based on certain criteria. Sample in this study are 17 samples from 2008
to 2011 period. Data for this study can be obtained from Bond Book that are published in
Indonesia Stock Exchange (IDX) website. Data analysis use multiple linear regression
with SPSS 18 software.
Based on data analysis can be concluded that BI rate variable have a positive and
significant impact on bond yield. Inflation variable have a positive and significant
impact on bond yield. GDP variable have a negative and significant impact on
bond yield. Bond rating have a negative and significant impact on bond yield.
Then, this study also shows BI rate, inflation, GDP and bond rating have significant
effect together on bond yield.
Keywords: Bond Yield, BI rate, Inflation, GDP, Bond Rating