DYNAMICS OF CORPORATE BOND YIELDS ON INDONESIA STOCK EXCHANGE-EMPIRICAL TEST OF THE INTEREST RATE, TIME TO MATURITY AND COUPON RATE TO CORPORATE BOND YIELDS SPREAD PERIOD OF 2009-2013
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Institusion
Universitas Atma Jaya Yogyakarta
Author
Ningsih, Ni Made Ari Purnama
Subject
International Financial Management
Datestamp
2015-08-12 09:47:09
Abstract :
The purpose of this research is to measure the effects of Sbi rate, time to maturity and coupon rate to yield spreads of corporate bonds in Indonesia period of 2009-2013. Stationarity test of Dickey-Fuller is used as basic test for a nonstationarity of each variable used, cointegration test of Engle-Granger, and Error Correction Model are used to test the long-run and short-run equilibrium relationship between those variables. The finding of this research are Sbi rate, time to maturity, and coupon rate are cointegrated and affect significantly to the yield spreads. The result of Error Correction Model test of the variables shows SBI Rate, Time To Maturity, and Coupon Rate can be better to explained the change of Yield Spreads in short-run equilibrium relationship. This result is according to the value of adjusted r-Squared in short-run equilibrium relationship is greater than adjusted r-Squared value in long-run equilibrium relationship
The purpose of this research is to measure the effects of Sbi rate, time to maturity and coupon rate to yield spreads of corporate bonds in Indonesia period of 2009-2013. Stationarity test of Dickey-Fuller is used as basic test for a nonstationarity of each variable used, cointegration test of Engle-Granger, and Error Correction Model are used to test the long-run and short-run equilibrium relationship between those variables. The finding of this research are Sbi rate, time to maturity, and coupon rate are cointegrated and affect significantly to the yield spreads. The result of Error Correction Model test of the variables shows SBI Rate, Time To Maturity, and Coupon Rate can be better to explained the change of Yield Spreads in short-run equilibrium relationship. This result is according to the value of adjusted r-Squared in short-run equilibrium relationship is greater than adjusted r-Squared value in long-run equilibrium relationship
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