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All Journal Economic Journal of Emerging Markets Jurnal Riset Akuntansi dan Auditing
Yosandi Yulius
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Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Journal : Economic Journal of Emerging Markets

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DETERMINANTS OF ORI001 TYPE GOVERNMENT BOND Yosandi Yulius
Economic Journal of Emerging Markets Volume 3 Issue 2, 2011
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.v3i2.2329

Abstract

The need to build a strong bond market is amenable, especially after the 1997 crises. This paper analyzes the influence of deposit interest rate, foreign exchange rates, and Composite Stock Price Index on yield-to-maturity of Bond Series Retail ORI001, employing monthly data from Bloomberg information service, 2006(8) to 2008(12), using Generalized Autoregressive Conditional Heteroscedasticity type models. It finds the evidence that deposit interest rate and exchange rate have positive significant influence on the bond, and that stock index has a negative significant influence on the bond. It also finds that Deposit Interest Rate, exchange rate, and the stock index significantly influence the bond altogether.Keywords: Interest rate, exchange rate, composite stock price index, yield-to-maturity, bondJEL classification numbers: G12, G15
Co-Authors Fairuz Salma Hamilah Yopi Yulius