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All Journal KUKIMA :Kumpulan Karya Ilmiah Manajemen
Laoly, Eka Putri
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Economics, Econometrics & Finance Social Sciences

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PENGARUH DURASI DAN CONVEXITY TERHADAP HARGA OBLIGASI PADA PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2017-2021 Silalahi, Donalson; Laoly, Eka Putri
KUKIMA : Kumpulan Karya Ilmiah Manajemen Volume 3 Nomor 1 April 2024
Publisher : LPPM Universitas Katolik Santo Thomas Medan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54367/kukima.v3i1.3786

Abstract

This research aims to determine and explain the effect of duration and convexity on bond prices in banking companies listed on the Indonesia Stock Exchange for the 2017-2021 period. To achieve this aim, research was carried out using purposive sampling techniques, thus obtaining a sample of 11 banking companies that issued bonds with a research period of five years. The analysis model used is a multiple linear regression model. The research results show that: First, duration has a positive and significant effect on bond prices, convexity has a positive and insignificant effect on bond prices. The ability of duration and convexity to explain variations in bond prices is 2.9 percent. Second, duration has a positive and significant effect on bond prices, convexity has a negative and significant effect on bond prices in the discount price group. Duration has a positive and significant effect on bond prices, convexity has a positive and significant effect on bond prices in the premium price group. The ability of duration and convexity to explain variations in bond prices is in the range of 92.8-94.4 percent.
Co-Authors Silalahi, Donalson