Jurnal Ekonomi, Vol 14, No 1 (2009)

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PENGARUH ATRIBUT OBLIGASI, TINGKAT BUNGA DAN NILAI TUKAR RUPIAH TERHADAP HARGA OBLIGASI DI INDONESIA

Arles Parulian Ompusunggu

Abstract


This research explains the relationshep between liquidity, coupon rate, maturity, rating, SBI (central bank’s certificate) rate, and Rupiah exchange rate against US dollar, to weighted average price (WAP) of fixed rate corporate bonds in Surabaya Stock Exchange during the period of January to December 2005. Therefore, a more comprehensive description of macroeconomic variables influences and bond attribute variables which affect bonds WAP in the secondary market is simultaneously obtained. The study employs pooled generalized least square, unbalanced pooled data of random effect model towards 19 samples of bonds which were actively traded during January 2000 to December 2005. The result indicates that (1) coupon rate, maturity and rating have positive effect; (2) SBI rate and Rupiah exchange rate against US dollar produces negative and significant effect; (3) other variable, the liquidity, has no significant effect to corporate bonds WAP in the secondary market; (4) Collectively, all variables create significant effect to corporate bonds WAP in the secondary market.


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