RISK AND RETURN ANALYSIS OF GOVERNMENT BONDS IN INDONESIA

Iranian Journal of Accounting, Auditing and Finance

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 01 آبان 1402   

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2023.84173.1400

نویسندگان

Siti Amaliah^* ؛ Isni Andriana؛ Muizzudin Muizzudin

Departement of Management, Faculty of Economics, Universitas Sriwijaya, Indonesia

چکیده

The link between risk and government bond returns is needed to determine the risk pressure in influencing government bond returns. This study uncovers the phenomenon of risk-taking behavior on bond returns and examines risk-taking behavior affecting the performance of government bonds in Indonesia. The data used is monthly data, starting from January 2017 to December 2021. The data used in this study are 1-year government bond yield data, government bond index, composite bond index, and composite stock price index. Yield government bonds with a tenor of 1 year is used to see the performance of bond mutual funds. The analysis model used is a multifactor model with the GARCH analysis technique. The results showed that risk exposure had a negative and significant effect on government bond returns in Indonesia and Market Factor had a negative and significant effect on government bond returns. Meanwhile, joint stock performance has a positive relationship and has a significant effect on returns in Indonesia.

کلیدواژه‌ها

Risk؛ Return؛ GARCH؛ Financial Market