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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 اصل مقاله (455.79 K) | ||
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 | ||
آمار تعداد مشاهده مقاله: 26 تعداد دریافت فایل اصل مقاله: 28 |