Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach

Iranian Journal of Accounting, Auditing and Finance

دوره 8، شماره 3 - شماره پیاپی 28، آبان 2024، صفحه 63-74   

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2024.44421.1400

نویسندگان

Siti Amaliah^* ؛ Isni Andriana؛ Muizzudin Muizzudin

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

چکیده

Understanding the relationship between risk and government bond returns is crucial for assessing the influence of risk factors on bond returns. This study investigates the dynamics of risk-taking behavior and its impact on the performance of government bonds in Indonesia. Using monthly data spanning from January 2017 to December 2021, we employ a multifactor model with GARCH analysis technique to analyze the data. The findings reveal that risk exposure exerts a negative and significant effect on government bond returns in Indonesia, while market factors also negatively and significantly influence bond returns. Conversely, the joint stock performance exhibits a positive relationship and significantly impacts returns in Indonesia.

کلیدواژه‌ها

GARCH Analysis؛ Government Bonds؛ Indonesia؛ Market Factors؛ Multifactor Model؛ Stock Performance