DYNAMICS OF CORPORATE BOND YIELDS ON INDONESIA STOCK EXCHANGE-EMPIRICAL TEST OF THE INTEREST RATE, TIME TO MATURITY AND COUPON RATE TO CORPORATE BOND YIELDS SPREAD PERIOD OF 2009-2013

Ningsih, Ni Made Ari Purnama (2015) DYNAMICS OF CORPORATE BOND YIELDS ON INDONESIA STOCK EXCHANGE-EMPIRICAL TEST OF THE INTEREST RATE, TIME TO MATURITY AND COUPON RATE TO CORPORATE BOND YIELDS SPREAD PERIOD OF 2009-2013. S1 thesis, UAJY.

[img] Text (Halaman Judul)
EMI018993.pdf

Download (1499Kb)
[img] Text (Bab I)
EMI118993.pdf

Download (218Kb)
[img] Text (Bab II)
EMI218993.pdf

Download (245Kb)
[img] Text (Bab III)
EMI318993.pdf
Restricted to Registered users only

Download (302Kb)
[img] Text (Bab IV)
EMI418993.pdf
Restricted to Registered users only

Download (303Kb)
[img] Text (Bab V)
EMI518993.pdf

Download (198Kb)

Abstract

The purpose of this research is to measure the effects of Sbi rate, time to maturity and coupon rate to yield spreads of corporate bonds in Indonesia period of 2009-2013. Stationarity test of Dickey-Fuller is used as basic test for a nonstationarity of each variable used, cointegration test of Engle-Granger, and Error Correction Model are used to test the long-run and short-run equilibrium relationship between those variables. The finding of this research are Sbi rate, time to maturity, and coupon rate are cointegrated and affect significantly to the yield spreads. The result of Error Correction Model test of the variables shows SBI Rate, Time To Maturity, and Coupon Rate can be better to explained the change of Yield Spreads in short-run equilibrium relationship. This result is according to the value of adjusted r-Squared in short-run equilibrium relationship is greater than adjusted r-Squared value in long-run equilibrium relationship

Item Type: Thesis (S1)
Uncontrolled Keywords: Sbi rate, time to maturity, coupon rate, yields spreads
Subjects: Business Management > International Financial Management
Divisions: Fakultas Ekonomi > Manajemen Internasional
Depositing User: Editor UAJY
Date Deposited: 12 Aug 2015 09:47
Last Modified: 12 Aug 2015 09:47
URI: http://e-journal.uajy.ac.id/id/eprint/7769

Actions (login required)

View Item View Item