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