JUNAIDI, JUNAIDI (2011) ANALISIS DURASI DAN KONVEKSITAS DAN PENGARUHNYA TERHADAP SENSITIVITAS HARGA OBLIGASI NEGARA FIXED RATE YANG TERCATAT DI BURSA EFEK INDONESIA PERIODE TAHUN 2008 - 2010. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
Tujuan penelitian adalah pembuktian ada tidaknya pengaruh perubahan durasi dan konveksitas dan seberapa kuat pengaruhnya terhadap perubahan harga obligasi negara fixed rate. Dalam melakukan penelitian, penulis menggunakan metode penelitian kausal untuk mengetahui variabel-variabel bebas terhadap variabel terikat dan metode penarikan sampel menggunakan purposive sampling berupa 30 seri obligasi negara fixed rate dalam periode bulanan yang tercatat di BEI yang memiliki maturity lebih besar dari satu tahun dan pembayaran kuponnya dua kali setahun dengan periode penelitian bulan Januari 2008 - Juni 2010. Variabel terikat (Y) adalah perubahan harga (ΔY) dalam persentase (rate) merupakan hasil perhitungan harga rate bulan bersangkutan (yt) dikurangi dan dibagi harga rate bulan sebelumnya (y-t). Sedangkan variabel bebasnya terdiri dari perubahan durasi (ΔD) dan perubahan konveksitas (ΔK) dimana kedua nilai variabel bebas tersebut hasil perhitungan cara yang sama dengan perubahan harga rate obligasi. Berdasarkan hasil analisis uji pengaruh variabel bebas menunjukan hasil yang signifikan dengan tingkat kepercayaan sebesar 95%, berpengaruh terhadap variabel terikat dan mempunyai hubungan yang kuat antara variabel tersebut dengan nilai korelasi (R) sebesar 0,959. Kata Kunci :obligasi, harga obligasi, durasi, dan konveksitas. The purpose of the research is proving the existence of effects of changes in duration and convexity and how strong impact on price changes fixed rate government bonds. In conducting the study, the authors use causal research methods to determine the independent variables on the dependent variable and sampling method using a purposive sampling of 30 series of fixed rate bonds in a monthly period listed on the BEI which has a maturity greater than one year and the payment coupon twice a year with the study period January 2008 - June 2010. Dependent variable (Y) is the price change (ΔY) in percentage (rate) is the result of the relevant month price calculation rate (yt) is reduced and divided by the price rate the previous month (y-t). While the independent variables consist of changes in duration (ΔD) and changes in convexity (ΔK) where a both of independent variable values are calculated the same way as the price change rate bonds. Based on the results of the independent variables influence test analysis showed significant results at alpha 5%, the effect on the dependent variable and has a strong relationship between these variables with correlation values (R) was 0.959. Keywords : bonds, bonds price, duration, and convexity.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-11-027 |
| Call Number: | TM/51/14/100 |
| NIM/NIDN Creators: | 55108120088 |
| Uncontrolled Keywords: | Obligasi, Harga Obligasi, Durasi, dan Konveksitas, MKU, MANAJEMEN KEUANGAN |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | Admin Perpus UMB |
| Date Deposited: | 02 Feb 2015 11:44 |
| Last Modified: | 13 Jul 2022 04:19 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/38486 |
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