RISK AND RETURN ANALYSIS OF GOVERNMENT BONDS IN INDONESIA

Document Type : Original Article

Authors

• Siti Amaliah
• Isni Andriana
• Muizzudin Muizzudin

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

10.22067/ijaaf.2023.84173.1400

Abstract

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.

Keywords

• Risk
• Return
• GARCH
• Financial Market

Main Subjects

• Finance

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