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

Document Type : Original Article

Authors

• Siti Amaliah
• Isni Andriana
• Muizzudin Muizzudin

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

10.22067/ijaaf.2024.44421.1400

Abstract

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.

Keywords

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

Main Subjects

• Finance

---