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.
Amaliah, S., Andriana, I., & Muizzudin, M. (2023). RISK AND RETURN ANALYSIS OF GOVERNMENT BONDS IN INDONESIA. Iranian Journal of Accounting, Auditing and Finance, (), -. doi: 10.22067/ijaaf.2023.84173.1400
MLA
Siti Amaliah; Isni Andriana; Muizzudin Muizzudin. "RISK AND RETURN ANALYSIS OF GOVERNMENT BONDS IN INDONESIA". Iranian Journal of Accounting, Auditing and Finance, , , 2023, -. doi: 10.22067/ijaaf.2023.84173.1400
HARVARD
Amaliah, S., Andriana, I., Muizzudin, M. (2023). 'RISK AND RETURN ANALYSIS OF GOVERNMENT BONDS IN INDONESIA', Iranian Journal of Accounting, Auditing and Finance, (), pp. -. doi: 10.22067/ijaaf.2023.84173.1400
VANCOUVER
Amaliah, S., Andriana, I., Muizzudin, M. RISK AND RETURN ANALYSIS OF GOVERNMENT BONDS IN INDONESIA. Iranian Journal of Accounting, Auditing and Finance, 2023; (): -. doi: 10.22067/ijaaf.2023.84173.1400
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