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Determinants of Indonesian corporate bond yield

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  • Nicodemus Simu,

Abstract

Bonds are securities instruments quite attractive for investors. There are many factors that investors consider when going to invest in bonds market. A number of recents studies indicate that yield is one of the most commonly factors considered by investors. This study aims to identify the various factors that affect bond yields, as well as to explain the mechanisms by which each factors influence yields. The methodology of the research is to analyze secondary data available in Indonesian Bond Market Directory for the period of January 2015 - July 2016. Some statistic tools were used to analyze and interpret data, such as multiple linear regression analysis, coefficient of determination, and analysis of variance, and hypothesis testing using t-test. Based on data compiled from 67 companies and 138 bonds shows that bond maturity and coupon rate have a significant positive effect on bond yield. Instead, issuer's rating has a significant negative effect on bond yield. While on the other hand, liquidity does not give significant influence to bond yield. Key words: Yield, liquidity, maturity, coupon rate, rating

Suggested Citation

  • Nicodemus Simu,, 2017. "Determinants of Indonesian corporate bond yield," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(5), pages 619-629, December.
    • Handle: RePEc:pdc:jrnbeh:v:13:y:2017:i:5:p:619-629
    DOI: 10.15208/beh.2017.42
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    References listed on IDEAS

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    1. Lu, Chia-Wu & Chen, Tsung-Kang & Liao, Hsien-Hsing, 2010. "Information uncertainty, information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2265-2279, September.
    2. Long Chen & David A. Lesmond & Jason Wei, 2007. "Corporate Yield Spreads and Bond Liquidity," Journal of Finance, American Finance Association, vol. 62(1), pages 119-149, February.
    3. Nurfauziah Nurfauziah & Adistien Fatma Setyarini, 2004. "Analisis Faktor-Faktor yang Mempengaruhi Yield Obligasi Perusahaan (Studi Kasus pada Industri Perbankan dan Industri Finansial)," Jurnal Siasat Bisnis, Management Development Centre (MDC) Department of Management, Faculty of Business and Economics Universitas Islam Indonesia, vol. 2(9).
    4. Liu, Sheen & Shi, Jian & Wang, Junbo & Wu, Chunchi, 2009. "The determinants of corporate bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(1), pages 85-109, February.
    5. Yu Hsing, 2015. "Determinants of the Government Bond Yield in Spain: A Loanable Funds Model," IJFS, MDPI, vol. 3(3), pages 1-9, July.
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    Cited by:

    1. Verner, Robert & Tkáč, Michal, 2023. "On the predictability of bonds," Finance Research Letters, Elsevier, vol. 57(C).

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    More about this item

    Keywords

    Ukraine; social capital; economic growth; post-revolution performance; corruption;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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