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Dampak Kepemilikan Asing terhadap Pasar Surat Berharga Negara (SBN) Indonesia
[The Impact of Foreign Ownership on the Indonesian Government Bonds Market]

Author

Listed:
  • Mansur, Alfan
  • Al Arif, Munafsin

Abstract

Kepemilikan investor nonresiden pada surat berharga negara (SBN) saat ini relatif cukup tinggi. Dibandingkan beberapa negara di kawasan seperti Malaysia, Thailand, Jepang, dan Korea Selatan, porsi kepemilikan investor non residen di Indonesia merupakan yang tertinggi. Hal ini dapat meningkatkan risiko apabila terjadi sudden reversal. Tulisan ini bertujuan untuk tidak hanya mengukur dampak perubahan arus modal masuk maupun arus modal keluar oleh investor nonresiden terhadap perubahan yield dan volatilitas yield, lebih dalam lagi juga dengan mempertimbangkan kondisi pasar keuangan global. Hasil empiris menunjukkan bahwa aliran keluar/masuk modal asing terbukti secara statistik berpengaruh terhadap kinerja SBN secara signifikan. Hasil empiris juga menunjukkan bahwa masuk dan keluarnya modal asing memiliki dampak yang asimetris terhadap kinerja pasar SBN. Dampak negatif arus modal keluar lebih besar daripada pengaruh positif ketika modal asing masuk ke pasar SBN. 1 persen penurunan kepemilikan asing pada SBN menaikkan yield SBN sebesar ±16 bps s.d. 41 bps. Sedangkan 1 persen kenaikan kepemilikan asing pada SBN hanya menurunkan yield SBN sebesar ±15 bps s.d. 30 bps. Hal yang bisa dilakukan regulator untuk mengurangi potensi dampak sudden reversal adalah dengan memperdalam pasar keuangan itu sendiri dengan mendorong partisipasi investor domestik lebih besar lagi, terutama dari pengelola sovereign wealth fund, sehingga akan menciptakan pasar dan memperdalam likuiditas pasar keuangan Indonesia.

Suggested Citation

  • Mansur, Alfan & Al Arif, Munafsin, 2017. "Dampak Kepemilikan Asing terhadap Pasar Surat Berharga Negara (SBN) Indonesia [The Impact of Foreign Ownership on the Indonesian Government Bonds Market]," MPRA Paper 93944, University Library of Munich, Germany, revised 14 Jun 2017.
    • Handle: RePEc:pra:mprapa:93944
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    References listed on IDEAS

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    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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