Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach
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...
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| Format: | Article |
| Language: | English |
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Ferdowsi University of Mashhad
2024-07-01
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| Series: | Iranian Journal of Accounting, Auditing & Finance |
| Subjects: | |
| Online Access: | https://ijaaf.um.ac.ir/article_44421_2d5a106bfa4b092914a7ed2a5cec8dcf.pdf |
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| _version_ | 1850242579436666880 |
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| author | Siti Amaliah Isni Andriana Muizzudin Muizzudin |
| author_facet | Siti Amaliah Isni Andriana Muizzudin Muizzudin |
| author_sort | Siti Amaliah |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-e8ed0d3083754c7d9e7f0c7b83686101 |
| institution | OA Journals |
| issn | 2717-4131 2588-6142 |
| language | English |
| publishDate | 2024-07-01 |
| publisher | Ferdowsi University of Mashhad |
| record_format | Article |
| series | Iranian Journal of Accounting, Auditing & Finance |
| spelling | doaj-art-e8ed0d3083754c7d9e7f0c7b836861012025-08-20T02:00:14ZengFerdowsi University of MashhadIranian Journal of Accounting, Auditing & Finance2717-41312588-61422024-07-0183637410.22067/ijaaf.2024.44421.140044421Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model ApproachSiti Amaliah0Isni Andriana1Muizzudin Muizzudin2Departement of Management, Faculty of Economics, Universitas Sriwijaya, IndonesiaDepartement of Management, Faculty of Economics, Universitas Sriwijaya, IndonesiaDepartement of Management, Faculty of Economics, Universitas Sriwijaya, IndonesiaUnderstanding 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.https://ijaaf.um.ac.ir/article_44421_2d5a106bfa4b092914a7ed2a5cec8dcf.pdfgarch analysisgovernment bondsindonesiamarket factorsmultifactor modelstock performance |
| spellingShingle | Siti Amaliah Isni Andriana Muizzudin Muizzudin Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach Iranian Journal of Accounting, Auditing & Finance garch analysis government bonds indonesia market factors multifactor model stock performance |
| title | Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach |
| title_full | Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach |
| title_fullStr | Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach |
| title_full_unstemmed | Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach |
| title_short | Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach |
| title_sort | risk and return analysis of government bonds in indonesia a multifactor model approach |
| topic | garch analysis government bonds indonesia market factors multifactor model stock performance |
| url | https://ijaaf.um.ac.ir/article_44421_2d5a106bfa4b092914a7ed2a5cec8dcf.pdf |
| work_keys_str_mv | AT sitiamaliah riskandreturnanalysisofgovernmentbondsinindonesiaamultifactormodelapproach AT isniandriana riskandreturnanalysisofgovernmentbondsinindonesiaamultifactormodelapproach AT muizzudinmuizzudin riskandreturnanalysisofgovernmentbondsinindonesiaamultifactormodelapproach |