The Determinants of Thailand Bond Yield Spreads

Paisarn, Wilaiporn

doi:10.2139/ssrn.2136979

Cited by 4 publications

(3 citation statements)

References 19 publications

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“…As a result, the price of Sukuk is lower while the yield is higher. The findings are consistent with previous research by Chen et al (2011), Putri et al (2020, Yuliani et al (2016), Paisarn (2012), andChe-Yahya et al (2016), who discovered that duration had a positive effect on bond yield. This means that the longer the duration, the higher the yield.…”

Section: Resultssupporting

confidence: 93%

Do Underlying Assets, Duration, Default Risk Level, Sukuk Liquidity, and Profitability Affect Sukuk Yield?

Irawati,

Fadhila

2024

IJAFAP

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The purpose of this research is to determine how underlying assets, duration, default risk level, Sukuk liquidity, and profitability affect Sukuk yields between 2016 and 2019. One of the primary motivations for such studies was the failure of asset-based Sukuk with low default risk but not with asset-backed Sukuk. Then, this study focuses on two types of Sukuk, namely asset-based Sukuk and asset-backed Sukuk, and how the yield of each type is determined by the underlying asset. Until then, duration, default risk level, Sukuk liquidity, and profitability are used as control variables in evaluating the impact of underlying assets on Sukuk yields. This study employed an analysis of the difference between the two independent sample groups as well as multiple regression. The analysis was performed on each type of Sukuk. The analysis revealed that the Sukuk yields of the two groups differed, with an asset-based Sukuk generating more than an asset-backed Sukuk. Meanwhile, in asset-based Sukuk, the risk of default raises the yield while duration, liquidity, and profitability remain unchanged. The default risk level and profitability do not affect the yield in the asset-backed Sukuk group, whereas the duration and liquidity of the Sukuk have a positive effect on the yield.

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Section: Resultssupporting

confidence: 93%

Do Underlying Assets, Duration, Default Risk Level, Sukuk Liquidity, and Profitability Affect Sukuk Yield?

Irawati,

Fadhila

2024

IJAFAP

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“…Yield obligasi dipengaruhi oleh beberapa faktor, baik faktor eksternal maupun internal, termasuk di dalamnya adalah karakteristik dari obligasi (Paisarn, 2012). Karakteristik obligasi yang nantinya akan mempengaruhi imbal hasil yang diterima oleh investor, salah satunya adalah peringkat obligasi.…”

Section: Berdasarkan Penerbitnya Obligasiunclassified

Pengaruh Peringkat Obligasi, ROA, DER, FIRM SIZE Terhadap Yield Obligasi

Sembiring

Meliyanti²

2021

Jurnal Riset Bisnis

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This study aims to determine the effect of bond ratings, return on assets (ROA), debt to equity ratio (DER), and firm size on yield to maturity (YTM) on several corporate bonds on the Indonesia Stock Exchange during the 2013-2018.The research method used is a quantitative research approach. The research method used was purposive sampling which resulted in 71 bonds from 29 firms as the samples. The results showed that bond ratings and DER had a negative effect on bond yields, while ROA and company size had no effect. This finding supports the findings of several previous studies which simultaneously strengthen the position of bond ratings and DER as determinants of yield. The results of the classical assumption test show that the model formed is free from classical problems so that it can be a good predictor of bond yields.

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“…sehingga dapat disimpulkan bahwa yield dan maturity obligasi memiliki hubungan positif. Hal ini serupa dengan penelitian sebelumnya oleh Chen (2011), Putri (2013), Yuliani(2016), Paisarn (2012) dan Che-Yahya(2016) yang menyatakan bahwa maturity memiliki pengaruh positif pada yield obligasi, yang berarti semakin lama maturity menunjukkan semakin besar yield obligasi.…”

Section: Gambar 1 Kapitalisasi Pasar Obligasi Indonesia 2018unclassified

Effects Of Coupon, Maturity, Liquidity, And Bond Rating On The Yields Of Banking Bonds

Putri¹,

Siregar²,

Andati

2020

JBK

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Bank sebagai penerbit obligasi harus dapat menawarkan yield obligasi yang menarik kepada Investor. Penelitian bertujuan untuk mengetahui pengaruh karakteristik obligasi seperti kupon, maturity, likuiditas dan rating obligasi terhadap yield obligasi. Selain itu pada penelitian dilakukan juga peramalan atas yield obligasi perbankan satu tahun kedepan. Sampel dalam penelitian ini adalah obligasi Bank BUKU 3 yang aktif diperdagangkan di pasar obligasi Indonesia, dengan teknik purposive random sampling maka terpilih sampel 14 obligasi diterbitkan dari 7 Bank. Teknik analisis data menggunakan regresi data panel dengan model fixed effect. Hasil menunjukkan kupon dan jatuh tempo memiliki pengaruh signifikan positif, selanjutnya pada variabel rating obligasi memiliki pengaruh negatif terhadap yield obligasi. Sedangkan pada variabel likuiditas tidak memiliki pengaruh terhadap yield obligasi. Hasil peramalan yield obligasi dengan menggunakan model peramalan hubungan deret waktu yaitu dari 14 obligasi dalam sampel terdapat 13 obligasi menunjukkan tren yield menurun dan hanya 1 obligasi yang menunjukkan tren yield meningkat.

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The Determinants of Thailand Bond Yield Spreads

Cited by 4 publications

References 19 publications

Do Underlying Assets, Duration, Default Risk Level, Sukuk Liquidity, and Profitability Affect Sukuk Yield?

Do Underlying Assets, Duration, Default Risk Level, Sukuk Liquidity, and Profitability Affect Sukuk Yield?

Pengaruh Peringkat Obligasi, ROA, DER, FIRM SIZE Terhadap Yield Obligasi

Effects Of Coupon, Maturity, Liquidity, And Bond Rating On The Yields Of Banking Bonds

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