ANALISIS DURASI DAN CONVEXITY UNTUK MENGUKUR SENSITIVITAS HARGA OBLIGASI KORPORASI TERHADAP PERUBAHAN TINGKAT SUKU BUNGA (Studi Empiris Pada Obligasi-obligasi Di Indonesia)
ABSTRACTS: Bond as one of
alternative instruments of investment in capital market except stock gives some
stabile return and relatively has fixed income. Such another instruments, bond
faced some investment risks that must be watched deeply by the bondholders. As
widely known from theory that interest rate is one of the mean risk faced by
the bondholders cause it effects price
and yield bond, and we know that there is inverse relationship between those
two variables (bond price and interest rate). The Purpose of this research is
examined duration and convexity to measure the bond price sensitivity towards
changes in interest rate. Sample the data used fixed income bond, which
published by Surabaya Stock Exchange. The statistic method used independent
sample test for hypothesis examination. The result of reseacrh support hypothesis
that the measure tools can be used to measure the bond price sensitivity
towards changes in interest rate.
Keywords: bond, duration,
interest rate, convexity, yield to maturity
Penulis: Abdul Hamid, Ahmad
Rodoni, Titi Dewi W, Edi Hidayat
Kode Jurnal: jpmanajemendd060022
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