Document Type

Journal Article

Publication Title

Investment Management and Financial Innovations

ISSN

18104967

Volume

17

Issue

3

First Page

111

Last Page

121

Publisher

Business Perspectives

School

School of Business and Law

RAS ID

32141

Comments

Tjandrasa, B. B., Siagian, H., & Jie, F. The macroeconomic factors affecting government bond yield in Indonesia, Malaysia, Thailand, and the Philippines. Investment Management and Financial Innovations, 17(3), 111-121. https://doi.org/10.21511/imfi.17(3).2020.09

Abstract

© The author(s) 2020. This publication is an open access article. © Benny Budiawan Tjandrasa, Hotlan Siagian, Ferry Jie, 2020 The government bond (GB) has become the most attractive investment portfolio option, even though many macroeconomic factors affect the bond yield. This paper aims to investigate the determining factor of local currency government bond yield by considering the inflation rate, credit default swap, stock market index, exchange rate, and volatility index. This study used 240 data panel from the Bloomberg stock market in the form of data panel covering Southeast developing countries, namely Indonesia, Thailand, Malaysia, and the Philippines, for five years or sixty months from January 2015 to December 2019. Data analysis used recursive models and multivariate regression techniques using EViews software. The random effect model results revealed that change in the foreign exchange rate and volatility indexes affected, partially and simultaneously, the changes in the stock market index. The result also showed that changes in the stock market index, inflation rate, and credit default swap affected, partially and simultaneously, government bond yield changes. These results suggest that the government bond yield could be managed by controlling volatility index, foreign exchange rate, stock market index, inflation rates, and credit default swaps. This finding could provide an insight into the policymaker and fiscal authority on managing the risk of government bonds under control during high volatility or even making it reasonably lower. This result could contribute to the current research in the field of financial management.

DOI

10.21511/imfi.17(3).2020.09

Creative Commons License

Creative Commons Attribution 4.0 License
This work is licensed under a Creative Commons Attribution 4.0 License.

Research Themes

Society and Culture

Priority Areas

Human movement and performance

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