Obligasi adalah instrumen investasi yang menarik, dimana harganya dipengaruhi banyak faktor, yang diantaranya adalah faktor ekonomi makro. Dari faktor faktor obligasi dalam menentukan harga obligasi adalab BI rate, IHSG dan Kurs Dollar. Obligasi yang dipilih dalam penelitian ini adalah obligasi pemerintah dengan bunga tetap yang tetbagi dalam tiga kelompok, yaitu obligasi jangka pendek, obligasi jangka menengah dan obligasi jangka panjang. Penelitian ini sendiri bertujuan untuk menginvestigasi fenomena praktis dalam memprediksi harga obligasi menginvestigasi pengaruh harga teoritis terhadap harga riil, menginvestigasi pengaruh faktor ekonomi makro terbadap harga riil dan menginvestigasi pengaruh harga teoritis dengan faktor ekonomi makro terhadap harga rill. Dari penelitian, ditemukan bahwa harga teoritis diperoleh dari pergerakan yield dengan kontribusi dari duration. Meskipun demikian masih terdapat deviasi antara harga riil di pasar dan harga teoritis yang dibangun dari pergerakan yield serta duration. Untuk menjelaskan hubungan antara harga teoritis dan harga riil, maka dibangun model regresi harga teoritis terhadap harga riil, tetapi belum cukup mampu menangkap pergerakan harga rlil obligasi. Karena hasil yang di dapat dengan harga teoritis kurang memuaskan, maka di teliti juga pengaruh faktor ekonomi makro terhadap harga riil dengan membangun model regresi faktor ekonomi makro terhadap harga riil. Model ini ternyata belum mampu juga menangkap pergerakan harga riil.
Bond is interesting investment instrumen4 which price affected by many factors, one of it is macro economic factor. From those macro economic factors. the most referred by bond market player to decide bond price are BI interest rate, IHSG and Dollar exchange rate. Sovereign bond with fix rate, grouped in to three, short. moderate and long term bond have been chosen for this research. Objective of this research is to investigate practical phenomenon in predicting bond price to investigate the influence of theoretical price against real price. to investigate the influence of macro economic factors against real price and to investigate the influence of theoretical price with macro economic factors against real price. Base on research, theoretical price obtained from yield movement with contribution from duration. Nevertheless, there's still deviation between real prices in market and theoretical price constructed from yield movement and duration. To explain the conelation between theoretical price and real price, then a regression model of theoretical price against real price developed, however it was not able to capture the movement of real price of sovereign bond. Due to result from theoretical price was not satisfying enough, hence macro economic factors against real price also being investigate by construct regression model of macro economic factors against real price. This model apparently was not able to capture the movement of real price as well. |
