KUALITAS PASAR OBLIGASI KORPORASI INDONESIA
DOI:
https://doi.org/10.54367/jmb.v11i1.114Keywords:
the quality of corporate bond market, transaction costs, information friction, and real friction.Abstract
lndonesia corporate bond market development can he done from various aspects, among others, through the stability and improvement of macroeconomic indicators, improving the quality of ï¬nancial infrastructure, and improving the quality of the corporate bond market. This study aimed to describe the quality Indonesian corporate bond market based transaction costs approach. Therefore, the quality of the corporate bond market in this study manifested by transaction costs and decomposition of transaction costs (information friction and real friction). Based on the estimation of transaction costs and decomposition of transaction costs, regulators and market managers can create a variety of policies to improve the quality of the corporate bond market. To achieve these goals, the data used were corporate bond registered and transacted in the bond market and the sources of data from Securities Division reported OTC-FIS (Over the counter – Fixed Income Service). The research samples were 2336 observations using the purposive sampling technique to gather samples. The data were analyzed using the multiple regression equation. The research indicates that: First, transaction costs ty’ corporate bond is 0-798 with t-statistic is 31.964. Second, the contribution of information friction againts transaction cost is 45.1 percent with t-statistic is 18.20. "third, the contriliution real friction againts transaction cost is 14.2 percent with t-statistic is 5.71. Fourth, the information friction have the greater contribution to transaction cost with or without the classification of sample. Fifth, in the change of bond price segmentation, the contribution of information friction increases with the increase of the change of bond price. With reference to the research results, the quality of the corporate bond market can he improved by lowering the transaction costs in trade mechanism. Transaction costs can be reduced through increased transparency and improved the trading niechanisni of corporate bond market. Furthermore, the result if this research can be used by investors in creating portfolios and holding periods and for bond emitters in issuing bonds.Warning: Invalid argument supplied for foreach() in /opt/lampp/htdocs/ojs/plugins/generic/usageStats/UsageStatsPlugin.inc.php on line 788
Downloads
References
Bessembinder, Hendrick, William Maxwell, dan Kumar Venkataraman, 2005, Market Transparency, Liquidity Extemalities, and Institutional Trading Costs in Corporate Bonds, [ournal of Financial Economics, Fortcoming.
Chakravarty, Sugato, dan Asani Sarkar, 1999, Liquidity in U.S. Fixed Income Market: A Comparison of the Bid—ask Spread in Corporate, Government and Municipal Bond Markets, Working paper, Federal Reserve Bank of New York.
Chen, Long, David A. Lesmond, dan Jason Wei, 2003, Corporate Bond Liquidity and its Effect on Bond Yield Spreads, Working paper, Department of Finance, Michigan State University.
Chui, Yung Park and Daekeum Park, 2003, Creating Regional Bond Markets in East Asia: Rationale and Strategy. The 2'14 Annual Conference of PECC ï¬nance Forum, Thailand.
Edwards, A., L. Harris and M. Piwowar, 2004. "Corporate Bond Market Transparency and Transaction Costs." Working Paper, SEC.
Edwards, Amy K., M. Nimalendran, dan Michael S. Pwowar, 2005, Corporate Bond Market Transparency: Liquidity Concentration, Informational Efficiency, and Competition, Working paper, The U.S. Securities and Exchange Commission.
Ellis, K., R. Michaely and M. O'Hara, 2000, The Accuracy of Trade Classiï¬cation Rules: Evidence from NASDAQ, journal of Financial and Quantitative Analysis 35, 529 — 551.
Glosten, L., and L. Harris, 1988, Estimating the Component of the Bid / ask Spread, journal of Financial Economics 21, 123 — 142.
Glosten, Lawrence and Paul Milgrom, 1985, Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders", Journal of Financial Economics 14, 71 — 100.
Gofdstein, M., E. Hotchkiss and E. Sirri, 2005, Transparency and Liquidity: A Controlled Experiment on Corporate Bonds, Working paper, Babson College.
Hanousek, Ian and Richard Podpiera, 2002, lnformed Trading and Bid-ask Spread: Evidence from an Emerging Market, Working paper, CERGE-E1, Czech Republic.
Hasbrouck, Ioel, 1993, Assessing the Quality of Secuiy Market: A New Approach to Transaction-Costs Measurement, T711: Review of Financial Sfudies 6, 190 — 212.
Herring, Richard ]., Nathporn Chatusripitak, 2000, The Case of the Missing Market: The Bond Market and I/Vhy It Matter for Financial Development, Paper Prepared for The Asian Development Bank Institute / Wharton Seminar, Tokyo.
Hong, Gwangheon, 1998, An Empirical Study of Corporate Bond Market Microstructure, Ph.D Dissertation, Wisconsin University, Milwaukee.
Hong, Gwangheon, dan Arthur Warga, 2000, An empirical study of bond market transactions, Financial Analysts journal 56, 32 — 46.
Huang, R., dan H Stoll, 1997, The Component of the Bid-ask Spread: A General Approach, Review of Financial Studies 10, 995 - 1034.
Schultz, P., 2001, Corporation Bond Trading Costs: A Peek Behind the Curtain, journal of Finance 56, 677 — 698.
Silalahi, Donalson, 2004, Pengembangan Bond Market Indonesia dengan Memperhatikan Aspek Makro Ekonomi dan Kualitas Infrastruktur Keuangan, Jurnal manajemen dan Bisnis Vol. 3, No. 2, 30 — 44.
Silalahi, Donalson, 2007, Kontribusi lnformed Trading Terhadap Bid-Ask Spread: Studi Pada Pasar Obligasi Korporasi Indonesia, Jurnal Manajemen dan Bisnis Vol 7, No. 1, Maret, 76 — 88.
Silalahi, Donalson, 2008, Estimasi Biaya Transaksi Obligasi Korporasi Studi Pada Obligasi Korporasi yang telah Diperdagangkan di Pasar Obligasi Indonesia Periode Tahun 2003 - 2006, Majalah Ilmiah Media llnika Vol 20, No. 73, ]uli - Augustus, 290 - 297.
Stoll, H. R., 2000, Friction, fournal of Finance 55, 1479 — 1514. Stoll, Hans R., 1989, Inferring the Components of the Bid-ask Spread: Theory and Empirical Tests, Iaunal ofï¬nance 44, 115 - 134.
