Pengaruh Kebijakan Moneter Negara Maju, Kepemilikan Asing, dan Exchange Rate terhadap Yield Obligasi Emerging Market di Asia

Diaulhaq, Juan Savero (2023) Pengaruh Kebijakan Moneter Negara Maju, Kepemilikan Asing, dan Exchange Rate terhadap Yield Obligasi Emerging Market di Asia. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pada tahun 2020 hingga 2022 terdapat beberapa peristiwa yang menggangu stabilitas perekonomian global. Pandemi COVID-19 serta kondisi geopolitik antara Rusia dan Ukraina memberikan guncangan bagi perekonomian, baik sektor ril dan pasar keuangan. Di pasar obligasi mata uang lokal negara berkembang (emerging market) Asia Timur, terjadi arus modal keluar sebesar 2,1 Miliar USD pada kuartal ke-2 tahun 2022. Emerging market menjadi destinasi investasi yang atraktif bagi investor karena memberikan potensi pertumbuhan yang besar. Namun, pasar emerging sangat rentan terhadap kondisi keuangan global. Pasar utang berperan penting sebagai sumber pendanaan bagi pemerintah dan perusahaan melalui penerbitan surat utang (obligasi). Disisi lain, obligasi juga dapat dimanfaatkan sebagai instrumen investasi yang memberikan arus kas tetap. Oleh karena itu, penelitian ini bertujuan untuk memahami faktor-faktor yang dapat memengaruhi imbal hasil investasi obligasi yang diukur melalui kebijakan moneter Eropa dan Amerika, kepemilikan asing, dan nilai tukar sehingga dapat menjadi acuan bagi investor dalam berinvestasi obligasi. Penelitian ini menggunakan metode regresi linear berganda dengan pendekatan Ordinary Least Square (OLS). Data imbal hasil obligasi (yield to maturity) diambil melalui indeks obligasi yang disusun oleh S&P Dow Jones pada tahun 2013 – 2022 (per kuartal). Hasil penelitian menunjukkan bahwa obligasi Filipina paling terpengaruh oleh kebijakan moneter Amerika dimana menunjukkan pengaruh positif pada suku bunga AS dan imbal hasil obligasi 10 tahun AS. Selain itu, didapatkan bahwa kepemilikan asing memiliki pengaruh positif yang signifikan terhadap yield to maturity obligasi pemerintah Korea, obligasi perusahaan Filipina, dan obligasi perusahaan Indonesia. Sedangkan, nilai tukar memiliki pengaruh signifikan positif terhadap obligasi pemerintah Indonesia, obligasi perusahaan Korea, dan obligasi pemerintah Malaysia.
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In 2020 to 2022 there were several events that destabilized the global economy. The COVID-19 pandemic and geopolitical conditions between Russia and Ukraine have shaken the economy, both the real sector and financial markets. In the East Asian emerging market local currency bond market, there was a capital outflow of 2.1 billion USD in the 2nd quarter of 2022. Emerging markets are attractive investment destinations for investors because they provide great growth potential. However, emerging markets are highly vulnerable to global financial conditions. The debt market plays an important role as a source of funding for governments and companies through the issuance of debt securities (bonds). On the other hand, bonds can also be utilized as an investment instrument that provides a fixed cash flow. Therefore, this study aims to understand the factors that can affect bond investment returns measured through European and American monetary policy, foreign ownership, and exchange rates so that it can be a reference for investors in investing in bonds. This study uses multiple linear regression method with Ordinary Least Square (OLS) approach. Bond yield data (yield to maturity) is taken through the bond index compiled by S&P Dow Jones in 2013 - 2022 (per quarter). The results show that Philippine bonds are most affected by US monetary policy which shows a positive influence on US interest rates and US 10-year bond yields. In addition, it was found that foreign ownership has a significant positive influence on the yield to maturity of Korean government bonds, Philippine corporate bonds, and Indonesian corporate bonds. Meanwhile, exchange rates have a positive significant influence on Indonesian government bonds, Korean corporate bonds, and Malaysian government bonds.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	merging Market, Exchange Rate, Kebijakan Moneter, Kepemilikan Asing, Obligasi. Emerging Market, Exchange Rate, Monetary Policy, Foreign Ownership, Bonds.
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529.5 Portfolio management
Divisions:	Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis
Depositing User:	Juan Savero Diaulhaq
Date Deposited:	02 Aug 2023 07:44
Last Modified:	02 Aug 2023 07:44
URI:	http://repository.its.ac.id/id/eprint/101128

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