DAMPAK PENGUMUMAN PERINGKAT OBLIGASI PADA KINERJA OBLIGASI DI BURSA EFEK INDONESIA

Yuharningsih Yuharningsih, ST. Haryono ST. Haryono

Abstract


The purpose of this study was to determine empirically the changes on bond rating that impacted on the bond’s performance.  The changes on bond rating were rated by PT Pefindo. This study used 65 samples from 30 companies with bonds data issued in 2009 – 2012. The samples were grouped into 13 upgrade bonds, 8 downgrade bonds and 44 stable. Bond’s performance was indicated by the value of yield to maturity (YTM). The paired t-test was deployed with software SPSS version 15. The result showed that there was no different performance before and after the announcement of bond ratings for both the entire sample and upgrade  bond groups. While for downgrade groups there was a significant difference before and after the announcement of bond ratings. These result indicated that only downgade group had a significant difference from YTM, therefore bond ratings announcement contained useful information for the investors.


Keywords


bond security, rating change, yield to maturity

Full Text:

pdf

References


Ahmad, G.N. & Zakaria, M. 2011. Pengaruh Bond Rating terhadap Imbal Hasil Saham di BEI. Jurnal Riset Manajemen Sains Indonesia, 2(1): 95-109.

Almilia, L. & Devi, V. 2007. Faktor-faktor yang Memengaruhi Prediksi Peringkat Obligasi pada Perusahaan Manufaktur yang Terdaftar di BEJ. Proceeding. Seminar Nasional Manajemen SMART 3.

Andry,W. 2005. Analisis Faktor-faktor yang Memengaruhi Prediksi Peringkat Obligasi. Jurnal Buletin Ekonomi Moneter dan Perbankan, 8(2).

Bhojraj, S. & Sengupta, P. 2003. Effect of Corporate Governance on Bond Ratings and Yields; The Role of Institutional Investor and Outside Directors. Journal of Business, 76(3): 455-475.

Faerber, E. 2001. Fundamentals of the Bonds Market. New York: McGraw-Hill .

Hand, J.R.M., Holthausen, R.W., & Leftwich, R.W. 1992. The Effect of Bond Ratings Agency Announcements on Bond and Stock Prices. The Journal of Finance, 47(2): 733 – 752.

Ibrahim, H. 2008. Pengaruh Tingkat Suku Bunga, Peringkat Obligasi, Ukuran Perusahaan dan DER terhadap Yield to Maturity Obligasi Korporasi di Bursa Efek Indonesia Periode 2004-2006. Tesis. Program Magister Manajemen Pascasarjana Universitas Diponegoro Semarang.

Jogiyanto, H.M. 2004. Metodologi Penelitian Bisnis : Salah Kaprah dan Pengalaman-pengalaman. BPFE: Yogyakarta.

Kesumawati, L. 2003. Pengaruh Peringkat Utang dan Berbagai Faktor yang Turut Memengaruhi Harga Obligasi sebagai Variabel Kontrol terhadap Yield Premium Obligasi. Tesis. Magister Manajemen Program Pascasarjana Universitas Gadjah Mada Yogyakarta.

Khurana, I.K. & Raman, K.K. 2003. Are Fundamental Priced in The Bond Market? Contemporary Accounting Research, 20(3): 465-494.

Rudiyanto. 2011. Mengenal Rating Obligasi. http://rudiyanto.blog.kontan.co.id/2011/10/ 19/ mengenal-rating-surat-hutang-negara/. Diakses tanggal 23 Desember 2014.

Rudiyanto. 2012. Memahami Cara Kerja Obligasi (1). http://rudiyanto.blog.kontan.co.id/ 2012 /02/17/memahami-cara-kerja-obligasi-1-2/ . Diakses tanggal 22 Desember 2014.

Sitompul, Y. & Ismani. 2013. Pengaruh Bond Rating terhadap Kinerja Obligasi pada Perudahaan yang terdaftar di BEI 2008-2011. Jurnal Profita: Kajian Ilmu Akuntansi, 1 (1).

Tandelilin, E. 2010. Analisis Investasi dan Manajemen Portofolio. Edisi Pertama. Yogyakarta: BPFE.

Widiyastuti, T., Djumahir, & Khusniyah, N. 2014. Faktor-faktor yang Berpengaruh terhadap Peringkat Obligasi (Studi pada Perusahaan Manufaktur yang Terdaftar di BEI). Jurnal Aplikasi Manajemen, 12(2): 269-278.

Zuhrotun & Baridwan, Z. 2005. Pengaruh Pengumuman Peringkat Terhadap Kinerja Obligasi. Prosiding. Simposium Nasional Akuntansi VIII. Solo.




DOI: https://doi.org/10.26905/jkdp.v19i1.831

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: +62 813-3180-1534
Email: jkp@unmer.ac.id

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0