Research Article
Effects of Global Economic Variables to Indonesian Government Securities
@INPROCEEDINGS{10.4108/eai.11-7-2019.2297565, author={Himawan Wiratama and Rifki Ismal}, title={Effects of Global Economic Variables to Indonesian Government Securities}, proceedings={Proceedings of the 1st International Conference on Islam, Science and Technology, ICONISTECH 2019, 11-12 July 2019, Bandung, Indonesia.}, publisher={EAI}, proceedings_a={ICONISTECH}, year={2021}, month={1}, keywords={capital market bonds sukuk interest rate exchange rate oil price gold price}, doi={10.4108/eai.11-7-2019.2297565} }- Himawan Wiratama
Rifki Ismal
Year: 2021
Effects of Global Economic Variables to Indonesian Government Securities
ICONISTECH
EAI
DOI: 10.4108/eai.11-7-2019.2297565
Abstract
This study examines the impact of global economic factors including interest rates, exchange rate, world oil prices, and world gold prices on local currency sovereign conventional bonds and sukuk indices in the Indonesian bond market. The study covers the period August 2009 to December 2018 and uses of the monthly data by applying the dinamic econometric models. The results of this study prove that the movement of the exchange rate, world oil prices, and world gold prices have a significant impact on the movement of the local currency sovereign conventional bonds and sukuk indices in the Indonesian bond market. While global interest rates does not have an effects on the movement of the local currency sovereign conventional bonds and sukuk indices in Indonesian bond market. Based on this study, bond and sukuk holders need to pay attention to exchange rate, world oil prices, and world gold prices movements. When the bond market conditions are good, gold can be used as an instrument for portfolio diversification, but not vice versa. In maintaining the performance of conventional bonds and sukuk, the Government needs to maintain stability of exchange rate volatility, maintain oil prices to control inflation, and strengthen the domestic investor base. In addition, this study can also enrich the literature in the capital market, especially the Government bond market, both SUN and SBSN.