Analisis Komparatif Determinan Imbal Hasil Sukuk dan Obligasi Korporasi Periode 2019 - 2024

Abstract

Penelitian ini dilaksanakan guna melakukan analisis secara komparatif pengaruh inflasi, suku bunga, PDB, rating obligasi, ROA dan DER terhadap imbal hasil sukuk dan obligasi korporasi pada periode 2019 - 2024. Penelitian bersifat kuantitatif dengan metode analisis regresi data panel. Data penelitian bersumber dari Bond Book IDX, BI dan BPS. Sampel penelitian yang terpilih menggunakan teknik purposive sampling terdiri atas, 25 seri sukuk dari 6 perusahaan, serta 35 seri obligasi dari 15 perusahaan. Secara keseluruhan, model obligasi mampu menjelaskan 82.66% variasi imbal hasil, sedangkan model sukuk mampu menjelaskan 84.17% variasi imbal hasil. Perolehan dari penelitian memperlihatkan bahwasanya secara simultan keseluruhan variabel berpengaruh secara signifikan pada imbal hasil kedua instrumen. Secara parsial, inflasi, suku bunga dan PDB berpengaruh secara signifikan kepada imbal hasil kedua instrumen. ROA hanya berpengaruh secara signifikan terhadap imbal hasil sukuk korporasi. Rating obligasi hanya berpengaruh secara signifikan kepada imbal hasil obligasi korporasi. DER tidak memengaruhi imbal hasil kedua instrumen.

This study was conducted to conduct a comparative analysis of the effects of inflation, interest rates, GDP, bond ratings, ROA, and DER on sukuk and corporate bond yields for the 2019-2024 period. The research is quantitative and uses panel data regression analysis. The research data are sourced from the Bond Book IDX, BI, and BPS. The research sample selected using purposive sampling technique consists of 25 sukuk series from 6 companies and 35 bond series from 15 companies. Overall, the bond model is able to explain 82.66% of the variation in yields, while the sukuk model is able to explain 84.17% of the variation in yields. The results of the study show that all variables simultaneously have a significant effect on the yields of both instruments. Partially, inflation, interest rates, and GDP have a significant effect on the yields of both instruments. ROA only has a significant effect on corporate sukuk yields. Bond ratings only have a significant effect on corporate bond yields. DER does not affect the yields of both instruments.