ANALISIS PENGARUH TINGKAT SUKU BUNGA SBI, LIKUIDITAS OBLIGASL,RATING OBLIGASI, DAN RETURN ON EQUITY PERUSAHAAN TERHADAP YIELD SPREAD OBLIGASI PERUSAHAAN (Studi Komparasi Obligasi Perusahaan Finansial dan Non-Finansial yang Tercatat di Bursa Efek Indonesia Periode2007-2008)

Abstract

Perception for bond investors could be reflected by the value of the yield spreads between corporate bonds to government bonds. Yield spreads could be influenced by factors originating from internal condition, such as bond issuer and from an external condition, such as movements of risk-free interest rate instruments, for example the SBI. The purpose of this study is to analyze how the influence of SBI interest rate, bond liquidity, bond rating, return on equity (ROE) of the company to corporate bond yield spreads. The samples of company are categorized into two business sectors, Jinancial companies and non-f.nancial companies. Objects in this study consisted of 74 financial companies and 60 non-financial companies. Types of data used are secondary data obtained fro* the Indonesian Bond Market Directory 2008-2009, Bank Indonesia, and PT. Pefindo. The analysis used is Multiple Linear Regressions for both samples model, Then performed Chow Test to see whether using two regressions model based on financial and non-financial sector can influence stability of regression model. The test results showed that the level of SBI interest rates has positive and signt/icant effect to corporate bond yield spread for both models. It is can be recognized fru* calculation t value is 3,729 and 2,536 with level of signtficant is 0,0A0 and A,014 for both models. Liquidity of corporate bonds has negative and not significant ffict for both models. Bonds rating of the financial company has positive and significant effect, it is can be recognized from calculation t value is 2,317 with level of signtficant is 0,024. Whilefor non-financial sector, has negative and not significant effect. Returns on equity offinancial company has negative and not significant efect, while for non-financial sector, has negative and significant effect to corporate bond yield spreads. It is can be provefrom t value is -2,087 with level of signtficant is 0,042. Chow Test results showed that using two regressions model did not influence the stability of regression model.