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Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)

Indonesian Capital Market Review

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Title Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)
 
Creator Imam Wahyudi; Departemen of Management, Faculty of Economic, University of Indonesia
Abdu Robbi; Departemen of Management, Faculty of Economic, University of Indonesia
 
Subject Capital Market
 
Description This  paper  studies  trading  volume  of  206  recorded  and  publicly  traded  bonds  in  Indonesian Capital Market on January 4th - March 9th 2009 observed period. The data covers almost all trading data in the market and all brokers that exist. The microstructure data used in this study is a complete understanding for almost every phenomenons in the market, and thus could explain more about bond liquidity. We ind that some bonds are actively traded and most are rare. We also construct some determinant facto tests of bond trading volume, included  descriptive  statistic,  GLS,  and  other  formal  test.  We  ind  that  bonds  with  larger par value and more seasoned tend to have smaller trading volume. We also ind that private bonds are actively traded more than public bonds (both government institution and private institution  bond).  Interest  rate  risk  and  bond  price  volatility  are  positively  inluence  bond trading volume, but opposite for bond rating. We ind that bond with higher probability to default  have  smaller  trading  volume.  While  comparing  the  bond  volume  data  with  stock price data, we ind that the relationship in two markets is not linier as the convenient theory in inance said. activate javascript
 
Publisher Management Research Center, Department of Management, Faculty of Economics and Business, U
 
Contributor —
 
Date 2014-08-26
 
Type Peer-reviewed Article
 
Format application/mbox
 
Identifier http://journal.ui.ac.id/index.php/icmr/article/view/3661
 
Source Indonesian Capital Market Review; Vol 2, No 2 (2010): July 2010
 
Language en