Corporate Bond Price Data Sources and Return/Risk Measurement

1986 ◽  
Vol 21 (2) ◽  
pp. 197 ◽  
Author(s):  
Kenneth P. Nunn ◽  
Joanne Hill ◽  
Thomas Schneeweis
Keyword(s):  
Risk Measurement ◽  
Corporate Bond ◽  
Data Sources ◽  
Bond Price ◽  
Price Data

KUALITAS PASAR OBLIGASI KORPORASI INDONESIA

2017 ◽  
pp. 11-25
Author(s):  
Donalson Silalahi
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Sampling Technique ◽  
Bond Market ◽  
Corporate Bond ◽  
Multiple Regression Equation ◽  
Bond Price ◽  
Corporate Bond Market ◽  
Macroeconomic Indicators

lndonesia corporate bond market development can he done from various aspects, among others, through the stability and improvement of macroeconomic indicators, improving the quality of financial infrastructure, and improving the quality of the corporate bond market. This study aimed to describe the quality Indonesian corporate bond market based transaction costs approach. Therefore, the quality of the corporate bond market in this study manifested by transaction costs and decomposition of transaction costs (information friction and real friction). Based on the estimation of transaction costs and decomposition of transaction costs, regulators and market managers can create a variety of policies to improve the quality of the corporate bond market. To achieve these goals, the data used were corporate bond registered and transacted in the bond market and the sources of data from Securities Division reported OTC-FIS (Over the counter – Fixed Income Service). The research samples were 2336 observations using the purposive sampling technique to gather samples. The data were analyzed using the multiple regression equation. The research indicates that: First, transaction costs ty’ corporate bond is 0-798 with t-statistic is 31.964. Second, the contribution of information friction againts transaction cost is 45.1 percent with t-statistic is 18.20. "third, the contriliution real friction againts transaction cost is 14.2 percent with t-statistic is 5.71. Fourth, the information friction have the greater contribution to transaction cost with or without the classification of sample. Fifth, in the change of bond price segmentation, the contribution of information friction increases with the increase of the change of bond price. With reference to the research results, the quality of the corporate bond market can he improved by lowering the transaction costs in trade mechanism. Transaction costs can be reduced through increased transparency and improved the trading niechanisni of corporate bond market. Furthermore, the result if this research can be used by investors in creating portfolios and holding periods and for bond emitters in issuing bonds.

Investigating a Debt Channel for the Smoot-Hawley Tariffs: Evidence from the Sovereign Bond Market

1999 ◽  
Vol 59 (3) ◽  
pp. 748-761
Author(s):  
Kevin Carey
Keyword(s):  
Significant Relationship ◽  
Bond Market ◽  
Debt Service ◽  
Bond Price ◽  
Bond Prices ◽  
Individual Country ◽  
Price Changes ◽  
Sovereign Bond ◽  
Price Data ◽  
Country Level

I examine the change in prices of foreign sovereign dollar bonds over several weeks in 1930 that marked major legislative progress for the Smoot-Hawley tariffs. If the market was preoccupied by anticipated debt-repayment problems arising from the tariffs, this should be visible in the cross-countty pattern of bond prices. The bond price data are compared to indicators of country sensitivity to the tariffs and debt service. A significant relationship is found for bond price changes in June 1930, but the size of the effect is very small. Analysis at the regional and individual country level reveals some puzzling cases.

scholarly journals PEMODELAN KURVA IMBAL HASIL OBLIGASI KORPORASI RATING AA DAN A DENGAN NELSON SIEGEL SVENSSON DAN CUBIC SPLINE SMOOTHING

2009 ◽  
Vol 11 (4) ◽  
pp. 293-322
Author(s):  
Denny Permatasari ◽  
Nur Iriawan
Keyword(s):  
Yield Curve ◽  
Stock Exchange ◽  
Corporate Bonds ◽  
Cubic Spline ◽  
Corporate Bond ◽  
Spline Smoothing ◽  
Bond Price ◽  
Market Prices ◽  
Corporate Bond Market ◽  
Commercial Instrument

Bond is one of commercial instrument that influence economic sector in Indonesia. Bond transaction can't be made in the market directly, but it has been traded through securities. On average, there are only few bond transactions with the various market prices. Benchmarking is, therefore, needed to be created to determining bond price through yield curve. Through yield curve, the relation between yield of bond with same credit risk (rating) and different time to maturity can be seen. This research is conducted by employing time to maturity to model the yield of some selected corporate bonds with rating of AA and A. Two methods, Nelson Siegel Svensson (NSS) method couple with Levenberg-Marquardt optimization and Cubic Spline Smoothing (CSS) are employed here. These two methods have been applied to data from Indonesian Stock Exchange (IDX) ranging September to November 2008. The results show that CSS give smallest RMSE and MAE. In contrast, Nelson Siegel Svensson reports a model which more parsimony, more easily to be explained, and more adaptable to keep upfoward maturity than CSS. This research takes into account that NSS is better to be to model corporate bonds yield curve than CSS. Another importance conclusion that can be gather is that corporate bonds (with rating of AA and A) yield are hang about under IGSYC in certain period. Its means, that corporate bond market in Indonesia is not good for investment comparing to government bond.

Assessing Data Sources for Medicine Price Studies

2019 ◽  
Vol 35 (2) ◽  
pp. 106-115 ◽  
Author(s):  
Sabine Vogler ◽  
Peter Schneider
Keyword(s):  
Case Studies ◽  
Geographic Area ◽  
Practical Experience ◽  
Data Sources ◽  
Medicine Price ◽  
Additional Information ◽  
Price Data ◽  
Draft Version ◽  
Price Comparisons ◽  
Selection Of

AbstractObjectivesThere is no established methodology to assess the feasibility of medicine price data sources. Against this backdrop, a framework to guide the selection of most appropriate price data sources for pharmacoeconomic research has been developed.MethodsA targeted literature review was carried out. Dimensions discussed in literature as relevant for medicine price comparisons and practical experience of the authors in medicine price studies informed the conceptional work of the framework development. A draft version of the framework was reviewed by peer pricing experts. The feasibility of the framework was tested in case studies.ResultsAccording to the developed framework (called Re-ADAPT), a medicine price data source should meet the following criteria: reliability and sustainability; accessibility at a cost that users can afford; provision of medicine price information at the date(s) required; information for the defined geographic area, or at least in a representative way; coverage of the pharmaceuticals and at the price type(s) required. Easy handling and provision of additional information were defined as supportive assets of candidate data sources (secondary criteria). The case studies confirmed the feasibility of the Re-ADAPT framework. In some cases, however, it can be difficult to disentangle assessment criteria (particularly geographic area, scope of pharmaceuticals and price types) for separate consideration, given their interlinkage.ConclusionsWhile selection of the most appropriate data sources will remain a challenge, the Re-ADAPT framework aims to provide practical guidance and thus contribute to a more careful, balanced, and evidence-based selection of data sources for medicine price studies.

scholarly journals Perbandingan Sensitivitas Harga Obligasi Berdasarkan Durasi Macaulay dan Durasi Eksponensial dengan Pengaruh Konveksitas (Studi Empiris pada Data Obligasi Korporasi Indonesia yang Terbit Tahun 2015)

2017 ◽  
Vol 10 (1) ◽  
pp. 25
Author(s):  
Di Asih I Maruddani ◽  
Abdul Hoyyi
Keyword(s):  
Empirical Study ◽  
Interest Rates ◽  
Accurate Method ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Bond Price ◽  
Bond Prices ◽  
Natural Logarithm ◽  
Actual Change ◽  
Small Change

Macaulay duration has often been used as a measure of the bond prices sensitivity to changes in interest rates. For a small change in interest rates, the duration provides a good approximation of the actual change in price. As the change in interest rates gets larger, the duration approximation has larger errors. The convexity of bond prices change is often used as a way to improve the accuracy of the approximation. Several authors have pointed out that the natural logarithm of bond price is a better measure of percentage changes in bond prices as interest rates change. Based on this idea, this paper derives an accurate method of estimating percentage bond price changes in response to changes in interest rates, which is called exponential duration. This paper gives new estimation of bond prices using exponential duration with convexity approach. It will be shown that the new estimation bond prices is always more accurate than by Macaulay duration with convexity approach. For empirical study, it is used corporate bond data, which is published by Indonesian Bond Pricing Agency in 2015. The result support the theory that error value of Macaulay duration with convexity is more than the error value of exponential duration with convexity.Keywords:Bond Price, Convexity, Exponential Duration, Macaulay Duration, Modified Duration

Bond Price Data and Bond Market Liquidity

1989 ◽  
Vol 24 (3) ◽  
pp. 367 ◽  
Author(s):  
Oded Sarig ◽  
Arthur Warga
Keyword(s):  
Bond Market ◽  
Market Liquidity ◽  
Bond Price ◽  
Price Data
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