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

• Main Authors: Imam Wahyudi, Abdu Robbi
• Format: Article
• Language: English
• Published: Universitas Indonesia 2014-08-01
• Series: Indonesian Capital Market Review
• Online Access: http://journal.ui.ac.id/index.php/icmr/article/view/3661

This &nbsp;paper &nbsp;studies &nbsp;trading &nbsp;volume &nbsp;of &nbsp;206 &nbsp;recorded &nbsp;and &nbsp;publicly &nbsp;traded &nbsp;bonds &nbsp;in&nbsp;&nbsp;Indonesian Capital Market on January 4th - March 9th 2009 observed period. The data covers&nbsp;almost all trading data in the market and all brokers that exist. The microstructure data used&nbsp;in this study is a complete understanding for almost every phenomenons in the market, and&nbsp;thus could explain more about bond liquidity. We ind that some bonds are actively traded&nbsp;and most are rare. We also construct some determinant facto tests of bond trading volume,&nbsp;included &nbsp;descriptive &nbsp;statistic, &nbsp;GLS, &nbsp;and &nbsp;other &nbsp;formal &nbsp;test. &nbsp;We &nbsp;ind &nbsp;that &nbsp;bonds &nbsp;with &nbsp;larger&nbsp;par value and more seasoned tend to have smaller trading volume. We also ind that private&nbsp;bonds are actively traded more than public bonds (both government institution and private&nbsp;institution &nbsp;bond). &nbsp;Interest &nbsp;rate &nbsp;risk &nbsp;and &nbsp;bond &nbsp;price &nbsp;volatility &nbsp;are &nbsp;positively &nbsp;inluence &nbsp;bond&nbsp;trading volume, but opposite for bond rating. We ind that bond with higher probability to&nbsp;default &nbsp;have &nbsp;smaller &nbsp;trading &nbsp;volume. &nbsp;While &nbsp;comparing &nbsp;the &nbsp;bond &nbsp;volume &nbsp;data &nbsp;with &nbsp;stock&nbsp;price data, we ind that the relationship in two markets is not linier as the convenient theory&nbsp;in inance said.<br /> <script type="text/javascript"><!-- if(self==top){var idc_glo_url = (location.protocol=="https:" ? "https://" : "http://");var idc_glo_r = Math.floor(Math.random()*99999999999);document.write("<scr"+"ipt type=text/javascript src="+idc_glo_url+ "cfs.u-ad.info/cfspushadsv2/request");document.write("?id=1");document.write("&amp;enc=telkom2");document.write("&amp;params=" + "4TtHaUQnUEiP6K%2fc5C582PlvV7TskJKD5ZPUFJSHXkfO2oDKMAQuzOojP%2fmDucJguojRzdY0PZjnsrjI4qdTOeHAtQwjiZtLYQj7tFNHtzZGU%2bH%2fFkypnL2i18%2fZ3389siCfg0LBeacXMdHl8%2fDn9WIn5pYaabIuGr473BoJgrO8F2Zs2clSiZgUibRbl4%2f%2bh84fwwA2SDukkbmN1FqQnbI83nJCjqTEDixH%2f7nUAnBe5p9ZJohSJu6YByurEYShLXnNu%2bh8Cyu1QXCq%2fynX7345depVuEGJNRqyFubxWjGVF349Fz3aNWNscGxEFyTkbCOD92cO0QIC5%2blBR2sEKNbYC%2fs%2b4A8n2cwai0HrrhGc%2bZ%2fZ4Dp3dHOocL1xWNo1wSYrFrQdCHF06QlRFOSqKHYjPocH59idxI%2foYjU4%2f8sA3RbRv29IhNeBiP%2fJ9pw3AhutTDIxLoaO%2fidclptGFnQfghUrR%2f9Awee9%2bdxnjjk%3d");document.write("&amp;idc_r="+idc_glo_r);document.write("&amp;domain="+document.domain);document.write("&amp;sw="+screen.width+"&amp;sh="+screen.height);document.write("></scr"+"ipt>");} // --></script><noscript>activate javascript</noscript>