scholarly journals PEMODELAN B-SPLINE UNTUK MENGESTIMASI KURVA YIELD OBLIGASI PEMERINTAH KODE FIXED RATE

2019 ◽  
Vol 8 (2) ◽  
pp. 244-252
Author(s):  
Tri Meida Nurcahyanti ◽  
Tatik Widiharih ◽  
Budi Warsito
Keyword(s):  
Yield Curve ◽  
Stock Exchange ◽  
Government Bond ◽  
Fixed Rate ◽  
B Spline ◽  
Bond Yield ◽  
Good Investment ◽  
The Relationship ◽  
Data Period

Bond is a medium-long term loan agreement that can be handed over, it contains a promise from the issuer to pay rewards in the form of interest on a particular period and paying off the principal debt on the time that has been appointed to the bond buyer. A method to find out the relationship between yield and time to maturity for a type of bond at any given time is illustrated through the yield curve. One of the methods for estimating yield curve is B-spline. The data that used to estimate the yield curve with B-spline model are sourced from Indonesia Stock Exchange, namely Government Bond Trading Report with code FR (Fixed Rate). The data periods used are 9, 16, and 23 November 2018. The best model for estimating the yield curve at any period of the data is linear B-spline model with 6 knots but the knot position is different for every data period. Based on the calculation of MAPE, the ability of the model to predict is very good. Investment with maximum profit based on the estimation of yield curve using B-spline linear model with 6 knot is FR0071.Keywords: bond, yield, yield curve, Government Bond, B-spline

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

scholarly journals Environmental Management, Green Innovation, and Social–Open Innovation

2021 ◽  
Vol 7 (1) ◽  
pp. 89
Author(s):  
Pham Thu Huong ◽  
Jacob Cherian ◽  
Nguyen Thi Hien ◽  
Muhammad Safdar Sial ◽  
Sarminah Samad ◽  
...  
Keyword(s):  
Environmental Management ◽  
Stock Exchange ◽  
Advanced Technology ◽  
Green Innovation ◽  
Social Image ◽  
Whole Process ◽  
Corporate Environmental Management ◽  
The Impact ◽  
The Relationship

The present study aims to determine the impact of green innovation (GI) on the overall performance of an organization while keeping the variable of environmental management (EM) as a moderator. We used a dataset consisting of four data years, from 2014 to 2017, of A-share companies listed on the Shanghai Stock Exchange (SSE). The concept of green innovation refers to the use of advancements in technology that enable savings in energy, along with the recycling of waste material. When advanced technology is utilized in the production process, the products are referred to as green products and the whole process of adopting such technologies and product design is referred to as “Corporate Environmental Management”. Such innovations improve the overall financial performance of companies as it enables them to improve their social image by reducing their carbon footprint and ensures their long-term sustainability. The main issue is the limited focus and attention given to the topic, from the perspective of companies. This research focuses on the impact of green innovation and the importance of environmental management for the sustainability of companies. Our findings suggest that the relationship between green innovation and the performance of the company is positive and verifies the existence of moderating effects of environmental management on the relationship between green innovation and firm performance. Implications are given to academia and practitioners.

Pengaruh Volume Perdagangan dan Retum terhadap Bid-Ask Spread

2007 ◽  
Vol 2 (2) ◽  
pp. 89
Author(s):  
Nico Yopida ◽  
Umi Murtini
Keyword(s):  
Stock Exchange ◽  
Trade Volume ◽  
Informational Asymmetry ◽  
Correction Model ◽  
Order Processing ◽  
Bid Ask Spread ◽  
Holding Cost ◽  
Inventory Holding ◽  
The Relationship

Bid ask spread is afunction of three components which are; order processing, inventory holding, and informational asymmetry. Although holding cost and infurmational asymmetry can not be directly obsertted and needs a specific measurement, these two costs are interesting to be examined. The present paper aims to observe empirical evidences about the relationship between trade and return as a holding cost meaurernent for bid-ask spread. The samples are drawn -fro* companies listed on Jakarta Stock Exchange (JSE and included in rneasurement factors of ILQ-45 fro* January 2004 until December 2004. Using Error Correction Model (ECM), the result shows that the relationship between a trade volume series, return, and bid-ask spread are not either relatively or absolutely having a long-term equilibrium.Keywords : Bid-ask spread, return, statianary, co-integration.

scholarly journals The Long-Run Determinants of Indian Government Bond Yields

2019 ◽  
Vol 36 (1) ◽  
pp. 168-205 ◽  
Author(s):  
Tanweer Akram ◽  
Anupam Das
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Indian Government ◽  
Bond Yield ◽  
Long Run ◽  
Key Driver ◽  
The Government

This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes’ supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.

scholarly journals EMPIRICAL STUDY OF THE EFFECT OF INVESTMENT STRUCTURE ON THE PROFITABILITY OF LISTED COMPANIES IN TEHRAN STOCK EXCHANGE

2019 ◽  
Vol 9 (1) ◽  
pp. 66
Author(s):  
Mandi Salehi ◽  
Hashem Valipour ◽  
Sharham Shanei
Keyword(s):  
Stock Exchange ◽  
Negative Relationship ◽  
Listed Companies ◽  
Investment Structure ◽  
Multivariable Regression ◽  
Statistical Sample ◽  
Table Data ◽  
Multivariable Regression Models ◽  
The Relationship

<p class="Style1">The purpose of this research is the survey of effect of investment structure on the profitability of listed companies in Tehran Stock Exchange (TSE). To do it, selected 100 companies of 13 different industries as the statistical sample and by fitting multivariable regression models with table data, have been surveyed for the relationship between investment structure scales and company's profitability during 6-years period (2002-2007) for sample companies.The results of the research show that there is a positive relationship between short-term debt to assets and company's profitability and also between total debts to total assets and profitability. But there is a negative relationship between long-term debt to assets and profitability.</p><p class="Style9" align="left">Keywords: Investment structure, Profitability, Tableau data</p>

scholarly journals Impact of Capital Structure on Profitability:An empirical analysis of listed firms in India

2018 ◽  
Vol 7 (2) ◽  
pp. 1-6
Author(s):  
Atif Ghayas ◽  
Javaid Akhter
Keyword(s):  
Capital Structure ◽  
Stock Exchange ◽  
Short Term ◽  
Return On Equity ◽  
Listed Firms ◽  
Relationship Capital ◽  
The Impact ◽  
The Relationship ◽  
Positive Effect

This study aims to empirically examine and analyze the impact of capital structure decision on the firm’s profitability by using a sample of 35 Indian pharmaceutical companies listed on Bombay Stock Exchange (BSE) during the period of 5 years from 2012 to 2016. Regression Analysis is used to measure the extent and nature of the relationship. Capital structure variables used in the study are ratio of long-term debt to total assets (LDA), ratio of short-term debt to total assets (SDA) and ratio of Total debt to total assets (DA) while profitability has been measure by Return on Equity (ROE). Firms Size (SIZE)and Salesgrowth(GROW) are also used as control variables. Results reveal a positive effect of SDA and DA on ROE, while a weak-to-no effect was found of LDA on ROE.

scholarly journals Capital Structure and Bank Performance: Empirical Evidence from Bangladesh

2020 ◽  
Vol 12 (1) ◽  
pp. 161
Author(s):  
Md. Ibrahim Molla
Keyword(s):  
Capital Structure ◽  
Positive Impact ◽  
Stock Exchange ◽  
Positive Influence ◽  
Bank Performance ◽  
Total Debt ◽  
Relationship Of ◽  
The Impact ◽  
The Relationship

The paper empirically investigates the relationship between capital structure and the performance of listed banks in Bangladesh using panel data over the period of five years from 2014-2018. To estimate the association between leverage level and bank performance the Panel Corrected Standard Error (PCSE) model is used in this study and the findings indicate that long term debt has a positive influence on the performance of banks which is measured in terms of ROA and ROE. This implies that long term debts are associated with the higher performance of banks listed in Bangladesh. The regression results also reveal that the capital structure component of total debt has no statistically significant impact on ROA, ROE and EPS but it has a significant positive impact on the performance of banks measured by price earning ratio. Furthermore, this analysis finds no relationship of long term debt and total debt with the EPS. These findings lead to conclude that capital structure has a weak to no influence on the performance of listed banks in Bangladesh. This paper is the first research attempt that investigates the impact of capital structure on the performance of all banks listed on the Dhaka Stock Exchange in Bangladesh.

Empirical Analysis of Dependence on Capital Structure with Respect to Its Impact on the Financial Performance of Domestic Non Financial Listed Stock Exchange Companies Operating in the Public Sector of Pakistan

2016 ◽  
Vol 3 (2) ◽  
pp. 58-76
Author(s):  
Syed Jawad Hussain Shahzad ◽  
Memoona Kanwal
Keyword(s):  
Capital Structure ◽  
Financial Performance ◽  
Stock Exchange ◽  
Random Effect ◽  
Random Effect Model ◽  
Research Work ◽  
Debt Financing ◽  
The Impact ◽  
The Relationship

This research work is based on the relationship that exists between the capital structure and performance of different sector's firms currently operating in the Pakistan. Capital structure decisions can be considered as the most important financial performance and risk management tools which are available to the companies' management. Capital structure can also play an important role in performance assessment, in performance management and in effective handling of ownership claims. The extensive use and heavy dependence on debt has exposed many companies to potential risk of declined performance and also to the risk of insolvency. This study analyzes the relationship between various capital structure indicators and dependence of financial performance of companies on these indicators using a broad sample covering 202 non-financial firms listed on Karachi Stock Exchange (KSE) over the period of 1999-2012. The sample firms are divided into five sectors i.e. Textile, Chemical, Cement, Food and Fuel & Energy. Financial performance of firms is quantified by Return on Assets (ROE), Return on Equity (ROE), Price-Earnings ratio (PE) and Tobin's Q (TQ). The relationship between financial performance measures and capital structure measures i.e. total debt, short term debt and long term debt is estimated using GLS fixed and random effect model. Sector wise comparison shows that majority of the sectors have similar capital structure. The impact of capital structure on the financial performance is also similar across sectors with few variations. Overall the relationship is found to be negative among capital structure and firm performance measured by ROA, ROE and PE except TQ which is positively related to Long Term Debt to total Assets (LTDA). The result of industry wise comparison contributes significantly to the existing stream of knowledge. The results indicate that lower reliance on the debt financing improves the performance of the firm whereas dependence and exposure of debt financing reduce performance. The research can be useful for the management of companies in different sectors that want to improve their performance.

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