Risk and Return Analysis of Government Bonds in Indonesia: A Multifactor Model Approach

Understanding the relationship between risk and government bond returns is crucial for assessing the influence of risk factors on bond returns. This study investigates the dynamics of risk-taking behavior and its impact on the performance of government bonds in Indonesia. Using monthly data spanning from January ۲۰۱۷ to December ۲۰۲۱, we employ a multifactor model with GARCH analysis technique to analyze the data. The findings reveal that risk exposure exerts a negative and significant effect on government bond returns in Indonesia, while market factors also negatively and significantly influence bond returns. Conversely, the joint stock performance exhibits a positive relationship and significantly impacts returns in Indonesia.

کلیدواژه ها:

GARCH Analysis ، Government Bonds ، Indonesia ، Market Factors ، Multifactor Model ، Stock Performance