Pengukuran Durasi Obligasi Untuk Mengetahui Sensitivitas Harga Obligasi Terhadap Perubahan Tingkat Suku Bunga Di Indonesia

Abstract

Interest rate risks is one of the risk faced by the bondholders. As widely known from theory, there is an inverse relationship between interest rate and the bond price. Not many researches have been done in Indonesian capital market to find out the relationship between those two variables. Hence, this research aims at using duration to measure the bond price sensitivity toward changes in interest rate. It concludes that duration could not be use to predict changes in bond price. This finding implies that investors cannot easily use duration as a measure of bond price sensitivity caused by changes in interest rate in Indonesian capital market.