ANALYSIS OF FACTORS INFLUENCING SHARIA BOND’S CREDIT SPREAD IN INDONESIA

• Main Author: Qasthari Fauzi, Helmi
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/78587
• Institution: Institut Teknologi Bandung

Corporate Sukuk in Indonesia has consistent growth with the total outstanding increased significantly as well. The number of Sukuk in Indonesia has been issued up to 20,425,400 million until December 2016 with issuance as many as 100 publishing accumulations. This is a proof that the position of Sukuk has put itself in a significant proportion in Indonesia. The objective of this research are analyzing the effect of the exchange rate of Rupiah toward US dollar, time to maturity, BI rate, size issued and the total return of INDOBEX-COMPOSITE toward Sukuk’s credit spread in Indonesia. This paper also analyzing the change of stock’s impact value as the proxy of Sukuk’s underlying asset on period August 2015 - August 2016. This study uses secondary data from Indonesian Capital Market Laboratory, IBPA, and Bank Indonesia involving 10 corporate Sukuk traded during August 2015 – August 2016. This study uses panel regression method. The result showed that time to maturity and total return of INDOBEX-COMPOSITE have a positive correlation and significant impact to Sukuk credit spread. Exchange rate of Rupiah toward US dollar, BI rate, and market value have a negative correlation and significant impact to the Sukuk credit spread, as well as size issued has no significant impact to the credit spread.