Determinant of Indonesian Sovereign Retail Sukuk’s Return Determinan Return Sukuk Ritel Negara Indonesia
Article Sidebar
Main Article Content
Abstract
Abstract: Retail Sukuk is one of the Islamic investment instruments that Muslim investors can choose in investing and can be used by the government as an alternative to financing the APBN deficit. This study aims to determine the effect of liquidity risk, inflation risk, and market risk on the return of Retail State Sukuk (SUKRI). A sampling of Retail Sukuk Series 009 (SR009) was conducted using the purposive sampling method with the consideration that the maturity of the series is the latest and can be traded on the secondary market. Through a multiple linear regression model with the Ordinary Least Square (OLS) analysis technique, the results indicated that simultaneously all independent variables (liquidity, inflation, and interest rates) had a significant effect on return (Yield). While partially the results have shown between each different variable where liquidity has a significant negative effect on yield, interest rates show a significant positive effect. In contrast, inflation has no significant effect on yield. The results of this study can be utilized as a reference for investors in making decisions to choose SUKRI as their investment portfolio because the yield can be viewed from both the liquidity of the Sukuk and macro-economics conditions such as inflation and interest rates. Hence, when the interest rate increases, the investor can decide to invest in SUKRI. In addition, the results of this study can be used as a consideration for the government in regulating risk management policies and determining the returns offered to SUKRI, which will be issued for the next series.
Keywords: Sukuk Yield; Liquidity Risk; Retail Sukuk; Multiple Linear Regression.
Abstrak: Sukuk ritel merupakan salah satu instrument investasi syariah yang dapat dipilih oleh investor muslim dalam berinvestasi dan dapat digunakan oleh pemerintah sebagai alternatif dalam membiayai defisit APBN. Penelitian ini bertujuan untuk mengetahui pengaruh risiko likuiditas, risiko inflasi, dan risiko pasar terhadap return Sukuk Negara Ritel (SUKRI). Pengambilan sampel Sukuk Ritel Seri 009 (SR009) dilakukan dengan menggunakan metode purposive sampling dengan pertimbangan jatuh tempo dari seri tersebut paling baru dan dapat diperdagangkan di pasar sekunder. Melalui model regresi linier berganda dengan teknik analisis Ordinary Least Square (OLS), hasil penelitian menunjukkan bahwa secara simultan semua variabel independen (likuiditas, inflasi, dan suku bunga) berpengaruh signifikan terhadap imbal hasil (Yield). Sedangkan secara parsial hasil yang ditunjukkan antara masing-masing variabel berbeda dimana likuiditas berpengaruh negatif signifikan terhadap Yield, suku bunga menunjukkan pengaruh positif signifikan, sedangkan inflasi tidak berpengaruh signifikan terhadap Yield. Hasil penelitian ini dapat dijadikan acuan bagi investor dalam mengambil keputusan untuk memilih SUKRI sebagai portofolio investasinya karena imbal hasil dapat ditinjau baik dari likuiditas Sukuk maupun kondisi makroekonomi seperti inflasi dan suku bunga. Sehingga, disaat suku bunga meningkat, maka investor dapat mengambil keputusan untuk berinvestasi di SUKRI. Selain itu, hasil penelitian ini dapat digunakan sebagai bahan pertimbangan bagi pemerintah dalam mengatur kebijakan manajemen risiko dan menentukan imbal hasil yang ditawarkan kepada SUKRI yang akan diterbitkan untuk seri selanjutnya.
Kata Kunci: Yield Sukuk; Risiko Likuiditas; Sukuk Ritel; Regresi Linear Berganda
Downloads
Article Details
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
References
Ahwireng-Obeng, Asabea Shirley, and Rederick Ahwireng-Obeng. “Macroeconomic Determinants of Sovereign Bond Market Development in African Emerging Economies.” International Journal of Emerging Markets 15, no. 4 (2019): 651–669.
Al-Sayed, Ola. “Sukuk Risk: Analysis and Management.” European Journal of Applied Social Science Research 1, no. 3 (2013): 67–76.
Alahouel, Fatma; Loukil, Nadia. “Islamic Stock-Sukuk Indexes’ Correlations: Does Financial Uncertainty Matter?” International Journal of Emerging Market (2021).
Amihud, Yakov; Mendelson, Haim. “Liquidity, Maturity, and the Yields on U.S. Treasury Securities.” The Journal of Finance 46, no. 4 (1991): 1411–1425.
Aristantia, Selvia Eka. “Pesona Sukuk Ritel Seri 13 (SR013) Sebagai Alternatif Investasi Di Masa Pandemi Covid-19.” El-Qist: Journal of Islamic Economics and Business (JIEB) 10, no. 2 (2020): 133–145.
Ariyana, Farah Rizky, Tika Arundina, and Rahmatina Awaliah Kasri. “Sukuk Market Liquidity Determinants: A Case Study on Sovereign Sukuk in Indonesia.” Institutions and Economies 12, no. 3 (2020): 65–89.
Asiyah, Binti Nur; Aini, Indah Nur; Mahardika, Rama Prasetya; Laili, Lyliya Nurul. “Analisis Dampak Sukuk Pada Perekonomian Nasional Di Tengah Wabah Covid 19.” El-Qist: Journal of Islamic Economics and Business (JIEB) 10, no. 1 (2020): 54–68.
Asl, Mahdi Ghaemi; Rashidi, Muhammad Mahdi. “Dynamic Diversification Benefits of Sukuk and Conventional Bonds for the Financial Performance of MENA Region Companies: Empirical Evidence from COVID-19 Pandemic Period.” Journal of Islamic Accounting and Business Research 12, no. 7 (2021): 979–999.
Al Aziz, Muhammad Fatih;, Irfan Syauqi; Beik, and Achmad Firdaus. “Factors Influencing the Price of Indonesia Sovereign Sukuk in Secondary Market.” Share: Jurnal Ekonomi dan Keuangan Islam 8, no. 1 (2019): 31–44.
Balli, Faruk, Mabruk Billah, Hatice Ozer Balli, and Russell Gregory-Allen. “Economic Uncertainties, Macroeconomic Announcements and Sukuk Spreads.” Applied Economics 52, no. 35 (2020): 3748–3769. https://doi.org/10.1080/00036846.2020.1721424.
Bank Indonesia. “Inflasi.” Last modified 2021. Accessed March 13, 2021. https://www.bi.go.id/id/fungsi-utama/moneter/inflasi/Default.aspx.
Borio, Claudio. “Special Feature: Market Liquidity and Stress: Selected Issues and Policy Implications.” BIS Quarterly Review, no. November (2000): 38–51. https://www.bis.org/publ/r_qt0011e.pdf.
DJPR. “Masa Penawaran Sukuk Negara Ritel Seri SR-009 Resmi Dibuka.” Last modified 2021. Accessed March 14, 2021. https://www.djppr.kemenkeu.go.id/page/load/1802/keterangan-pers-pembukaan-masa-penawaran-Sukuk-negara-ritel-seri-sr-009.
Fitriyah, Nida Laili;, and Muhammad Nafik Hadi Ryandono. “Determinan Terhadap Yield Sukuk Ritel Negara (Studi Tahun 2009 – 2017).” Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 9 (2019): 1741–1755.
Gujarati, D N. Basic Econometrics. New York: Tata McGraw-Hill Education, 2004.
de Haan, Leo;, Jeroen; Hessel, and Jan Willem van den End. “Are European Sovereign Bonds Fairly Priced? The Role of Modelling Uncertainty.” Journal of International Money and Finance 47 (2014): 239–267.
James, Raymond. “Bonds, Interest Rates, and the Impact of Inflation.” Broadridge Investor Communication Solutions.
Khaiririah Ulfah, H, . Kusnendi, S Aprilliani, and F Adirestuty. “Influence of Micro Economic and Macroeconomic on Yield to Maturity of Ijārah Sukuk Corporation Year 2014-2017.” KnE Social Sciences 3, no. 13 (2019): 126.
Laili Fitriyah, Nida dan Nafik Muhamad. “Determinan Terhadap Yield Sukuk Ritel Negara.” Jurnal Ekonomi Syariah Teori dan Terapan Vol. 6 No. 53, no. 9 (2019): 1741–1755.
Listiawati, Laras Nurul;, and V Santi Paramita. “Pengaruh Tingkat Suku Bunga , Inflasi , Debt To Equity Ratio , Dan Ukuran Perusahaan Terhadap Yield Obligasi Pada.” Jurnal Manajemen 15, no. 1 (2018): 33–51.
Mugiyati, Mugiyati. Sukuk di Pasar Modal: Tinjauan Bisnis Investasi dan Fiqh. Surabaya: UIN Sunan Ampel Press, 2016.
Nachrowi, Nachrowi D; Usman, Hardius. Pendekatan Populer Dan Praktis Ekonometrika Untuk Analisis Ekonomi Dan Keuangan. Jakarta: Lembaga Penerbit Fakultas Ekonomi Universitas Airlangga, 2006.
Ni’mah, Laily Farikhatun, and Ahmad Sidi Pratomo. “Analisis Determinan Volume Perdagangan Sukuk Negara Ritel Seri Sr-007.” El Dinar 7, no. 2 (2019): 119.
Nienhaus, Volker; Karatas, Abdullah. “Market Perceptions of Liquid Sovereign Sukuk: A New Asset Class?” International Journal of Islamic and Middle Eastern Finance and Management 9, no. 1 (2016): 87–108.
Sholikhah, Nikmatus, Baharudin Fakih, Moh. Nabel Felamani, and Bakhrul Huda. 2021. “Analysis of The Covid-19 Pandemic Impact on Operational Risk At Muamalat Bank Lamongan Sub-Branch Office: Analisis Dampak Pandemi Covid-19 Terhadap Risiko Operasional Pada Bank Muamalat Kantor Cabang Pembantu Lamongan”. El-Qist: Journal of Islamic Economics and Business (JIEB) 11 (2). Surabaya, Indonesia:136-50. https://doi.org/10.15642/elqist.2021.11.2.136-150.
Puspa, Maya, and Jarita Duasa. “Sovereign Sukuk Pricing Analysis: Do Macroeconomic Variables Matter?” International Journal of Economics, Management and Accounting 25, no. 3 (2017): 513–528.
Rjoub, Husam;, Turgut; Türsoy, and Nil Günsel. “The Effects of Macroeconomic Factors on Stock Returns: Istanbul Stock Market.” Studies in Economics and Finance 26, no. 1 (2009): 36–45.
Rosetika, Arien;, Salahuddin; El Ayyubi, and Widyastutik Widyastutik. “Analisis Faktor-Faktor Internal Yang Memengaruhi Likuiditas Sukuk Negara Di Indonesia.” Jurnal Ekonomi Syariah Teori dan Terapan 7, no. 2 (2020): 234.
Saputra, Tiyas Ardian; Prasetiyono, Prasetiyono. “Analisis Faktor-Faktor Yang Mempengaruhi Yield Obligasi Konvensional Di Indonesia.” Jurnal Studi Manajemen Organisasi 11, no. 1 (2014): 67–77.
Saputra, Tiyas Ardian. “ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI YIELD OBLIGASI KONVENSIONAL DI INDONESIA(Studi Kasus Pada Perusahaan Listed Di BEI).” Jurnal Studi Manajemen Organisasi 11, no. 1 (2014): 67–77.
Sharpe, William F. Investasi. Edisi Keen. Jakarta: Indeks Kelompok Gramedia, 2005.
Situmorang, Bornok. “Pengaruh Peringkat Obligasi, Debt to Equity Ratio Dan Ukuran Perusahaan Terhadap Yield to Maturity Obligasi Korporasi Dengan Tingkat Suku Bunga SBI Sebagai Variabel Moderating.” Jurnal Terapan Manajemen dan Bisnis 3, no. 1 (2017): 42–58.
Sugiyono. Metode Penelitian Bisnis. Bandung: Alfabeta, 2018.
Sukmana, Raditya. “A Critical Assessment of Retail Sovereign Sukuk in Indonesia.” Qualitative Research in Financial Markets 12, no. 2 (2020): 243–262.
Sukmaningrum, Puji Sucia;, Lina Nugraha; Rani, Fatin Fadhilah; Hasib, and Sylva Alif Rusmita. “Impact of Macroeconomics on Corporate Sukuk Yield in Indonesia.” Elementary Education Online 19, no. 4 (2020): 693–701.
Sundoro, Hary S. “Pengaruh Faktor Makro Ekonomi, Faktor Likuiditas Dan Faktor Eksternal Terhadap Yield Obligasi Pemerintah Indonesia.” Journal of Business & Applied Management 11, no. 1 (2018): 102–115.