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Jurnal Kebijakan Ekonomi

Abstract

This study aims to determine the pattern of investor behavior using the Cross Sectional Absolute Deviation (CSAD) method with daily data yield of 10Year SUN for the period January 2007 to October 2020 and 10Year Sukuk for the period January 2013 – October 2020. The study shows that herd investors for SUN instruments are influenced by yields on the EMA associated with the economic crisis and yields on UST are associated with SUN ratings. Another factor is the use of appreciation and criticism variables that have an impact on the yield of SUN and Sukuk. The two instruments are complementary instruments in the SBN market, so the role of the Indonesian government is very important to address the behaviour patterns of herd investors in the government bond market.

Bahasa Abstract

Penelitian ini bertujuan untuk mengetahui pola perilaku investor dengan menggunakan metode Cross Sectional Absolute Deviation (CSAD) dengan data harian yield 10Year SUN periode Januari 2007 sampai dengan Oktober 2020 dan 10Year Sukuk periode Januari 2013 – Oktober 2020. Penelitian menunjukan bahwa herd investor untuk instrumen SUN dipengaruhi oleh yield pada EMA dikaitkan krisis ekonomi dan yield pada UST dikaitkan ratings SUN. Faktor lainnya penggunaan variabel penghargaan dan kritikan berdampak pada yield SUN dan Sukuk. Kedua instrumen merupakan instrumen komplementer di pasar SBN, sehingga sangat penting peran pemerintah Indonesia untuk menyikapi pola perilaku herd investor di pasar obligasi pemerintah.

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