PENGARUH RATING, PROFITABILITAS, DAN FAKTOR MAKROEKONOMI TERHADAP YIELD TO MATURITY: STUDI KOMPARATIF GREEN BOND DAN NON GREEN BOND DI INDONESIA

Friska Agril Perdana Putra, Friska (2025) PENGARUH RATING, PROFITABILITAS, DAN FAKTOR MAKROEKONOMI TERHADAP YIELD TO MATURITY: STUDI KOMPARATIF GREEN BOND DAN NON GREEN BOND DI INDONESIA. S2 thesis, Universitas Andalas.

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Abstract

PENGARUH RATING, PROFITABILITAS, DAN FAKTOR MAKROEKONOMI TERHADAP YIELD TO MATURITY: STUDI KOMPARATIF GREEN DAN NON GREEN BOND DI INDONESIA Tesis Oleh: Friska Agril Perdana Putra Pembimbing: Dr.Masyhuri Hamidi, SE, M.Si, CFP, CRA, CRP Dr. Fajri Adrianto, SE, M.Bus (Adv) ABSTRAK Penelitian ini bertujuan untuk menganalisis pengaruh rating kredit, profitabilitas (ROA), inflasi, dan nilai tukar terhadap Yield to Maturity (YTM) obligasi korporasi di Indonesia, serta menguji peran moderasi jenis obligasi (green bond dan non-green bond). Penelitian menggunakan pendekatan regresi data panel dengan Fixed Effect Model (FEM).Hasil penelitian menunjukkan bahwa rating kredit dan ROA berpengaruh negatif signifikan terhadap YTM, sedangkan inflasi dan nilai tukar berpengaruh positif signifikan. Jenis obligasi memoderasi pengaruh variabel independen, dengan efek rating dan ROA lebih kuat pada green bond, sementara inflasi dan nilai tukar lebih dominan pada non-green bond. Temuan ini menunjukkan bahwa green bond relatif lebih tahan terhadap tekanan makroekonomi dan memberikan sinyal keberlanjutan yang meningkatkan kepercayaan investor. Implikasi penelitian mencakup strategi emiten dalam menurunkan biaya pendanaan, panduan bagi investor dalam menilai risiko obligasi, serta pentingnya peran regulator dalam mendukung pengembangan pasar obligasi berkelanjutan. Kata Kunci: Yield to Maturity, rating kredit, ROA, inflasi, nilai tukar, green bond, non green bond,Regresi Moderasi THE EFFECT OF RATING, PROFITABILITY, AND MACROECONOMIC FACTORS ON YIELD TO MATURITY: A COMPARATIVE STUDY OF GREEN AND NON GREEN BONDS IN INDONESIA Thesis By: Friska Agril Perdana Putra Supervisors: Dr. Masyhuri Hamidi, SE, M.Si, CFP, CRA, CRP Dr. Fajri Adrianto, SE, M.Bus (Adv) ABSTRACT This study aims to analyze the effects of credit rating, profitability (ROA), inflation, and exchange rate on the Yield to Maturity (YTM) of corporate bonds in Indonesia, as well as the moderating role of bond type (green bonds and non-green bonds). The study employs panel data regression using the Fixed Effect Model (FEM).The results indicate that credit rating and ROA have a significant negative effect on YTM, while inflation and exchange rate have a significant positive effect. Bond type moderates the influence of the independent variables, with the effects of credit rating and ROA being stronger on green bonds, whereas inflation and exchange rate have a greater impact on non-green bonds. These findings suggest that green bonds are relatively more resilient to macroeconomic pressures and provide sustainability signals that enhance investor confidence.The study has practical implications for issuers in reducing funding costs, for investors in assessing bond risk, and for regulators in supporting the development of a sustainable bond market in Indonesia Keywords: Yield to Maturity, credit rating, ROA, inflation, exchange rate, green bond, non-green bond, Moderated Regression Analysis.

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