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"Upaya Pemerintah dalam meningkatkan transparansi informasi transaksi obligasi dan sukuk antara lain dengan menerbitkan peraturan nomor X.M.3 tentang Pelaporan Transaksi Efek, dan juga mewujudkan lembaga penilai harga efek yang melakukan penilaian dan penetapan harga pasar wajar untuk instrumen Efek bersifat utang, sukuk dan surat berharga. Namun, upaya tersebut belum optimal membantu investor dalam bertransaksi pada instrumen tersebut. Saat ini tersedia beberapa jenis informasi harga obligasi dan sukuk, namun investor berhak mengetahui seberapa signifikan perbedaan antara data dari sumber yang satu dengan yang lainnya, sehingga investor memiliki keyakinan dalam investasi di pasar obligasi dan sukuk. Penelitian ini bertujuan untuk mengetahui perbedaan perhitungan imbal hasil dan risiko sukuk antara data harga pasar dengan data harga wajar, baik berdasarkan klasifikasi penerbit sukuk, peringkat (rating) sukuk maupun jangka waktu jatuh temponya. Besaran imbal hasil dan risiko sukuk diperoleh dengan melakukan perhitungan pada besaran Holding Period Yield (HPY), Yield to Maturity (YTM), Risk Adjusted Return (RAR) dan standar deviasi HPY. Data yang dipilih merupakan data time series yaitu data sukuk yang dikeluarkan oleh negara maupun korporasi tanpa membedakan industri atau jenis usaha emiten (korporasi) dan sukuk tersebut ditransaksikan di pasar sekunder, serta dilaporkan ke Bursa Efek Indonesia selaku Penerima Laporan Transaksi Efek. Kesimpulan dari penelitian ini adalah bahwa secara umum terdapat perbedaan yang signifikan secara statistik dari imbal hasil dan risiko sukuk antara yang menggunakan harga pasar dan harga wajarnya berdasarkan beberapa klasifikasi yang ditentukan.

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Government's efforts in improving the transparency of information bonds and sukuk transactions, among others, by issuing regulations number XM3 about securities Transaction Reporting, and also establish the effects of price appraisal agencies to assess and determine the fair market price for debt securities instruments, sukuk and securities. Government efforts is not fully help investors to invest in such instrument. Several types pricing information of bonds and sukuk are available, but investors are entitled to know how significant the difference between data from one source to another, so that investors have confidence in investing in bonds and sukuk market.

This study aims to determine differences in the calculation of returns and risks between data sukuk market price and fair price data, both based on the classification of sukuk issuer, the rating and sukuk maturity period. Sukuk Returns and Risk is obtained by calculating Holding Period Yield (HPY), Yield to Maturity (YTM), Risk Adjusted Return (RAR) and the standard deviation of HPY. The selected data is time series data are sukuk issued by a state or corporation without distinction as an industry or type of business issuers (corporations) and sukuk are transacted in the secondary market, and reported to the Indonesian Stock Exchange as Beneficiary of Securities Transaction Report.

The conclusion of this study show that there was a statistically significant difference of returns and risks between the use sukuk market price and fair price based on some classification defined."

"ABSTRAKPenelitian ini mengukur besarnya risiko nilai tukar mata uang yang akan terjadi pada Sukuk menggunakan metode Value at Risk VaR dengan uji Exponential Weighted Moving Average EWMA . Data dalam penelitian ini menggunakan data kurs harian dimulai dari bulan September 2014 sampai dengan bulan September 2017. Sampel penelitian adalah Sukuk Global Indonesia berdenominasi mata uang USD. Kesimpulan dari penelitian ini yaitu terdapat potensi risiko secara signifikan yang diakibatkan fluktuasi nilai tukar mata uang asing, khususnya USD. Hal ini menyebabkan posisi bobot kewajiban pembayaran kupon Sukuk juga membesar. Oleh karena itu, untuk menerbitkan Sukuk Global berikutnya, pemerintah harus memperkirakan besarnya risiko maksimal yang akan dihadapi dengan semakin terdepresinya nilai tukar mata uang Rupiah terhadap USD. Di sisi lain, dengan penerbitan instrumen Sukuk Global ini, tingkat kepercayaan masyarakat internasional untuk berinvestasi semakin baik dan bisa menjadikan Indonesia negara investment grade.

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ABSTRACTThis study measures the amout of exchange rate risk that will occur in the Sukuk using the Value at Risk VaR method with Exponential Weighted Moving Average EWMA test. The data in this research use daily rate data starting from September 2014 until September 2017. The sample is Global Sukuk Indonesia denominated in USD. It rsquo s concluded that there is a significant amount of risk caused by fluctuation of foreign exchange rate, especially USD. This causes the weighted position of the Sukuk coupon payment obligations to be enlarged. Therefore, to issue the next Global Sukuk, the government must estimate the maximum risk of exchange rate especially the depreciation of the Rupiah exchange rate against the USD. On the other hand, with the publication of this community rsquo s confidence level to invest is better and able to make Indonesia an investment grade country."

"ABSTRAKTujuan dari penelitian ini adalah mengukur dan membandingkan imbal hasil, risiko, dan rating antara sukuk ijarah dengan sukuk mudharabah. Penulis menggunakan 32 sukuk ijarah dan 10 sukuk mudharabah sebagai sampel penelitian. Sukuk-sukuk tersebut tercatat di Bursa Efek Indonesia sebelum 1 Januari 2017, serta memiliki jatuh tempo setelah 31 Desember 2017. Penulis menggunakan metode Liliefors / Kolmogorov-Smirnov untuk mengukur distribusi normal data. Jika data terdistribusi normal, maka menggunakan uji t dua rata-rata untuk mengukur tingkat perbedaan data tersebut. Jika data tidak terdistribusi normal, penulis menggunakan Wilcoxon Signed Ranks Test untuk mengukur tingkat perbedaan dari variabel-variabel tersebut. Kesimpulan dari hasil penelitian tersebut adalah tingkat imbal hasil dan credit rating sukuk ijarah lebih tinggi daripada sukuk mudharabah, sedangkan tingkat risiko sukuk ijarah lebih rendah daripada sukuk mudharabah.

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ABSTRACT The main purpose of this paper is to measure and compare the valuation variables of ijarah sukuk and mudharabah sukuk. Using samples from 42 outstanding sukuk in Indonesia Stock Exchange secondary market of fixed income instrument within 2017. Samples are divided into 2 groups, 32 sukuk ijarah and 10 sukuk mudharabah. Researcher use Liliefors Kolmogorov Smirnov to measure whether datas are distributed normally or not. Then Paired Sample T test and Wicoxon Signed Ranks Test is used to measure the difference between two means. Conclusion is made from hipothesis, which is whether any differences in rate of return, risk rate, and transaction volume between ijarah sukuk and mudharabah sukuk. Conclusion from this research is that rate of return and credit rating of ijarah sukuk is higher than mudharabah sukuk, thus risk rate of ijarah sukuk is lower than mudharabah sukuk."

"Tesis ini membahas pengukuran Value-at-Risk pada sukuk dan obligasi. Pengukuran VaR dilakukan dengan cara mengelompokkan arus kas nilai sekarang (present value) dari kupon dan nilai par suatu obligasi ke dalam vertices standar RiskMetrics. VaR dari hasil pengelompokan vertices tersebut akan dikalikan dengan matriks korelasi antar vertces tersebut. Dengan demikian akan diperoleh VaR yang telah terdiversifikasi sesuai dengan vertices standar RiskMetrics. Hasil pengukuran VaR tersebut akan dibandingkan dengan pengukuran duration dan convexity untuk masing-masing obligasi yang digunakan pada penelitian ini.

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The focus of this study is about Value-at-Risk measurement on Sukuk and Bond. VaR measurement is being conducted by grouping the present value of cash flow from the coupon and par value of a bond into vertices standardized by RiskMetrics. VaR from the vertices grouping will be multiplied with correlation matrix between those vertices. Diversified VaR will be obtained according to vertices standardized by RiskMetrics. The result from VaR measurement will be compared with duration and convexity measurement for each bond in this research."

"[ABSTRAKSaat ini tersedia beberapa jenis informasi harga sukuk, namun investorberhak mengetahui seberapa signifikan perbedaan antara data dari sumber yangsatu dengan yang lainnya, sehingga investor memiliki keyakinan dalam investasipada instrumen sukuk. Penelitian ini bertujuan untuk mengetahui perbedaanantara imbal hasil dan risiko Sukuk Ijarah dari Bursa Efek Indonesia (IDX) danIndonesian Bond Pricing Agency (IBPA).Kesimpulan dari penelitian ini adalah bahwa terdapat perbedaan yangsignifikan secara statistik dari risiko sukuk ijarah antara yang menggunakan dataharga Bursa Efek Indonesia (IDX) dan data harga Indonesian Bond PricingAgency (IBPA), akan berkaitan dengan tingkat kepercayaan publik dan investoratas validitas data harga sukuk di pasar sekunder.

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ABSTRACTSeveral types pricing information of sukuk are available today, butinvestors are entitled to know how significant the difference between data fromone source to another, so that investors have confidence of investing in sukukinstrument. This study aims to determine differences between returns and risksRisk Adjusted Return (RAR) Sukuk Al-Ijara from Indonesian Stock Exchange(IDX) and Indonesian Bond Pricing Agency (IBPA).The conclusion of this study shows that there is a statistically significantdifference of Sukuk Al-Ijara risks between the use of the Indonesian StockExchange (IDX) and Indonesian Bond Pricing Agency (IBPA), it will be relatedwith public and investor trust in addition of sukuk data price validity in secondarymarket.;Several types pricing information of sukuk are available today, butinvestors are entitled to know how significant the difference between data fromone source to another, so that investors have confidence of investing in sukukinstrument. This study aims to determine differences between returns and risksRisk Adjusted Return (RAR) Sukuk Al-Ijara from Indonesian Stock Exchange(IDX) and Indonesian Bond Pricing Agency (IBPA).The conclusion of this study shows that there is a statistically significantdifference of Sukuk Al-Ijara risks between the use of the Indonesian StockExchange (IDX) and Indonesian Bond Pricing Agency (IBPA), it will be relatedwith public and investor trust in addition of sukuk data price validity in secondarymarket., Several types pricing information of sukuk are available today, butinvestors are entitled to know how significant the difference between data fromone source to another, so that investors have confidence of investing in sukukinstrument. This study aims to determine differences between returns and risksRisk Adjusted Return (RAR) Sukuk Al-Ijara from Indonesian Stock Exchange(IDX) and Indonesian Bond Pricing Agency (IBPA).The conclusion of this study shows that there is a statistically significantdifference of Sukuk Al-Ijara risks between the use of the Indonesian StockExchange (IDX) and Indonesian Bond Pricing Agency (IBPA), it will be relatedwith public and investor trust in addition of sukuk data price validity in secondarymarket.]"

"

Penelitian ini bertujuan untuk menganalisis variabel-variabel yang memengaruhi intensi masyarakat Indonesia untuk berinvestasi pada produk investasi Green Sukuk Ritel, sebuah produk investasi yang diterbitkan oleh Direktorat Jenderal Pengelolaan Pembiayaan dan Risiko (DJPPR), Kementerian Keuangan RI. Dalam model penelitian yang disusun, investasi pada Green Sukuk Ritel dapat dipengaruhi oleh tiga variabel, yaitu perilaku konsumsi yang bertanggung jawab sosial, persepsi keuntungan pribadi, dan persepsi efektivitas tindakan. Penelitian ini bersifat kuantitatif dan dilaksanakan dengan menggunakan teknik Partial Least Squares-Structural Equation Modelling. Data penelitian dikumpulkan melalui survei terhadap 265 responden di Indonesia yang sebelumnya pernah membeli produk finansial atau investasi. Hasil penelitian menunjukkan bahwa perilaku konsumsi yang bertanggung jawab sosial dari investor dan persepsi efektivitas tindakan dari produk Green Sukuk Ritel memiliki pengaruh positif terhadap intensi untuk berinvestasi pada produk Green Sukuk Ritel. Sementara, persepsi atas keuntungan pribadi hanya memiliki pengaruh tidak langsung terhadap intensi melalui persepsi efektivitas tindakan. Hasil dari penelitian ini dapat menjadi pertimbangan bagi DJPPR Kementerian Keuangan dalam mendesain strategi komunikasi dan pemasaran untuk produk Green Sukuk Ritel.

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The aim of this research is to analyze the explanatory variables of the intention to invest in Green Sukuk Ritel, an investment product offered by Directorate General of Budget Financing and Risk Management (DGBFRM), Ministry of Finance of the Republic of Indonesia. In the relationship model proposed, the intention to invest in Green Sukuk Ritel can be explained by three variables: the socially responsible consumption of the individual, their perception of personal gain and their perception of the effectiveness of the action. The relationships among the variables were analyzed using the Partial Least Squares -Structural Equation Modelling technique. The data was collected through a survey involving 265 respondents in Indonesia who have purchased financial or investment products. Based on the results, intention to invest in Green Sukuk Ritel is explained by the proposed explanatory variables. The socially responsible consumption habits of the investor and the perception of the effectiveness toward Green Sukuk Ritel have a direct and positive effect on the intention to invest Green Sukuk Ritel. However, the perception of the personal gain only has an indirect effect on the intention through the mediation of perception of the effectiveness of the action. These findings should be taken into account by DGBFRM when designing the marketing and communication strategies for Green Sukuk Ritel.

 

"

"Sukuk Ritel adalah salah satu instrumen keuangan syariah yang dapat ditransaksikan di pasar sekunder. Sukuk Ritel dapat mengalami perubahan harga, dalam aktivitas perdagangan di pasar sekunder. Beberapa teori menyatakan bahwa likuiditas, time to maturity (jangka waktu jatuh tempo) dan kupon dapat mempengaruhi perubahan harga suatu obligasi dalam hal ini Sukuk Ritel di pasar sekunder. Tujuan penelitian ini adalah untuk mengkaji pengaruh frekuensi transaksi, volume transaksi, time to maturity dan kupon (baik secara parsial maupun simultan) terhadap harga Sukuk Negara seri Sukuk Ritel di pasar sekunder selama periode 2018. Penelitian ini menggunakan pendekatan kuantitatif, data yang diteliti adalah data cross section dengan metode analisis regresi linier berganda (multivariate regresion) berdasarkan persamaan simpangan kuadrat terkecil biasa atau Ordinary Least Squares (OLS) dan uji Kausalitas Granger. Hasil penelitian ini menunjukkan bahwa keempat faktor tersebut mempunyai pengaruh yang signifikan (baik secara parsial maupun simultan) terhadap harga Sukuk Negara seri Sukuk Ritel di pasar sekunder, dengan perincian koefisien regresi yaitu sebesar 0,037 untuk frekuensi transaksi, 0,002 untuk volume transaksi, 0,116 untuk time to maturity, dan 0,609 untuk kupon. Kesimpulan dari penelitian ini adalah frekuensi transaksi, volume transaksi, time to maturity, dan kupon mempunyai pengaruh yang signifikan terhadap harga Sukuk Negara seri Sukuk Ritel di pasar sekunder (baik secara parsial maupun simultan).

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Retail Sukuk is one of the Islamic financial instruments that can be transacted on the secondary market. Retail Sukuk can experience price changes, in trading activities on the secondary market. Some theories state that liquidity, time to maturity and coupons can affect changes in the price of a bond in this case Retail Sukuk on the secondary market.

The objective of this research is to analyze the effect of transaction frequency, transaction volume, time to maturity and coupon (both partially and simultaneously) toward Sovereign Sukuk price Retail Sukuk series on the secondary market during the 2018 period. This research uses quantitative approach, the data researched are data cross section with multivariate regression analysis method based on the smallest quadratic deviation equation or Ordinary Least Squares (OLS) and Granger Causality test.

The result of this research indicate that these four factors have a significant influence (both partially and simultaneously) on the price of Sovereign Sukuk Retail Sukuk series on the secondary market, with details of the regression coefficient of 0,037 for transaction frequency, 0,002 for transaction volume, 0,116 for time to maturity, and 0,609 for coupons.

The conclusion of this research is the frequency of transactions, transaction volume, time to maturity, and coupons that have a significant effect on the price of Sovereign Sukuk Retail Sukuk series on the secondary market (both partially or simultaneously)."

"Penelitian ini bertujuan untuk mencari faktor-faktor yang secara signifikan menjadi determinan likuiditas pasar sukuk negara di Indonesia. Penulis menggunakan karakteristik sukuk jumlah penerbitan, YTM, dan sisa tenor , faktor makroekonomi inflasi, JIBOR, dan JII , dan Consumer Confidence Index Indonesia sebagai variabel-variabel independen, kemudian melakukan regresi panel terhadap variabel dependennya yaitu volume perdagangan bulanan dari sukuk negara di Indonesia. Hasil dari penelitian ini menunjukkan bahwa jumlah penerbitan sukuk dan JIBOR memberikan dampak positif terhadap likuiditas pasar sukuk negara, sedangkan tingkat inflasi, JII, dan YTM sukuk memberikan dampak negatif terhadap likuiditas pasar sukuk negara. Consumer Confidence Index dan sisa tenor terbukti memiliki pengaruh yang tidak signifikan terhadap likuiditas pasar sukuk negara. Penelitian ini berkontribusi dalam mengisi kekosongan studi empiris terkait determinan likuiditas pasar sukuk negara di Indonesia.

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This study attempts to examine the factors that significantly affect sovereign sukuk market liquidity in Indonesia. The author uses the sukuk rsquo s characteristics issuance amount, YTM, and remaining maturity , macroeconomic factors inflation, JIBOR, and JII , and Indonesia rsquo s Consumer Confidence Index as independent variables and then conducts a panel regression against the dependent variable which is Indonesia rsquo s sovereign sukuk monthly trade volumes.

The result shows that sukuk rsquo s issuance amount and JIBOR have a positive impact while the inflation level, JII and YTM have a negative impact on sukuk market liquidity. However, Consumer Confidence Index and remaining maturity are not proven to be significant determinants for sukuk market liquidity. This study contributes in filling the gap of empirical study regarding sukuk market liquidity determinants in Indonesia."

"[Tesis ini membahas faktor-faktor yang mempengaruhi fluktuasi sukuk ijarah korporasi di Indonesia Februari 2011 sampai dengan Februari 2015 (4 tahun) dengan sampel sebanyak 4 sukuk perusahaan. Penelitian ini menggunakan data kuantitatif dengan total data observasi sebanyak 280 data dan dengan menggunakan pendekatan analisa data panel. Hasil penelitian dengan fixed effect model menunjukkan bahwa tingkat suku bunga (interest rate), kurs rupiah terhadap dollar AS dan imbalan/fee (coupon rate) berpengaruh signifikan terhadap harga sukuk ijarah. Jangka waktu (time to maturity) berpengaruh tidak signifikan terhadap harga sukuk ijarah;This thesis discusses the factors that influence corporate Sukuk Ijarah fluctuations in Indonesia in February 2011 until February 2015 (4 years) with a sample of four sukuk corporate. This study uses quantitative data with observational data of 280 total data and by using a panel data analysis. The results with fixed effect model showed that interest rate, exchange rate and coupon rate significantly affects the price of sukuk ijarah. Time to maturity was?nt significantly affects the price of sukuk ijarah;This thesis discusses the factors that influence corporate Sukuk Ijarah fluctuations in Indonesia in February 2011 until February 2015 (4 years) with a sample of four sukuk corporate. This study uses quantitative data with observational data of 280 total data and by using a panel data analysis. The results with fixed effect model showed that interest rate, exchange rate and coupon rate significantly affects the price of sukuk ijarah. Time to maturity was?nt significantly affects the price of sukuk ijarah;This thesis discusses the factors that influence corporate Sukuk Ijarah fluctuations in Indonesia in February 2011 until February 2015 (4 years) with a sample of four sukuk corporate. This study uses quantitative data with observational data of 280 total data and by using a panel data analysis. The results with fixed effect model showed that interest rate, exchange rate and coupon rate significantly affects the price of sukuk ijarah. Time to maturity was?nt significantly affects the price of sukuk ijarah;This thesis discusses the factors that influence corporate Sukuk Ijarah fluctuations in Indonesia in February 2011 until February 2015 (4 years) with a sample of four sukuk corporate. This study uses quantitative data with observational data of 280 total data and by using a panel data analysis. The results with fixed effect model showed that interest rate, exchange rate and coupon rate significantly affects the price of sukuk ijarah. Time to maturity was?nt significantly affects the price of sukuk ijarah, This thesis discusses the factors that influence corporate Sukuk Ijarah fluctuations in Indonesia in February 2011 until February 2015 (4 years) with a sample of four sukuk corporate. This study uses quantitative data with observational data of 280 total data and by using a panel data analysis. The results with fixed effect model showed that interest rate, exchange rate and coupon rate significantly affects the price of sukuk ijarah. Time to maturity was’nt significantly affects the price of sukuk ijarah]"

"Konsep likuiditas menjelaskan bahwa likuiditas berkaitan dengan seberapa cepat aset keuangan dapat ditransaksikan dalam jumlah besar tanpa menimbulkan biaya transaksi yang tinggi. Penelitian ini bertujuan untuk mengetahui pengaruh karakteristik sukuk seperti volume transaksi, sisa tenor, yield-to-maturity, dan peringkat sukuk korporasi terhadap likuiditas pasarnya. Selain itu, faktor makroekonomi seperti inflasi, JIBOR, consumer confidence index, dan Jakarta Islamic Index juga digunakan untuk melihat pengaruhnya terhadap likuiditas pasar sukuk di Indonesia. Analisis penelitian ini menggunakan sukuk negara serta sukuk korporasi sebagai sampel penelitian. Penelitian ini menunjukkan bahwa likuiditas sukuk negara dipengaruhi oleh karakteristiknya serta beberapa faktor makroekonomi lainnya. Sedangkan faktor makroekonomi tidak terbukti berpengaruh terhadap sampel sukuk korporasi. Akan tetapi, faktor seperti Jakarta Islamic Index menunjukkan bahwa sukuk korporasi merupakan aset keuangan yang cukup subtitutif dengan aset lain seperti saham syariah.

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Liquidity emphasizes the ease with which financial assets can be transacted in large quantities without incurring significant transaction costs. This study aims to determine the influence of sukuk characteristics such as transaction volume, time-to-maturity, yield-to-maturity, and credit rating of corporate sukuk on their market liquidity. Additionally, macroeconomic factors like inflation, JIBOR, consumer confidence index, and the Jakarta Islamic Index are used to examine their impact on sukuk market liquidity in Indonesia. The analysis utilizes both government sukuk and corporate sukuk as research samples. The findings reveal that the liquidity of government sukuk is influenced by its characteristics and other macroeconomic factors. However, macroeconomic factors do not significantly impact the corporate sukuk sample. Nevertheless, factors like the Jakarta Islamic Index suggest that corporate sukuk are relatively substitutable financial assets with other assets like Shariah stocks."