Analysis of the Risk and Return of Bonds and Sukuk Listed on the Indonesia Stock Exchange

Abstract

Abstract. Introduction. Financial market penetration in terms of both knowledge and accessibility has become more extensive and widespread as a result of economic globalization. This financial development was followed by an increase in funding demand on the financial market. Bonds and sukuk are two financial instruments that are very attractive to investors. Bonds are a type of debt activity agreement that is licensed through a debt certificate, whereas sukuk are certificates that have the same value and are evidence of ownership of a project or certain investment activities such as assets, benefit rights, and services. Purpose. This research aims to identify and analyze the risks and returns of corporate bonds and sukuk listed on the Indonesia Stock Exchange, as well as to determine whether ROA influences the yield spreads of bonds and corporate sukuk listed on the Indonesia Stock Exchange. Results. The research demonstrates that the return on corporate sukuk is greater than the return on corporate bonds, the risk of corporate sukuk is greater than the risk of corporate bonds, there is a significant difference in return between bonds and corporate sukuk, there is a significant difference in risk between bonds and corporate sukuk, and the Return on Assets (High ROA) significantly decreases yield spreads on corporate bonds and sukuk. Conclusions. The rate of return on corporate sukuk as calculated by Yield to Maturity (YTM) is greater than the rate of return on corporate bonds, while the level of risk of corporate sukuk as calculated by Value at Risk (VaR) is lower than the level of risk of corporate bonds. There is a significant difference in return when corporate sukuk and corporate bonds are measured by Yield To Maturity. High Value at Risk (VaR) and Return on Assets (ROA) indicate a large difference in risk between corporate sukuk and corporate bonds, which considerably reduces yield spreads on sukuk and corporate bonds.