Title: How the COVID-19 pandemic affected the investment characteristics of the Indonesian government bond market

Authors: Alexander Ganchev

Addresses: Department of Finance and Credit, Dimitar A. Tsenov Academy of Economics, 2 'Emanuil Chakarov' Str., Svishtov, Bulgaria

Abstract: The research paper investigates the investment characteristics of the Indonesian government bond market during the COVID-19 pandemic. The study reveals that for the investigated period the yield on Indonesian government bonds has many of the well-studied characteristics that are present in the developed debt markets. However, in this case there are some specifics, such as a strong correlation along the entire yield curve and inhomogeneous volatility of medium-term yields. The empirical findings also show that for the study period some of the medium-term Indonesian government bonds are systematically incorrectly priced. Despite this fact the Indonesian government bonds as a whole are very good investment in the COVID-19 environment because they offer stable and relatively high yield. Moreover, due to the characteristics of the yield curve dynamics, the portfolios of Indonesian government bonds could easily be hedged against interest rate risk by using simple tools such as duration or modified duration.

Keywords: fixed-income securities; bond yield; yield to maturity yield curve; Indonesian debt market; COVID-19.

DOI: 10.1504/IJEBR.2025.145852

International Journal of Economics and Business Research, 2025 Vol.29 No.3/4/5, pp.213 - 232

Received: 31 Jul 2022
Accepted: 19 Oct 2022
Published online: 30 Apr 2025 *

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