Influence of Micro Economic and Macro Economic on Yield to Maturity of Ijarah Sukuk Corporation Year 2014-2017

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1. 2nd ICIEBP The 2nd International Conference on Islamic Economics , Business, and Philanthropy (ICIEBP) Theme: “Sustainability and Socio Economic Growth” Volume 2019 Conference Paper Influence of Micro Economic and Macro Economic on Yield to Maturity of Ijarah Sukuk Corporation Year 2014-2017 Hana Khaiririah Ulfah, Kusnendi, Suci Aprilliani, and Fitranty Adirestuty Economics and Islamic Finance Department, Universitas Pendidikan Indonesia, Jl. Dr. Setiabudhi No. 229, Bandung City, Indonesia Abstract Corresponding Author: Hana Khaiririah Ulfah hanaulfah@gmail.com Received: 10 February 2019 Accepted: 14 March 2019 Published: 28 March 2019 Publishing services provided by Knowledge E The purpose of this research is to examine the influence of micro economic factor which is described with profitability and firm size, and macro economic factor which is described with BI -Rate and Inflation on the yield to maturity of sukuk ijarah. The yield to maturity of sukuk that will be received by investors illustrates the level of investor profit but the yield level also describes the level of risk borne by investors. This research is useful for investors in considering for profit and risk to be received. This research was conducted on all companies listed on the Indonesia Stock Exchange in the 2014-2017 period which issued sukuk ijarah and published its financial statements during the study period. The research samples is 68 ijarah sukuk.The data analysis technique used in this study is panel data regression with fixed effect model. The results showed that profitability projected with Return on Asset and firm size did not affect to yield to maturity of sukuk ijarah, BI-Rate variable had a positive and significant effect on yield to maturity of sukuk Keywords: Profitability (ROA), Firm size, BI-Rate, Inflation and Yield to Maturity and inflation had a negative effect on yield of ijarah sukuk. Hana Khaiririah Ulfah et al. This article is distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use and redistribution provided that the original author and source are credited. 1. Introduction Selection and Peer-review under the responsibility of the ICIEBP One investment instrument that is developing in the Islamic capital market is corporate Conference Committee. sharia bonds, better known as corporate sukuk. Since the issuance of the Dewan Syariah Nasional (DSN) the Majelas Ulama Indonesia (MUI) in 2002 issued Fatwa No.32 / DSNMUI / IX / 2002 concerning Sharia Bonds, and then sukuk began to grow and develop alongside conventional bonds. According to Otoritas Jasa Keuangan Regulation number 18 / POJK.04 / 2015, Sukuk are Sharia Securities in the form of certificates or proof of ownership that are of equal value and represent an inseparable or undivided share, for the underlying assets (Otoritas Jasa Keuangan, 2015) How to cite this article: Hana Khaiririah Ulfah, Kusnendi, Suci Aprilliani, and Fitranty Adirestuty, (2019), “Influence of Micro Economic and Macro Economic on Yield to Maturity of Ijarah Sukuk Corporation Year 2014-2017” in The 2nd International Conference on Islamic Economics, Business, and Philanthropy (ICIEBP) Theme: “Sustainability and Socio Economic Growth”, KnE Social Sciences, pages 126–136. DOI 10.18502/kss.v3i13.4200 Page 126
2. 2nd ICIEBP Yield to maturity re flects returns with a compound margin level (Tandelilin, 2017). According to the data obtained from (Indonesia Bond Pricing Agency, 2018), the average level of Yielad to Maturity (YTM) in all Ijarah sukuk decreased in 2014-2017. With the decline in the YTM average this indicates that many YTM sukuk ijarah levels have decrease so that the level of profit obtained when the sukuk is purchased at the present time will get a lower compound return. In (Manan, 2017) explained one of the goals of someone investing is to get a decent life in the future. That way someone who invests is very concerned about the level of return that he gets in the future. However, theoretically risks and returns are linear relationships. This means that the greater the risk of one asset, the greater the expected return on the asset and the smaller the risk, the smaller the return (Tandelilin, 2017). So that this research is very useful for investors, especially investors with the type of risk averse. Figure 1: The average Yield to Maturity of all sukuk Ijarah in Indonesia 2014-2017 (Source: (Indonesia Bond Pricing Agency, 2018)). In (Rahardjo, 2003) stated in investing to get profits such as in the stock market or in the bond market. there is always a potential risk of loss. Therefore, investment risk analysis is needed, including microeconomic analysis that is described by the company’s conditions and macroeconomic analysis.From several previous studies in examining the factors that affect the yield of ijarah sukuk and bonds with a fix rate interest using micro variants illustrated by the issuer’s financial conditions and macro variables described in the Indonesian economy. DOI 10.18502/kss.v3i13.4200 Page 127
3. 2nd ICIEBP Pro fitability ratio is a ratio to assess a company’s ability to seek profits (Kasmir, 2013). In some studies profitability ratios have an influence on the yield to maturity of sukuk or yield to maturity bonds with types of fixed returns, the study was conducted by (Abundanti, 2015) and, but the research conducted by (Yahya, 2017) shows no influence on profitability variables. In addition to the profitability variable, the research conducted by (Ibrahim, 2008) and (Melati, 2013) the size of the company depicted by the total assets owned has influence on the yield of sukuk, but the research conducted by (Situmorang, 2017) shows that variable size no effect on yield. Inflation is a macro variable that has a large influence on economic activities in the capital market. In (Tandelilin, 2017) explained that inflation risk will cause a decrease in real income. In the context of debt securities, an increase in inflation will cause a decrease in real value of the yield of debt securities obtained by investors during the age of the bonds (Haryanto, 2012).in the research conducted by (Yahya, 2017) and (Prasetiyono, 2014). Proving that there is influence of inflation on yield to maturity of sukuk and yield to maturity of bonds with fixed return. However, the research conducted by (Oktavian, 2015) shows that inflation has no effect on yield. BI-Rate is one of the macro variables that addresses its influence on the yield to maturity of sukuk and bonds with fixed return. According to (Hermawan, 2006) interest rates will influence the decision making of capital owners whether he will invest in real assets or in financial assets. The financial assets in question are securities including sukuk and stock. According to (Nanaeva, 2010). The risk level of returns for sukuk is similar to the risk of conventional bonds with a fixed interest rate, due to the fact that most of the problems of modern sukuk have fixed payments. So, when the market interest rate rises, the value of the sukuk falls. In several studies the BI Rate variable has an influence on the yield of sukuk and bonds with fixed rate, namely the research conducted by (Prasetiyono, 2014) and (Wida Purwidianti, 2017). 2. Literatur Review 2.1. Sukuk Ijarah According to (Manan, 2017) Sukuk Ijaraha is a bond based on the Ijarah Agreement. The Ijarah contract is a type of contract to take advantage by replacing it. This means that the owner of the property gives the right to use objects that are transacted through temporary control or borrowing objects with certain benefits by paying compensation to the owner of the object. DOI 10.18502/kss.v3i13.4200 Page 128
4. 2nd ICIEBP Sukuk Ijarah is considered a flexible structure, and can be used for various financing needs. In addition, the Sukuk Ijarah is truly negotiable and can therefore be traded on the secondary market, because this Sukuk certificate represents ownership in real assets. As a result, many Sukuk publishers chose the Ijarah structure. Sukuk Ijarah is issued by companies, governments, Government Organizations and other organizations (Nisar, 2010). 2.2. Yield to maturity Yield in (Samsul M., 2006) is a return on investment in bonds which is expressed as a percentage. There are several calculation methods for yield, nominal yield, current yield, yield to maturity and yield to call. Yield to maturity is most widely used as a measure of yield because it can reflect returns with compound interest rates that investors expect if the two assumptions required can be fulfilled. The first assumption is that investors will retain the bonds until maturity. The second assumption is that investors reinvest the income earned from bonds at the yield to maturity level. If both of these assumptions are met, the expected yield to maturity will be the same as realized yield. If the coupon income is not invested at the same level with the Yield to maturity, the yield to maturity obtained will be smaller or greater than the promised yield. Calculation formula for yield to maturity uses the Equation Approximation method (Tandelilin, 2017).