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Abstrak :
[ABSTRAK
Tesis ini membahas tentang analisa likuiditas obligasi bank milik Negara yang diperdagangkan di pasar sekunder selama periode tekanan inflasi Juli 2013. Analisa likuiditas dilakukan dengan menggunakan metode pengukuran Roll. Dari pengukuran ini didapatkan kesimpulan bahwa obligasi bank milik Negara yang ditransaksikan pada kurun waktu Juli 2012 hingga Juli 2014 tidak dipengaruhi likuiditasnya oleh tekanan inflasi 2013. Hal ini ditunjukkan dengan berkurangnya nilai rata-rata roll measure pada masa sebelum tekanan inflasi Juli 2013 dan sesudah tekanan inflasi Juli 2013.

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ABSTRACT
This thesis discusses the liquidity of the state-owned bank bonds traded in the secondary market during the period of July 2013 inflation. The measurement used in this research to measure liquidity is the measurement that was found by Richard Roll, later called Roll Measure. By using this measurement, it was concluded that the liquidity of state-owned bank bonds traded in the period of July 2012 to July 2014 are not affect ed by July 2013 inflation. This is shown by the decrease in the average value of roll measure before and after the onset of July 2013?s inflation;This thesis discusses the liquidity of the state-owned bank bonds traded in the secondary market during the period of July 2013 inflation. The measurement used in this research to measure liquidity is the measurement that was found by Richard Roll, later called Roll Measure. By using this measurement, it was concluded that the liquidity of state-owned bank bonds traded in the period of July 2012 to July 2014 are not affect ed by July 2013 inflation. This is shown by the decrease in the average value of roll measure before and after the onset of July 2013?s inflation, This thesis discusses the liquidity of the state-owned bank bonds traded in the secondary market during the period of July 2013 inflation. The measurement used in this research to measure liquidity is the measurement that was found by Richard Roll, later called Roll Measure. By using this measurement, it was concluded that the liquidity of state-owned bank bonds traded in the period of July 2012 to July 2014 are not affect ed by July 2013 inflation. This is shown by the decrease in the average value of roll measure before and after the onset of July 2013’s inflation]

Abstrak :
Penelitian ini membahas mengenai pengukuran likuiditas pada obligasi pemerintah di Indonesia dengan menggunakan hampir 30.000 data harga dan volume per transaksi dari September 2006 sampai Juni 2011. Terdapat tiga pengukuran yang digunakan untuk mengukur likuiditas, yaitu Roll measure untuk mengukur biaya transaksi, Amihud illiquidity measure untuk mengukur price impact of trades, dan Amivest measure untuk mengukur market depth. Hasil penelitian menunjukkan bahwa obligasi yang berjenis fixed rate bonds memiliki tingkat likuiditas paling tinggi dan yang paling rendah ialah Obligasi Ritel Indonesia. Hasil penelitian juga menunjukkan subprime crisis berdampak kecil terhadap penurunan tingkat likuiditas pada pasar obligasi pemerintah di Indonesia.

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This research explain about measurement of liquidity on Indonesian government bonds by using almost 30,000 bonds price and transaction volume data from September 2006 until June 2011. There are three measurements that are used to measure liquidity, the Roll measure to measure transaction costs, Amihud illiquidity measure to measure price impact of trades, and Amivest measure to measure the market depth. The results showed that the fixed rate bonds have the highest liquidity level and the lowest is ORI (Obligasi Ritel Indonesia). The results also showed the subprime crisis had small impact on reducing the level of liquidity on government bonds market in Indonesia.