The Validity of Multinomial Logistic Regression and Artificial Neural Network in Predicting Sukuk Rating: Evidence from Indonesian Stock Exchange

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2020-11-02 DOI:10.1142/s0219091520500320

M. L. Nurhakim, Z. Kisman, F. Syihab

引用次数: 1

Abstract

The Sukuk (shariah bond) market is developing in Indonesia and potentially will capture the global market in the future. It is an attractive investment product and a hot current issue in the capital market. Especially, the problem of predicting an accurate and trustworthy rating. As the Sukuk market developed, the issue of Sukuk rating emerged. As ordinary investors will have difficulty predicting their ratings going forward, this research will provide solutions to the problems above. The objective of this study is to determine the Indonesian Sukuk rating determinants and comparing the Sukuk rating predictive model. This research uses Artificial Neural Network (ANN) and Multinomial Logistic Regression (MLR) as the predictive analysis model. Data in this study are collected by purposive sampling and employing Sukuk rated by PEFINDO, an Indonesian rating agency. Findings in this study are debt, profitability and firm size significantly affecting Sukuk

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多项逻辑回归与人工神经网络预测伊斯兰债券评级的有效性:来自印尼证券交易所的证据

印尼的伊斯兰债券市场正在发展，未来可能会占领全球市场。它是一种极具吸引力的投资产品，也是当前资本市场的热点问题。特别是，预测一个准确和可信的评级的问题。随着伊斯兰债券市场的发展，伊斯兰债券的评级问题也随之出现。由于普通投资者很难预测他们的评级，本研究将为上述问题提供解决方案。本研究的目的是确定印尼伊斯兰债券评级的决定因素，并比较伊斯兰债券评级的预测模型。本研究采用人工神经网络(ANN)和多项逻辑回归(MLR)作为预测分析模型。本研究数据采用有目的抽样，采用印尼评级机构PEFINDO评级的伊斯兰债券。本研究发现债务、盈利能力和公司规模对伊斯兰债券有显著影响

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.