Efektivitas Strategi Hedging Menggunakan Kontrak Indeks Lq45 Futures dalam Meminimalisasi Risiko Sistematis Portofolio
DOI:
https://doi.org/10.26740/bisma.v2n2.p100-106Keywords:
hedging effectiveness, portfolio return hedged variance, portfolio return unhedged varianceAbstract
Abstract
Investor can make hedging to the systematic risk or market risk by using LQ45 index futures contract whose value comparable to the share portfolio value they have. This research had the purpose to prove used the LQ45 index futures contract in minimize the portfolio systematic risk. In this research used LQ45 index as the proxy on the portfolio have been properly diversified. Data used in this research were LQ45 index daily value data and the daily closing price of LQ45 index futures with 2004-2005 research period. Testing was conducted by comparing the portfolio return hedged variance to the portfolio return unhedged variance. Calculation of hedging effectiveness used LQ45 index futures contract as much as -9%, negative hedging effectiveness calculation due to the portfolio return hedged variance larger than portfolio return unhedged variance or, in the other words the risk in the futures market was larger than the risk in the spot market. Thus, the LQ45 index futures contract was ineffective to use as the hedging strategy in minimize the portfolio systematic riskReferences
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www.bapepam.co.id
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Arifin, Ali. 2004. Membaca Saham. Yogyakarta : Penerbit Andi.
Arikunto, Suharsimi. 2006. Prosedur Penelitian. Jakarta : PT Rineka Cipta.
Bodie, Zvi and Kane. Alex. 2006. Invesment. Jakarta : Salemba Empat.
Campbell, Tim S. Kracaw, William A. 1999. Financial Institutions and Capital Markets. United States : Harper Collins College Publishers.
Collins, B.M. and Fabozzi, F.J. 1999. Derivatives and Equity Portofolio Management. New Hope, Pennsylvania: Frank J. Fabozzi Associates.
Floros, C. and Dimitros V.V. 2006. Hedging Effectivinesss in Greek Stock Index Future Market 1999-2001. International Research Journal of Finance and Economics. (online). (http://www.eurojournal.com/finance.htm, diakses 4 oktober 2008).
Halim, Abdul. 2005. Analisis Investasi. Edisi dua. Jakarta : Salemba Empat.
Hanafi, M. Mamduh. 2006. Manajemen Risiko. Yogyakarta : UPP STM YKPN.
Hinsa, Siahaan. 2006. Perkembangan Peranan Pasar Derivatif Membantu Peningkatan Efisiensi Pasar Keuangan Indonesia. Jurnal Keuangan dan Moneter. Volume 9 Nomor 3, (http//www.google.com, diakses 5 Oktober 2008).
Hinsa, Siahaan. 2007. Analisa Risiko dan Pengembalian Satu Saham dan Analisa Risiko Dua saham. Jurnal Keuangan dan Moneter. (http//www.google.com, diakses 26 Oktober 2008).
Hinsa, Siahaan. 2008. Instrumen Derivatif. Jakarta: PT. Elex Media Komputindo.
Hull, J.C.2002. Fundamentals of Futures and Option Market. Fourth Edition. United States: Prentice Hall.
Husnan, Suad. 1993. Dasar-Dasar Teori Portofolio Dan Analisis Sekuritas. Edisi Kedua. Yogyakarta : UPPAM YKPN.
Jamil, Muhammad. 2004. Mispricing Antara Index LQ45 Futures Dengan Index LQ45 Untuk Strategi Arbitrage. Media Ekonomi. Vol. 15, No. 24. Universitas Muhammadiyah Malang.
Jones, C.P. 2002. Investment : Analysis and Management. Eight Edition. New York : John Willey & Sons, Inc.
Kumar, Brajesh. Singh, P. dan Panday, A. 2008. Hedging Effectivinesss of Constant and Time Varying Hedge ratio in India Stock and Commodity Futures Market. Journal. Indian Institute of Management Ahmedabad India. (http:www.google.com, diakses 4 Oktober 2008).
Lan, Chong Yee. 2000. Minimizing Portfolio Risk Through Stock Index Futures. (Online). Dissertation. Faculty of Business Administration. University Tun Abdul Razak. (http//:www.google.com, diakses 4 Oktober 2008).
Linawati, Lisa Utomo. 2000. Instrumen Derivatif: Pengenalan Dalam Strategi Manajemen Risiko Perusahaan. Jurnal Akuntansi & Keuangan. Vol. 2, No. 1, (http//:www.google.com, diakses 25 September 2008).
Marsinto, Djoko. 1994. Dampak Risiko Sistematis Terhadap Indeks Harga Saham Gabungan. Majalah Ekonomi Tahun III, No. 12. Universitas Airlangga Surabaya.
Mayo, H.B. 2003. Invesment: an Introduction. Seventh Edition. United States : South-Western.
Pennings, Joost M.E. and Meulenberg, Matthew T.G. 1997. The Hedging Performance in New Agricultural Futures Markets : A Note. Journal of Agribusiness. Vol. 13 No. 3. (http:www.google.com, diakses 4 Oktober 2008).
Rahman, Abdulah. 2005. Analisis Portofolio pada Saham LQ45 dengan Pemograman Linear. Jurnal Ekonomi Perusahaan. Vol. 12 No. 2. Jakarta : Institut Bisnis dan Informatika Indonesia.
Reilly, F.K. and K.C. Brown. 2003. Invesment Analysis and Portfolio Management. Seventh Edition. United States : South Western.
Readhead, Keith. 1995. Introduction to Financial Investment. Great Britain : Pretince Hall.
Sembel, R dan T. Ferdinansyah. 2002. Sekuritas Derivatif, Madu atau Racun?. Edisi Pertama. Jakarta : Salemba Empat.
Sudarsono dan Suryanto. 2005. News, Gejala Sosial-Politik dan Indeks Harga Saham di Bursa Efek Jakarta. Jurnal Keuangan dan Perbankan. Vol. 7 No. 2. (http:www.google.com, diakses 4 Oktober 2008).
Sugiyono. 2005. Metode Penelitian Bisnis. Bandung : CV Alfabeta.
Sunaryo, T. 2007. Manajemen Risiko Finansial. Jakarta : Salemba Empat.
Strong. R.A. 2005. Derivatives : An Introduction. United States : South Western.
Usman, Marzuki. dkk. 1997. Pengetahuan Pasar Modal. Jakarta : IBI.
www.bapepam.co.id
www.idx.co.id.
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Published
2018-06-06
How to Cite
Haryono, N. A., & Solichin, M. R. (2018). Efektivitas Strategi Hedging Menggunakan Kontrak Indeks Lq45 Futures dalam Meminimalisasi Risiko Sistematis Portofolio. BISMA (Bisnis Dan Manajemen), 2(2), 100–106. https://doi.org/10.26740/bisma.v2n2.p100-106
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