Uji Empirik Metode Pengukuran Hedging Ratio dan Efektivitas Hedging di Bursa Komoditas Berjangka Jakarta

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1 Corresponding author: (PDLO EXGGL ZLERZR#XL DF LG

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HEDGING RATIO DAN

EFEKTIVITAS HEDGING

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THE EMPIRICAL TEST OF THE HEDGE RATIO MEASUREMENT METHOD AND HEDGING EFFECTIVENESS AT JAKARTA COMMODITY FUTURE MARKET

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*) Fakultas Ekonomi dan Bisnis, Universitas Indonesia .DPSXV 8, 'HSRN -DZD %DUDW ,QGRQHVLD

Abstract: +HGJLQJ VWUDWHJLHV LQ WKH FRPPRGLW\ IXWXUHV PDUNHW LV VWURQJO\ LQÀXHQFHG E\ WKH estimation method of hedge ratio. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s palm oil spot market using three hedge ratio estimation methods: OLS, Vector Error Correction Model, and Threshold-ARCH. The results show the hedging effectiveness LQ WKH -DNDUWD )XWXUHV ([FKDQJH LV FRQVLGHUDEO\ KLJKO\ HIIHFWLYH WR UHGXFH WKH LPSDFW RI ÀXFWXDWLRQV of spot price. The effectiveness of hedging strategy using OLS as the simplest method is close to VECM method and TARCH. The effectiveness of hedging strategy using OLS hedge ratio provides an opportunity for market player in implementing hedging strategy in Jakarta Futures Exchange due to its simplicity in estimation procedure

Keywords: hedge ratio, hedging effectiveness, OLS, VECM, TARCH

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Fokus strategi hedging adalah penentuan hedge ratio,

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Indonesian Journal of Business and Entrepreneurship, Vol. 3 No. 2, May 2017 7DEHO 3HUJHUDNDQ KDUJD SDQJDQ

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hedge ratio \DQJ GLXNXU GHQJDQ EHEHUDSD PHWRGRORJL \DQJ EHUEHGD 0HWRGRORJL SHQHQWXDQ hedge ratio

WHUEDJL GXD NHORPSRN EHVDU \DLWX static hedge ratio

dan time varying hedge ratio Static hedge ratio

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static hedge ratio adalah hedge ratio \DQJ GLHVWLPDVL dengan Vector Error Correction Model 9(&0 XQWXN PHQJDWDVL SHUVRDODQ KXEXQJDQ NRLQWHJUDVL DQWDUD KDUJD

spot dan futures\DQJ GDSDW PHQ\HEDENDQ UHJUHVL 2/6 menjadi spurious regression Timevaryinghedgeratio

mengasumsikan volatilitas harga spot memiliki korelasi \DQJ EHUXEDK XEDK DQWDU ZDNWX GHQJDQ YRODWLOLWDV harga futures $VXPVL GDUL time varying hedge ratio

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\DQJ PHQJJXQDNDQ PXOWLYDULDWH *$5&+ GDQ .X et al \DQJ PHQJJXQDNDQ Dynamic Conditional Correlation '&&

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effectiveness WHUVHEXW +DO LQL GLWHPXNDQ MXJD ROHK *XSWD GDQ .DXU GL ,QGLD %KDUJDYD GDQ 0DOKRWUD GL EHEHUDSD QHJDUD $VLD GDQ /LHQ GL $PHULND 6HULNDW GDQ EHEHUDSD QHJDUD (URSD -XKO et al. PHQXQMXNNDQ HIHNWLYLWDV OLQGXQJ QLODL GDODP MDQJND SHQGHN OHELK WLQJJL GHQJDQ PHQJJXQDNDQ metode penentuan hedge ratio \DQJ OHELK VHGHUKDQD %HEHUDSD SHQHOLWL PHQXQMXNNDQ EDKZD HIHNWLYLWDV

hedging selain ditentukan oleh metode pengukuran

hedge ratio \DQJ WHSDW MXJD GLSHQJDUXKL ROHK NRQGLVL OLNXLGLWDV SDVDU *XSWD GDQ 6LQJK GDQ SHULODNX asimetrik dari volatilitas harga spot dan futures &RWWHU GDQ +DQO\ /LNXLGLWDV \DQJ UHQGDK PHQ\HEDENDQ harga spot dan futures WLGDN PHQFHUPLQNDQ QLODL SDVDU \DQJ VHEHQDUQ\D 6HPHQWDUD YRODWLOLWDV \DQJ DVLPHWULN PHQ\HEDENDQ EHVDUQ\D YRODWLOLWDV MDXK EHUEHGD DQWDUD NRQGLVL SDVDU SDGD VDDW \DQJ SHQXK VHQWLPHQW SRVLWLI GHQJDQ \DQJ QHWUDO GDQ \DQJ QHJDWLI $OL]DGHK GDQ 1RPLNRV PHQXQMXNNDQ VHWLDS WDKDS SHUNHPEDQJDQ SDVDU NRPRGLWDV EHUMDQJND PHPEXWXKNDQ VWUDWHJL SHQHQWXDQ hedge ratio \DQJ EHUEHGD

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\DLWX 7$5&+ 9(&0 GLJXQDNDQ XQWXN PHQJDWDVL PDVDODK FRLQWHJration antara harga spot dan futures

7$5&+ DWDX Threshhold $5&+ GLJXQDNDQ XQWXN PHQJDQWLVLSDVL DGDQ\D SHULODNX DVLPHWULN GDUL KDUJD

spot dan futures (IHNWL¿WDV OLQGXQJ QLODL GHQJDQ menggunakan ketiga hedge ratio WHUVHEXW DNDQ GLXML dengan menggunakan ukuran hedging effectiveness

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et al. 'HQJDQ PHQJXQJNDS HIHNWLYLWDV OLQGXQJ nilai dengan tiga metode pengukuran hedgeratio\DQJ EHUEHGD SHQHOLWLDQ LQL WLGDN VDMD PHQMDGL XML HPSLULN \DQJ PHQDPEDK NKD]DQDK SHPDKDPDQ LOPLDK GL EXUVD NRPRGLWDV EHUMDQJND \DQJ UHODWLI NXUDQJ OLNXLG VHSHUWL GL ,QGRQHVLD 1DPXQ MXJD GDSDW PHQMDGL UHIHUHQVL EDJL SUDNWLVL GDODP PHQ\XVXQ VWUDWHJLhedgingGL EXUVD EHUMDQJND ,QGRQHVLD

METODE

Data time series harga Futures PLQ\DN NHODSD VDZLW diperoleh dari Jakarta Futures ExchangeV +DUJD

futures adalah harga kontrak futuresROHLQ WRQ MDWXK

WHPSR EXODQ \DQJ WHUFDWDW VHFDUD KDULDQ GL -DNDUWD

Futures ExchangesPXODL 1RYHPEHU VDPSDL 'HVHPEHU 'DWD time series harga spot PLQ\DN NHODSD VDZLW GLSHUROHK GDUL 'DWDVWUHDP 7KRPVRQ 5HXWHUV +DUJDspotKDULDQ PLQ\DN NHODSD VDZLW \DQJ digunakan adalah harga FOB atau free on board di luar ELD\D DVXUDQVL GDQ ELD\D ELD\D ODLQQ\D

$QDOLVLV KXEXQJDQ DQWDUD GDWDtimeseries harga spot dan harga futures dilakukan dengan menggunakan model regresi time series dengan metode estimasi Ordinary Least Square 2/6 VHUWD PRGHO HNRQRPHWULN time series seperti cointegration test, 9(&0 GDQ PRGHO YRODWLOLWDV DVLPHWULN 7$5&+ Cointegration test

GLJXQDNDQ XQQWXN PHPEXNWLNDQ WHUOHELK GDKXOX NHEHUDGDDQ KXEXQJDQ NRLQWHJUDVL DQWDUD KDUJD spot

dan harga futures VHEHOXP PHQJKLWXQJ hedge ratio

GHQJDQ PRGHO 9(&0 0RGHO 7$5&+ GLJXQDNDQ untuk memodelkan volatilitas harga spot dan harga

futures .HWLJD PRGHO 2/6 9(&0 GDQ 7$5&+ akan menghasilkan hedge ratio PDVLQJ PDVLQJ \DQJ NHPXGLDQ GLXML HIHNWLYLWDVQ\D GDODP PHQXUXQNDQ YRODWLOLWDV SRUWRIROLR DVVHW SDGD SHULRGH VHODQMXWQ\D dengan menghitung hedging effectiveness setiap

hedge ratio VHSHUWL \DQJ GLUXPXVNDQ ROHK -XKO HW DO GDQ &RWWHU GDQ +DQO\ .RPSDUDVL

hedging effectiveness antara ketiga hedge ratio

dapat mengungkapkan kinerja setiap hedge ratio

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Strategi lindung nilai dengan menggunakan kontrak

futures dengan mengikuti suatu hedge ratio dapat GLMHODVNDQ VHEDJDL EHULNXW

3RUWRIROLR LQYHVWDVL \DQJ WHODK GLOLQGXQJ QLODL DGDODK NRPELQDVL SRVLVL GL SDVDUspot dan pasar futures dapat GLWXOLV VHEDJDL EHULNXW

Vhedged 4SSpot Price± 4FFutures Price

VhedgedDGDODK QLODL SRUWIROLR \DQJ GLOLQGXQJ QLODL GHQJDQ menggunakan kontrak Futures 4S adalah kuantitas di pasar spot GDQ 4F adalah kuantitas kontrak Futures

\DQJ GLSHJDQJ

6WUDWHJL OLQGXQJ QLODL \DQJ PDNVLPDO DGDODK NHWLND SHUXEDKDQ KDUJD SDGD SDVDU Spot WLGDN PHQ\HEDENDQ SHUXEDKDQ VDPD VHNDOL WHUKDGDS QLODL SRUWIROLR DWDX

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Indonesian Journal of Business and Entrepreneurship, Vol. 3 No. 2, May 2017 ¨9hedged 4S¨Spot3ULFH ± 4F¨Futures3ULFH

-LND ¨9hedged PDND

4S¨Spot3ULFH 4F¨Futures3ULFH 4F4S ¨Spot3ULFH ¨)XWXUH 3ULFH

4F4S \DQJ GDSDW PHQMDJD SHUXEDKDQ QLODL SRUWIROLR DVVHW VDPD GHQJDQ QRO GLVHEXW PDNVLPDOhedge ratio

Setiap orang dapat memilih optimal hedge ratio \DQJ sesuai dengan risk-aversion level PDVLQJ PDVLQJ karena memegang kontrak futuresPHPEXWXKNDQ ELD\D GDQ VHWLDS RUDQJ PHPLOLNL SUHIHUHQVL ULVLNR VHQGLUL VHQGLUL

+HGJH 5DWLR2/6 9(&0 GDQ 7$5&+

0HWRGH SHUKLWXQJDQ hedge ratio pada penelitian ini PHUXMXN SDGD ULVHW VHEHOXPQ\D VHSHUWL -XKO et al.

&RWWHU GDQ +DQO\ *XSWD GDQ 6LQJK

Hedge ratio 2/6 GDSDW GLHVWLPDVL GHQJDQ menggunakan persamaan regresi timeseries:

¨/RJ6t F K¨/RJ)t 0

t 0t§1 LLG

St adalah harga spotVXDWX NRPRGLWDV SDGD WLWLN ZDNWX t, Ft adalah harga futures suatu komoditas pada titik ZDNWX W K DGDODKhedgeratio\DQJ EHVDUQ\D GLHVWLPDVL menggunakan metode Ordinary Least Square 2/6 0HWRGH 2/6 PHQJKDVLONDQ NRH¿VLHQ UHJUHVL \DQJ %/8( Best Linear Unbiased Estimator DSDELOD

error termUHVLGXDOV PHPHQXKL DVXPVL0

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(7)

Indonesian Journal of Business and Entrepreneurship, Vol. 3 No. 2, May 2017

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(8)

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Indonesian Journal of Business and Entrepreneurship, Vol. 3 No. 2, May 2017 ,PSOLNDVL 0DQDMHULDO

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(10)

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