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HEDGING RATIO DAN
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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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*)1*) 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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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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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
5LVHW LQL DNDQ PHQJXNXU hedge ratio PLQ\DN NHODSD VDZLW GL %XUVD %HUMDQJND -DNDUWD GHQJDQ PHQJJXQDNDQ dua metode dengan pendekatan static, \DLWX 2/6 GDQ 9(&0 GDQ VDWX PHWRGH time varying hedge ratio
\DLWX 7$5&+ 9(&0 GLJXQDNDQ XQWXN PHQJDWDVL PDVDODK FRLQWHJration antara harga spot dan futures
7$5&+ DWDX Threshhold $5&+ GLJXQDNDQ XQWXN PHQJDQWLVLSDVL DGDQ\D SHULODNX DVLPHWULN GDUL KDUJD
spot dan futures (IHNWL¿WDV OLQGXQJ QLODL GHQJDQ menggunakan ketiga hedge ratio WHUVHEXW DNDQ GLXML dengan menggunakan ukuran hedging effectiveness
\DQJ VHFDUD XPXP GLJXQDNDQ MXJD SDGD ULVHW ULVHW VHEHOXPQ\D PLVDOQ\D &RWWHU GDQ +DQO\ GDQ -XKO
et al. 'HQJDQ PHQJXQJNDS HIHNWLYLWDV OLQGXQJ nilai dengan tiga metode pengukuran hedgeratio\DQJ EHUEHGD SHQHOLWLDQ LQL WLGDN VDMD PHQMDGL XML HPSLULN \DQJ PHQDPEDK NKD]DQDK SHPDKDPDQ LOPLDK GL EXUVD NRPRGLWDV EHUMDQJND \DQJ UHODWLI NXUDQJ OLNXLG VHSHUWL GL ,QGRQHVLD 1DPXQ MXJD GDSDW PHQMDGL UHIHUHQVL EDJL SUDNWLVL GDODP PHQ\XVXQ VWUDWHJLhedgingGL EXUVD EHUMDQJND ,QGRQHVLD
METODE
Data time series harga Futures PLQ\DN NHODSD VDZLW diperoleh dari Jakarta Futures ExchangeV +DUJD
futures adalah harga kontrak futuresROHLQ WRQ MDWXK
WHPSR EXODQ \DQJ WHUFDWDW VHFDUD KDULDQ GL -DNDUWD
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$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
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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
GDQ NHVHVXDLDQQ\D GHQJDQ NRQGLVL SDVDU NRPRGLWDV EHUMDQJND -DNDUWD *DPEDU PHPXDW NHUDQJND SLNLUDQ SHQHOLWLDQ LQL VHUWD DOXU SHODNVDQDDQ SHQHOLWLDQ
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
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
t§1 LLG Untuk itu, dilakukan uji serial correlation dengan menggunakan Breusch-Godfrey test 8QWXN PHQGHWHNVL DGDQ\D heteroskedasticity di dalam residuals, dilakukan $5&+ /0 WHVW (QJOH (QJOH GDQ *UDQJHU
PHPEXNWLNDQ EDKZD HVWLPDVL UHJUHVL DQWDUD GXD YDULDEHO time seriesNHXDQJDQ \DQJ XPXPQ\D EHUVLIDW non stationary memiliki masalah mendasar ditinjau GDUL VXGXW WHRUL HNRQRPHWULND NDUHQD XPXPQ\D DNDQ PHQJKDVLONDQ SHUVDPDDQ UHJUHVL \DQJ VSXULRXV GLPDQD UHVLGXDO EHUVLIDW non stationary juga dan PHODQJJDU DVXPVL 2/6 (QJOH GDQ *UDQJHU MXJD menunjukkan residual hasil estimasi dari persamaan regresi time series \DQJ non stationary GDSDW EHUVLIDW
stationaryDSDELOD WHUGDSDW KXEXQJDQ NRLQWHJUDVL DQWDUD
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Data time series harga futures harian
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Untuk mengestimasi conditional variance dari harga
spot dan harga futures GHQJDQ PRGHO 7$5&+ digunakan software HNRQRPHWULND (9LHZV 0HWRGH 3HQJXNXUDQ+HGJLQJ (IIHFWLYHQHVV
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Indonesian Journal of Business and Entrepreneurship, Vol. 3 No. 2, May 2017
Hedging effectiveness dihitung setiap hari pada saat kontrak futures EXODQ MDWXK WHPSR XQWXN VHWLDShedge ratio \DQJ GLKLWXQJ PHODOXL PHWRGH 2/6 9(&0 GDQ 7$5&+ Hedge ratio \DQJ GLWHWDSNDQ VDWX EXODQ VHEHOXPQ\D \DLWX SDGD VDDW NRQWUDN futures GLEHOL GLKLWXQJ GDPSDNQ\D NHSDGD YRODWLOLWDV LPEDO KDVLO SRUWIROLR
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Hasil estimasi volatilitas harga spot dan harga futures
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