EFEKTIVITAS HEDGING KONTRAK FUTURES KOMODITI EMAS DENGAN OLEIN
ABSTRACT: This research is for
comparing hedging effectiveness in gold and olein commodity. Using Ordinary
Least Square (OLS) model to determine the hedge ratio, it’s found that olein
hedge ratio is bigger than gold hedge ratio. The value of olein hedge ratio is
bigger than gold hedge ratio indicate that to eliminate loss in olein spot
market is needed a lot of futures contract as compared to eliminate loss in
gold spot market. However, independent t-test to return hedged variance both
commodity show there is no different variance. This mean the return hedged
variance of gold commodity has the same value with olein return hedged
variance. So, handling the systematic risk of olein hedger have the same as of
gold hedger handling. With the result that, if doing hedging strategy and there
is no same instrument to be hedged in futures market, so hedger may considering
to use cross hedging strategy, but previously determined first the optimum
hedge ratio, because the optimum hedge ratio can reduce the variance return
caused by market risk (systematic risk).
Keywords: Hedge Ratio, Return
Hedged Variance, and Hedging Effectiveness
Penulis: Fitri Ismiyanti,
Hendra Ima Sasmita
Kode Jurnal: jpmanajemendd110409
