Strategi Menentukan Saham Komponen Indeks LQ45 Sebagai Sarana Lindung Nilai Single Stock Futures  

Oleh:

Purnomo, Hari

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Journal of Economics, Business, & Accountancy: ventura vol. 10 no. 2 (Aug. 2007), page 67-84.
Topik: LQ45 index; Varians; Correlation Matrix; Ordinary Least Square; Ssingle Stock Futures

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: VV5.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The index ofLQ45 is the index that expressing the fluctuation of the most active 45 shares in Indonesia. From these shares, a number of them have big fluctuation so that they need hedging. It is hypothesized that there is correlation between shares and the index ofLQ45 which can be used for hedging. This research is aimed to observe the most active equities traded in Jakarta Stock Exchange in order to generate derivative instruments. The equities utilized in this research are equity which has already become an element of LQ45 index.. The analysis is divided into three stages. First of all, it tries to scrutinize trading volatility ofequities using its variance. Secondly, it attempts to discover the correlation between the pattern of equities and that ofLQ45 index. Thirdly, it identifies the effect of each equity on LQ45 index by using an ordinary least square. By implementing these three steps, the analysis is considered successful in proving ten most active equities. This finding can be used as underlying to generate single stock fttures in derivative market in Indonesia as meansfor hedging

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