Perilaku Harga Kontrak Gulir Indeks Emas Di Bursa Berjangka Jakarta  

Oleh:

Dewi, Andam ; Siregar, Hermanto ; Hartoyo, Sri

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Keuangan dan Perbankan: Journal of Finance dan Banking vol. 13 no. 1 (Jun. 2011), page 16-33.
Topik: Jakarta Futures Exchange; Efficient Market Hypothesis; ARIMA; GARCH
Fulltext: Perilaku Harga Kontrak Gulir Indeks Emas.pdf (1.78MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ12.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The purposes of this study are to test the efficiency of the Gold Index Rolling Spot contract price in the Jakarta Futures Exchange and to seek what factors can affect the fluctuation of Gold Index rolling contract price. For this research, ARIMA and GARCH models are used as the basis for the analyses. The results of the study indicate that by using weekly data, the efficient market (random walk) hypothesis was rejected for the Gold Index Rolling Spot contract in the Jakarta Futures Exchange; it means that the market is inefficient. Technical analysis is able to use for predicting future price changes. Furthermore, by using monthly data, the fluctuation of Gold Index Rolling Spot contract return are significantly affected by inflation rate and interest rate of Bank Indonesia Certificate and Jakarta Composite Index.

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