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PENILAIAN HARGA KONTRAK BERJANGKA INDEKS LQ45

Kristiana, Yuly (2015) PENILAIAN HARGA KONTRAK BERJANGKA INDEKS LQ45. Other thesis, University of Muhammadiyah Malang.

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Abstract

The purpose of this study is to know the condition of futures price index LQ45 marketed in BEI in 2011 up to 2013 whether the condition of futures price index LQ45 in the condition of overvalued or undervalued. Instrument for data analysis used to know the determination of future price was the determination model for futures price which is not giving income by formulae F0 = S0erT. Intrinsic price of future can be higher or lower than cash market price. Based on data analysis using determination model for futures price which is not giving income shows that futures price by index LQ45 in the period of 2011 up to December 2013, there are 36 times transactions (monthly transactions). The condition of futures price during 2011 is 25% in overvalued and 75% in undervalued. In 2012 it was 100% in undervalued. Also, in 2013 the condition of futures price index LQ45 is 25% in overvalued and 75% in undervalued. Based on calculation, it can be concluded that the condition of futures price index LQ45 is in undervalued for 83,33% and 16,67% in overvalued, that the majority condition of futures price index LQ45 in the period of 2011 up to 2013 is in undervalued that means the intrinsic price is bigger from market price, the decision should be taken by investor is in buy position (short position).

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Depositing User: Fitri Ramandhany
Date Deposited: 07 Mar 2016 06:46
Last Modified: 07 Mar 2016 06:46
URI : http://eprints.umm.ac.id/id/eprint/20484

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