ANALISIS PENILAIAN HARGA KONTRAK BERJANGKAINDEX LQ45

Veny Rosita, Wulandari (2010) ANALISIS PENILAIAN HARGA KONTRAK BERJANGKAINDEX LQ45. Other thesis, University of Muhammadiyah Malang.

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Abstract

This study aims to determine the condition of LQ45 index futures prices and basis of decision making. The existence of futures contracts is very useful for financial managers for the absence of futures contracts, money managers will only have one trading location to change the portfolio's position at the time they receive new information which was expected to change the value of managed assets in cash market or spot market. In this study, the author took the hypothesis is assumed that the value of LQ45 index futures in the period of this study is not fair (undervalued / overvalued). This study uses the period 2007 until the year 2009. Data analysis tools used to determine pricing futures and testing hypotheses is a pricing model that futures contracts do not provide income to the formula F0 = S0erT. Theoretical futures price can be higher than the market price in cash (the premium) or lower than the market price in cash (at a discount. Futures pricing model is very influential on futures prices. Efficiency of stock index futures market occurred while the stock index futures prices fluctuated or the price level will adjust so that prices quickly reflect the new information form. Movement or change in price as a proof that the markets function well and get the information efficiently. Based on the results of research showing LQ45 index futures prices are not reasonable (undervalued / overvalued) proves that occurred in the efficiency of stock index futures market because of movement / change in price. Based on data analysis using futures pricing model using the model contract does not provide income to show that the LQ45 index futures prices from January 2007 to December 2009 there were 36 times the transaction (transactions monthly). Things futures price is not reasonable because all year in 2007 stated that 25% in 75% overvalued and undervalued in the state. In the year 2008 states that in 16.67% 83.33% overvalued and undervalued in the state. Similarly in 2009 the conditions LQ45 index futures price of 16.67% in 83.33% overvalued and undervalued in the state. From the above description, it can be concluded that the conditions LQ45 index futures prices are undervalued in the conditions of registration for 80.55% and 19.45% are overvalued conditions, so the majority of conditions LQ45 index futures prices in the period 2007 until 2009 have

Item Type: Thesis (Other)
Subjects: H Social Sciences > HJ Public Finance
Divisions: Faculty of Economic > Department of Management
Depositing User: Rayi Tegar Pamungkas
Date Deposited: 20 Mar 2012 14:08
Last Modified: 20 Mar 2012 14:08
URI: http://eprints.umm.ac.id/id/eprint/670

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