Strategi Hedging (Indung Nilai) untuk mengantisifasi fluktuasi harga komoditiolein dipasar berjangka

Mufti, Ahmad Mahbubi (2005) Strategi Hedging (Indung Nilai) untuk mengantisifasi fluktuasi harga komoditiolein dipasar berjangka. Masters thesis, Institut Pertanian Bogor.

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Abstract

This study is aimed to identify price movement and price fluctuation level of olein in future market, to recognize trading condition of olein in the future market and to formulating strategy in hedging olein in the future markel. The data were collected from observation of olein price fluctuation in Jakarta Future Exchange. Fundamental analysis, technical analysis and basis were used to analyze the data. The patterns of olein price movement in future market which can be identified are double top (reversal pattern), uptrend and downtrend. Price fluctuation of domestic olein caused by bargaining aspect, namely supply through production and demand, covering: olein consumption, olein export, and olein stock. From technical analyze of exponential moving average (EMA) 5120, it can be used as an instrument to observe price trend, where volatility in JulyDecember is high risk, relative strength index (RSI) shows a position of over-sell, and moving average convergence devergence (MACD) shows a trend toward bearish, and more clearly result of the daily price during the next three months is obtained by predicting the price using autoregresive integrated moving average (ARIMA) method, and the result, the daily price of olein in next month trend to decrease. The base on spot price and future price is weak basis, and it means that the different price between the future market and spot market is increasing. And positive basis value means that it is in inverted market condition. And hence, hedging for several next months (up to the 13th day or which will due in May 2005), it can be conducted by the producer by taking an action of selling hedge.

Item Type: Thesis (Masters)
Additional Information: 1(29)MUF s
Uncontrolled Keywords: Olein, Bursa Berjangka Jakarta, Strategi, Hedging, Analisis Fundamental, Analisis Teknikal.
Subjects: Manajemen Strategi
Divisions: Sekolah Bisnis > Perpustakaan
Depositing User: Staff-4 Perpustakaan
Date Deposited: 03 Jan 2012 01:05
Last Modified: 21 Sep 2016 08:59
URI: http://repository.sb.ipb.ac.id/id/eprint/813

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