PENGARUH LIKUIDITAS, LEVERAGE, DAN NILAI TUKAR RUPIAH TERHADAP PENGGUNAAN INSTRUMEN DERIVATIF SEBAGAI KEPUTUSAN HEDGING

(Studi pada Bank Konvensional yang Terdaftar Di BEI Periode 2014-2017)

  • Raras Kinasih Universitas Telkom
  • Dewa Putra Krishna Mahardika Universitas Telkom

Abstract

In this current era of globalization there are many economic activities which cause risks that cannot be avoided. One of them is companies engaged in financial, activities, such as banking. Nowadays banking activities have an important role in the economy of a country that is related to international activities such as foreign debt. The activity is closely related to the risk of uncertainty caused by fluctuations in currency rates. However, these risks can be minimized by conducting hedging activities with derivative instruments which include forward contracts, futures contracts, swap contracts and option contracts.

The purpose of this study is to investigate the effect of liquidity, leverage, and the rupiah exchange rate both simultaneously and partially on the use of derivative instruments as hedging decisions. The object of this study is convensional banks listed on the Indonesia Stock Exchange in the 2014-2017 period.

The data used in this study is secondary data obtained from the annual financial report of the banks that are  listed on the Stock Exchange for the period 2014-2017. The sample obtained was 80 observations from 20 conventional banks of the period 2014-2017. The method used is purposive sampling. The techniques used in this analysis are logistic regression and descriptive statistics.

The results in this study indicate variable liquidity, leverage, and rupiah exchange rates simultaneously have a significant influence on hedging policies. While the partial liquidity variable has a significant positive effect on hedging policy. Leverage variables have a significant negative effect on hedging policies. The variable exchange rate has no effect on hedging policies.

From the results of the study, suggestions that can be given to the next researcher in order to develop another variable  that cannot be done in this study. Suggestions are given to banks to establish hedging policies for protected assets, which are intended for banks that have low LDR levels, and high leverage levels.

References

Abimanyu, Y. (2004). Memahami Kurs Valuta Asing FE UI. Jakarta.

Ahmad, N., & Haris, B. (2012). Factors for Using Derivatives: Evidence From Malaysian Non-Financial Companies. Research Journal of Finance and Accounting Vol 3, No.9, 79-87.

Ariani, N., & Sudiartha, G. (2017). Pengaruh Leverage, Profitabilitas, dan Likuiditas terhadap Keputusan Hedging Perusahaan Sektor Pertambangan Di BEI. Jurnal Manajemen Unud Vol 6, No.1 ISSN 2302-8912, 347-374.

Arnold , M. (2014). Determinants of Corporate Hedging: A (Statistical) Meta- Analisys . The Quartely Review of Econimoc and Finance 54, 443-458.

Chaundry , N., Mehmood, M., & Mehmood , A. (2014). Determinants of Corporate Hedging Polices and Derivative Usage in Risk Management Practices of Non- Financial Firms. Journal Klagenfur Austria Vol 21, No 7 ISSN 1561-8820.

Clark, E., & Judge, A. (2008). The Determinants and Value Effect of Corporate Hedging: An Emperical Study of Hong Kong and Chinese Firms. Accounting and Financial Group Middlesex University, London, 1-28.

Damanik, H., & Muharam, H. (2015). Keputusan Hedging dan Faktor-faktor yang Mempengaruhinya. Jurnal Manajemen Undip, 2-3.

Darmawi, H. (2011). Manajemen Perbankan. Jakarta: Bumi Aksara.

Fahmi. (2014). Analisis Kinerja Keuangan . Bandung: Alfabeta.

Fahmi, I. (2016). Manajemen Risiko. Bandung: Alfabeta.

Gozali, I. (2013). Aplikasi Analisis Multivariate dengan Progam IBM SPSS 20 Edisi 6. Semarang: Badan Penerbit Universitas Diponegoro.

Guniarty, F. (2014). Faktor-faktor yang Mempengaruhi Aktivitas Hedging dengan Instrumen Derivatif Valuta Asing. Jurnal Dinamika Manajemen Vol 5, No 1, ISSN 2088-0668, 64-75.

Hery. (2016). Analisis Laporan Keuangan . Jakarta: PT Gramedia Widiasarana Indonesia.

Horne , J., & Marchowicz , J. (2012). Fundamental of Financial Management edisi tiga belas . Jakarta: Salemba Empat.

IAI, A. (2017). Pernyataan Standar Akuntansi Keuangan (PSAK) No 55 Instrumen Keuangan : Pengakuan & Pengukuran . Jakarta: IAI.

Jiwandhana, R., & Triaryati, N. (2016). Pengaruh Leverage dan Profitabilitas terhadap Keputusan Hedging pada Perusahaan Manufaktur yang Terdaftar di BEI periode 2010-2013. Jurnal Manajemen Unud Vol 5, No 1 ISSN 2302-8912, 31-58.

Larasati, N. (2017). Analisis Forward Contrabt Hedging dan Open Position dalam Menghadapi Eksposure Valuta Asing . E-Jurnal Manajemen Unud Vol 6 No.5, , 2556-2581.

Mulyawan, S. (2015). Manajemen Risiko. Jakarta: Pustaka Setia.

Raghu, R., & Shanmugam, V. (2014). The Determinants of Currency Hedging in Indian IT Firms . Journal Business and Financial Affairs Vol 3. No.3.

Rashid, A. (2010). Determinants of Corporate Hedging Practices in Malaysia . International Business Research, Vol 3, No.9, 79-87.

Sariutami, B., & Nurbaiti , A. (2016). The 7 th Smart Collaboration for Business in Tchnology and Information Industries Analysis of Fraudulent Financial Statement in The Triangle Perspsctive Study at Listed Companies in Indonesia Stock Exchange BEI in Period 2009. 59-64.

Setiawan, R. (2017). Analisis Faktor-Faktor Internal Perusahaan yang Mempengaruhi Kebijakan Lindung Nilai.

Sulistyo, B. (2015). Hedging Nilai Tukar Mengurangi Risiko Pelebaran Defisit Anggaran. Jakarta.

Tai , V., & Lin, L. (2014). Local Institutional Shareholders and Corporate Hedging Polices. North American Journal of Economics and Finance Vol 28 , 287-312.

Tai, e. (2014). Efektivitas Fungsi Pengawasan dari Investor Institusi pada Strategi Hedging .

Widyagoca, I. (2016). Pengaruh Leverage, Growth Opportunity, dan Likuiditas terhadap Pengambilan Kputusan Hedging PT Indosat Tbk . e Jurnal Manajemen Unud , 128-130.

Zulfiana, I. (2014). Analisis Faktor Internal dan Eksternal yang Mempengaruhi Penggunaan Instrumen Derivatif sebagai Pengambilan Keputusan Hedging. Jurnal Manajemen UIN.

Published
2019-02-01
How to Cite
Kinasih, R., & Mahardika, D. (2019). PENGARUH LIKUIDITAS, LEVERAGE, DAN NILAI TUKAR RUPIAH TERHADAP PENGGUNAAN INSTRUMEN DERIVATIF SEBAGAI KEPUTUSAN HEDGING. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 3(1), 63-80. https://doi.org/10.31955/mea.vol3.iss1.pp63-80