EFEKTIVITAS LINDUNG NILAI BERDASARKAN PSAK 55

Dewa Putra Krishna Mahardika

Abstract


The aim of this research is to measure gold-hedging effectiveness using gold futures traded in Jakarta Futures Echange. This quantitative research uses four methods in measuring hedge effectiveness: ratio analysis, regression analysis, volatility risk reduction and percentage offset ratio. The result shows that each method can give contradictory conclusion. Of the four method used to measure effectiveness only ratio analysis and percentage offset ratio that categorized gold futures as effective. Absent of compulsory single method in PSAK 55 and inconsistency result among methods allow hedger to choose the most favourable method in calculating hedging effectiveness.


Keywords


Derivative instruments; Hedging effectiveness; PSAK 55

Full Text:

PDF

Article Metrics

Abstract views : 0| PDF views : 0

References


Beatty, A., & Weber, J. (2003). The Effects of Debt Contracting on Voluntary Accounting Method Changes. Accounting Review, 78(1), 119. Retrieved from http://proxy.kennesaw.edu/login?url=http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=9092638&site=ehost-live&scope=site

Berger, T., & Uddin, G. S. (2016). On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes. Energy Economics, 56, 374–383. https://doi.org/10.1016/j.eneco.2016.03.024

Conlon, T., Lucey, B. M., & Uddin, G. S. (2018). Is gold a hedge against inflation? A wavelet time-scale perspective. Review of Quantitative Finance and Accounting, 51(2), 317–345. https://doi.org/10.1007/s11156-017-0672-7

Delatte, A. L., & Lopez, C. (2013). Commodity and equity markets: Some stylized facts from a copula approach. Journal of Banking and Finance, 37(12), 5346–5356. https://doi.org/10.1016/j.jbankfin.2013.06.012

Garcia-Feijoo, L., Jensen, G. R., & Johnson, R. R. (2012). The Effectiveness of Asset Classes in Hedging Risk. The Journal of Portfolio Management, 38(3), 40–55. https://doi.org/10.3905/jpm.2012.38.3.040

González-Pedraz, C., Moreno, M., & Peña, J. I. (2015). Portfolio selection with commodities under conditional copulas and skew preferences. Quantitative Finance, 15(1), 151–170. https://doi.org/10.1080/14697688.2014.935463

Graham, J. R., Harvey, C. R., & Rajgopal, S. (2005). The economic implications of corporate financial reporting. Journal of Accounting and Economics, 40(1–3), 3–73. https://doi.org/10.1016/j.jacceco.2005.01.002

Hammoudeh, S., Nguyen, D. K., Reboredo, J. C., & Wen, X. (2014). Dependence of stock and commodity futures markets in China: Implications for portfolio investment. Emerging Markets Review, 21, 183–200. https://doi.org/10.1016/j.ememar.2014.09.002

Ikatan Akuntan Indonesia. (2017a). PSAK No. 14 Tentang Persediaan.

Ikatan Akuntan Indonesia. (2017b). PSAK No. 55 Tentang Instrumen Keuangan.

Kalotay, A., & Abreo, L. (2001). Effectiveness for Fas 133 : the Volatility. Journal of Applied Corporate Finance, 13(4), 93–99.

Kania, D. (2018). Produk Derivatif Pasar Modal Siap Diperdalam. Investor Daily, p. 5.

Kawaller, I. G., & Koch, P. D. (2013). Hedge Effectiveness Testing Revisited. The Journal of Derivatives, 21(1), 83–94. https://doi.org/10.3905/jod.2013.21.1.083

Mahardika, D. P. K. (2018a). Berbahayakah Instrumen Derivatif Dalam Konteks Akuntansi? Jurnal Akuntansi Multiparadigma, 9(3), 417–436. Retrieved from https://jamal.ub.ac.id/index.php/jamal/article/view/1060/pdf

Mahardika, D. P. K. (2018b). Memanfaatkan Instrumen Lindung Nilai. Investor Daily 31 Mei, p. 4.

Nabila, M. (2018). 4 Koin Digital Siap Melantai di Bursa. Bisnis Indonesia, p. 16.

Ramirez, J. (2013). Accounting for Derivatives: Advanced Hedging under IFRS. Chichester, West Sussex: John Wiley & Sons Ltd. https://doi.org/10.1002/9781118673478

Republik Indonesia. UU No. 32 Tentang Perdagangan berjangka Komoditi (1997).

Rianto, S., & Sitorus, R. (2017). Lindung Nilai: BUMN Diimbau Hedging. Bisnis Indonesia, p. 24.

Rolls-Royce. (2005). Annual Report.

Shakil, M. H., Mustapha, I. M., Tasnia, M., & Saiti, B. (2018). Is gold a hedge or a safe haven? An application of ARDL approach. Journal of Economics, Finance and Administrative Science, 23(44), 60–76. https://doi.org/10.1108/JEFAS-03-2017-0052

Silvennoinen, A., & Thorp, S. (2013). Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money, 24(1), 42–65. https://doi.org/10.1016/j.intfin.2012.11.007

Zhang, H. (2009). Effect of derivative accounting rules on corporate risk-management behavior. Journal of Accounting and Economics, 47(3), 244–264. https://doi.org/10.1016/j.jacceco.2008.11.007




DOI: http://dx.doi.org/10.25105/mraai.v20i1.4399

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

 Creative Commons License

Media Riset Akuntansi, Auditing & Informasi Creative Commons Attribution-NonCommercial 4.0 International License.