Pergerakan kurs spot dan kurs forward pada future spot
DOI:
https://doi.org/10.21111/tijarah.v6i3.5687Keywords:
Spot Rate, Forward Rate, Future SpotAbstract
The purpose of this research are to determine the movement of the spot rate on the future spot, the movement of the forward rate on the future spot, the movement of the spot rate and the forward rate on the future spot. This research uses two quarters, that is quarter I to quarter II of 2019. This research uses regression models for the forecasting method. The variables are the spot rate, forward rate, and future spot. Samples were obtained from BI. The regression model was tested using the classical assumption test. The results of the data analysis show that the spot rate has a significant movement on the future spot, this is evidenced by the regression coefficient value of -2.9938 and a probability value of 0.0042. The forward exchange rate also shows the results of significant movements on the future spot, as evidenced by the regression coefficient value of -2.9581 and a probability value of 0.0046. The spot rate and forward rate together have an effect on the future spot, as evidenced by the results of statistical analysis with an F-Statistical value of 5.5895 and an F-Statistical probability value of 0.0063.
References
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ICE Benchmark Administration Limited (IBA). (1986, Januari 2). 3-Month London Interbank Offered Rate (LIBOR), based on U.S. Dollar. FRED, Federal Reserve Bank of St. Louis; FRED, Federal Reserve Bank of St. Louis. https://fred.stlouisfed.org/series/USD3MTD156N
Kurniawan, R. (2016). Analisis Regresi. Prenada Media.
Perdana Kusumah, E. (2016). Olah Data Skripsi Dengan SPSS 22. Lab Kom FE Manajemen.
Siyoto, S., & Sodik, M. A. (2015). Dasar Metodologi Penelitian. Literasi Media Publishing.
Sujarweni, V. W. (2015). Metodologi Penelitian Bisnis & Ekonomi. Pustakabarupress.
Sulistyono, S., & Sulistiyowati, W. (2018). Peramalan Produksi dengan Metode Regresi Linier Berganda. PROZIMA (Productivity, Optimization and Manufacturing System Engineering), 1(2), 82-89–89. https://doi.org/10.21070/prozima.v1i2.1350
Warganegara, D. S., & Zahron, A. (2018). The Effect of Spot Exchange Rate and Forward Exchange Rate on Projection of Futures Spot of Rupiah on Dollar Currencies. Baltic Journal of Management, 1–9.
Widarjono, A. (2005). Ekonometrika: Teori Dan Aplikasi. Ekonisia.
Yulianti, Y. D., & Yusra, I. (2019). Pergerakan Indeks Harga Saham Gabungan Sebagai Dampak Dari Variabel Makro [Preprint]. INA-Rxiv. https://doi.org/10.31227/osf.io/qab82
Yuliawati, N., & Pratomo, G. (2019). Analisis Pengaruh Kebutuhan Ekonomi Keluarga Terhadap Pendapatan Tenaga Kerja Wanita (Studi Kasus di Industri Kulit Kota Surabaya). Economie, 1(1), 75–92.
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Published
2020-12-29
How to Cite
Fauziah, A., Aminda, R. S., & Supramono, S. (2020). Pergerakan kurs spot dan kurs forward pada future spot. Al Tijarah, 6(3), 147–155. https://doi.org/10.21111/tijarah.v6i3.5687
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