Jurnal Manajemen (Apr 2017)

PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA

  • Sukmawati Sukamulja,
  • Sony Fidanti

DOI
https://doi.org/10.24912/jm.v21i1.145
Journal volume & issue
Vol. 21, no. 1
pp. 17 – 32

Abstract

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There were some contradictory between the impacts of futures contract to the volatility of underlying asset. In the one side, some researches concluded that futures transaction affect to underlying asset volatility, but in the other side said the future contract not had impact to the volatility of underlying asset. The results were not robust yet. Futures market in Indonesia started with LQ45 futures. The LQ45 futures had been stopped in 2009, just only nine years after it was opened. And then, after seven years off, the LQ45 futures started be operated on February 1, 2016. This research want to examine the impact of futures contract to the underlying spot market volatility. Beside that, this research also want to analyze the affect of futures contract to the market efficiency during 2001-2009 with GARCH (1,1) model. The result says that there is no futures index contract impact to their underlying spot market volatility, even though there is decreasing in volatility during the testing period. This research also find that futures contract index has impact to the market sensitivity and then increase the market efficiency.

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