Peluang pengambilan profit pada pergerakan nilai tukar rupiah menggunakan metode moving average

Jaya, Praptono (2004) Peluang pengambilan profit pada pergerakan nilai tukar rupiah menggunakan metode moving average. Masters thesis, Universitas Pelita Harapan.

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Abstract

Kondisi pasar valuta asing di Indonesia yang cenderung bersifat tidak efisien secara lemah sepanjang Juni 2000 hingga Mei 2002, memungkinkan investor untuk melakukan pengambilan profit dengan cara memilih posisi jual dan posisi beli pada saat yang tepat berdasarkan metode analisis teknikal moving average. Dengan menggunakan data intraday USD-Rupiah serta menerapkan biaya transaksi sebesar 1 %, kelima metode moving average menghasilkan profit yang lebih besar dari investasi pada SBI maupun investasi pada nilai tukar secara pasif. Profit rata-rata yang dihasilkan oleh kelima metode moving average adalah sebesar 69,51 %, dimana metode simple moving average menghasilkan profit 51,62 %, metode exponential moving average menghasilkan profit 60,70 %, metode moving average crossover menghasilkan profit 90,47 %, metode moving average convergence divergence menghasilkan profit 84,61 % dan metode Bollinger bands menghasilkan profit 60,15 %. Sementara investasi pada SBI hanya menghasilkan profit sebesar 36,55 % dan investasi secara pasif hanya menghasilkan 0,3 %. Kinerja yang paling menonjol dihasilkan oleh metode moving average crossover dan moving average convergence divergence, yang menggunakan kombinasi kurva panjang dan kurva pendek dalam penentuan posisi jual dan posisi beli.

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Jaya, PraptonoNIM 19000097UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
ContributorSunaryo, TarsiciusUNSPECIFIEDUNSPECIFIED
Additional Information: T 19-00 JAY p
Subjects: H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Depositing User: Ms Devy Christiany Zega
Date Deposited: 20 May 2021 02:23
Last Modified: 15 Sep 2021 03:33
URI: http://repository.uph.edu/id/eprint/26640

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