Peluang melakukan arbitrase terhadap irp pada pasar valuta asing di indonesia

Willy, Willy (2003) Peluang melakukan arbitrase terhadap irp pada pasar valuta asing di indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penyimpangan dari kondisi paritas tingkat suku bunga yang terjadi sepanjang tahun 2001 memungldnkan investor melakukan arbitrase keliling untuk mendapatkan keuntungan tanpa risiko pada pasar valuta asing di Indonesia. Arbitrase keliling searah jarum jam pada pasar nilai tukar rupiah terhadap dollar Amerika memberikan keuntungan antara 0,33% per tahun sampai dengan 60,71% per tahun, dengan total keuntungan selama tahun 2001 sebesar 37,52%. Sedangkan arbitrase keliling berlawanan dengan arah jarum jam yang dilakukan pada periode yang sama memberikan keuntungan antara 1,25% per tahun sampai dengan 22,99% per tahun, dengan total keuntungan selama tahun 2001 sebesar 6,79%. Besarnya peluang untuk melakukan arbitrase tersebut diindikasikan dengan cukup banyaknya (39,63%) premi forward rupiah terhadap dollar Amerika yang nilainya negatif selama tahun 2001.

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Willy, WillyNIM 19010039UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
ContributorSunaryo, TarsiciusUNSPECIFIEDUNSPECIFIED
Additional Information: T 19-01 WIL 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 02:27
Last Modified: 06 Aug 2021 03:12
URI: http://repository.uph.edu/id/eprint/27862

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