Solihin, Ikin (2022) Model volatilitas, imbal hasil, dan winning rate investasi opsi saham di Bursa Efek Indonesia. Doctoral thesis, Universitas Pelita Harapan.
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Abstract
Opsi merupakan salah satu instrumen penting dalam pasar modal. Berdasarkan pengalaman praktis, volatilitas menjadi hal yang diperhatikan dalam penentuan opsi. Semakin besar volatilitas maka semakin besar juga kemungkinan untung atau ruginya. Di Indonesia pasar opsi saham sudah tidak berjalan sejak tahun 2010. Penelitian ini ingin mengetahui jika opsi Indonesia dijalankan, apakah menghasilkan keuntungan. Perhitungan harga opsi saham dihitung menggunakan model Black-Scholes-Merton dengan memperhatikan beberapa faktor seperti Weighted Moving Average (WMA), srtike, interest rate, dividen, dan volatilitas. Kemudian ada empat model volatilitas yang digunakan untuk menghitung opsi. Sehingga dengan harga opsi yang telah dihitung, diperoleh imbal hasil dan winning rate untuk setiap sampel opsi. Hasil penelitian menunjukkan bahwa opsi Indonesia bisa menghasilkan keuntungan. Keuntungan setiap posisi berbeda, dimana mayoritas menunjukkan bahwa writer memiliki winning rate yang lebih besar dari pada taker baik dalam opsi put maupun call.
| Item Type: | Thesis (Doctoral) | ||||||||||||||||
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| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management | ||||||||||||||||
| Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Business School > Doctor of Management Current > Faculty/School - UPH Karawaci > Business School > Doctor of Management |
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| Depositing User: | Users 43 not found. | ||||||||||||||||
| Date Deposited: | 14 Mar 2022 05:23 | ||||||||||||||||
| Last Modified: | 14 Mar 2022 05:23 | ||||||||||||||||
| URI: | http://repository.uph.edu/id/eprint/47172 |
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