ANALISIS FAKTOR YANG MEMPENGARUHI PENGAMBILAN KEPUTUSAN HEDGING MENGGUNAKAN INSTRUMEN DERIVATIF VALUTA ASING

Abstract

ABSTRACT  
This research aims at knowing factors that influences the hedging decision with
foreign currency derivative instruments. This research uses the sample from non-financial
companies listed on Indonesia Stock Exchange in the periode of 2013-2017. The data used in
this research are secondary data taken from Indonesia Stock Exchange and the analyzed
company's websites. The samples from the analyzed company are taken using the purposive
sampling method. Based on the selected samples, there were 35 companies which did the
hedging activity during the research period and have the data to be analyzed. The model was
analysed  by using logistics regression. The result of the research shows that leverage,
liquidity and growth opportunity have positive and significant factore that influence hedging
decision with the foreign currencies by using derivative instrument, However, financial
distress has negative and significant influances while fluctuation of exchange rate did not
significantly influence it.
 
Keywords: derivative instrument, foreign currency, foreign exchange risk, hedging, risk management
 
ABSTRAK
Penelitian ini bertujuan untuk mengetahui bagaimana pengaruh pengambilan
keputusan hedging menggunakan instrumen derivatif valuta asing. Penelitian ini
menggunakan sampel perusahaan non keuangan yang terdaftar di BEI tahun 2013-2017.
Data yang digunakan dalam penelitian ini adalah data sekunder yang diunduh dari website
Bursa Efek Indonesia dan website perusahaan yang diteliti. Sampel perusahaan dipilih
menggunakan metode purposive sampling. Hasil dari seleksi sampel memperoleh 35
perusahaan yang melakukan aktivitas hedging selama periode penelitian dan memiliki
kelengkapan data untuk diteliti. Analisis model penelitian menggunakan analisis regresi
logistik. Hasil pengujian menunjukkan ketepatan klasifikasi model analisis sebesar 80,6%.
Hasil penelitian menunjukkan bahwa variabel leverage, likuiditas, growth opportunity
berpengaruh positif signifikan dan variabel financial distress berpengaruh negatif signifikan,
sedangkan variabel fluktuasi nilai tukar berpengaruh tidak signifikan terhadap proses
pengambilan keputusan hedging menggunakan instrumen derivatif valuta asing.

Kata Kunci: hedging, instrumen derivatif, manajemen risiko, risiko nilai tukar, valuta asing