Kembali | Vol 7, No 3 (2018)
Article
Putra Rahmat Ramadhan dan Heru Agustanto
Abstract
This study aims to examine the effect of Spot Prices and Forward Prices on the prediction of GOLD Commodity Futures Prices for the period 2011-2017 on the Indonesia Commodity & Derivatives Exchange (ICDX). In addition, this study also analyzes the comparison of Spot Prices and Futures Prices at the maturity date of the contract.The research design used is associative causality with time series research. Data in the form of secondary data, as much as 84 price data for each variable so that the total data used in this research is 252 price data. The data analysis method used is multiple linear regression analysis with a significant level of 0.05. Based on the results of data analysis, 1) Spot prices have a positive and significant effect on the prediction of Futures Prices as evidenced by the regression coefficient of 0.403 and a significance of 0.048. 2) Forward prices have a positive and significant effect on the prediction of Futures Prices as evidenced by the regression coefficient value of 0.432 and a significance of 0.026. 3) Spot Prices and Futures Prices at the maturity date of the contract there is a significant difference as evidenced by a significant value of 0.000 <0.05 so that it can be concluded that the Futures contract is needed as an effort to hedge assets in the future. Goodness of fit Test Results for the model with a significant value at 0,000, which means that the regression model can be used to predict Futures Prices well. Adjusted R square value of 0.703 shows that the ability of the independent variable is able to explain the dependent variable at 70.3% and the remaining 29.7% is explained by other variables outside this study. Multiple linear regression analysis analysis in this research can be formulated: Futures price = 85765,337+ 0,403. Price Spot + 0,432. Price Forward + ei
Keywords
Spot Prices, Forward Prices, and Futures Prices
