Analisis Faktor Yang Mempengaruhi Pengambilan Keputusan Hedging Menggunakan Instrumen Derivatif Valuta Asing

Abstract

This research aims at knowing factors that influences the hedging decision withforeign currency derivative instruments. This research uses the sample from non-financialcompanies listed on Indonesia Stock Exchange in the periode of 2013-2017. The data used inthis research are secondary data taken from Indonesia Stock Exchange and the analyzedcompany's websites. The samples from the analyzed company are taken using the purposivesampling method. Based on the selected samples, there were 35 companies which did thehedging activity during the research period and have the data to be analyzed. The model wasanalysed by using logistics regression. The result of the research shows that leverage,liquidity and growth opportunity have positive and significant factore that influence hedgingdecision with the foreign currencies by using derivative instrument, However, financialdistress has negative and significant influances while fluctuation of exchange rate did notsignificantly influence it. Keywords: derivative instrument, foreign currency, foreign exchange risk, hedging, risk management ABSTRAK Penelitian ini bertujuan untuk mengetahui bagaimana pengaruh pengambilankeputusan hedging menggunakan instrumen derivatif valuta asing. Penelitian inimenggunakan sampel perusahaan non keuangan yang terdaftar di BEI tahun 2013-2017.Data yang digunakan dalam penelitian ini adalah data sekunder yang diunduh dari websiteBursa Efek Indonesia dan website perusahaan yang diteliti. Sampel perusahaan dipilihmenggunakan metode purposive sampling. Hasil dari seleksi sampel memperoleh 35perusahaan yang melakukan aktivitas hedging selama periode penelitian dan memilikikelengkapan data untuk diteliti. Analisis model penelitian menggunakan analisis regresilogistik. Hasil pengujian menunjukkan ketepatan klasifikasi model analisis sebesar 80,6%.Hasil penelitian menunjukkan bahwa variabel leverage, likuiditas, growth opportunityberpengaruh positif signifikan dan variabel financial distress berpengaruh negatif signifikan,sedangkan variabel fluktuasi nilai tukar berpengaruh tidak signifikan terhadap prosespengambilan keputusan hedging menggunakan instrumen derivatif valuta asing. Kata Kunci: hedging, instrumen derivatif, manajemen risiko, risiko nilai tukar, valuta asing

The Effect of Liquidity, Growth Opportunity, and Financial Distress on Hedging Decisions

“…According to Ayuningtyas, Warsini, and Mirati (2019), hedging is an attempt made by a company to protect company from exposure to exchange rate fluctuations. Hedging is policy companies take to protect companies from financial risks caused by increases in foreign exchange rates, interest rates and commodity prices (Yustika, Cheisviyanny, & Helmayunita, 2019).…”

“…This indicates that the company has more current assets than current liabilities. If current assets are dominated by cash, then the company needs to hedge to protect the company from the risk of loss (Ayuningtyas, Warsini, & Mirati, 2019). Based on previous research conducted by Ayuningtyas, Warsini, and Mirati, (2019), the liquidity variable proxied by the current ratio has a positive effect on the use of derivative instruments as hedging decisions.…”

“…If current assets are dominated by cash, then the company needs to hedge to protect the company from the risk of loss (Ayuningtyas, Warsini, & Mirati, 2019). Based on previous research conducted by Ayuningtyas, Warsini, and Mirati, (2019), the liquidity variable proxied by the current ratio has a positive effect on the use of derivative instruments as hedging decisions. Unlike the research conducted by Bodroastuti, Paranita, and Ratnasari (2019),the liquidity variable proxied by the Current Ratio states that liquidity has no effect on company hedging decisions.…”

Panel Method in Hedging: Evidence from The Indonesian Agricultural Sector

“…The Influence of Financial Distress to the Hedging Ayuningtyas et al (2019) conducted research aiming to determine how the influence of decision making on the use of hedging uses derivative instruments in non-financial companies. This study's results indicate that leverage, liquidity, financial distress, and growth opportunity have a positive effect.…”

“…Several studies have been conducted to determine the factors that influence hedging activities, such as Sasmita and Hartono (2019), Saraswati and Suryantini (2019) in manufacturing companies, Mo, Suvankulov, and Griffiths (2019), Wang, Geng, and Meng (2019) in oil companies, Aragon, Martin, and Shi (2019) in the stock market, Brav, Jiang, Ma, and Tian (2018) in shares in the United States, Ayuningtyas, Warsini, and Mirati (2019) in non-financial companies, Seng and Thaker (2018) in companies in Malaysia, Giraldo-Prieto, Uribe, Bermejo, & Herrera (2017), Gupta (2017) in financial companies, Livingstone and Ngugi (2017), Agarwal, Arisoy, and Naik (2017), Mediana and Muharam (2016) in energy companies.…”