|
Abstract:
Domestic mining companies such as ADRO, BUMI and PTBA and other companies that have the majority of export sales cannot avoid the existence of external risks that affect the company's stock price. From the observations in the same observation period, which was July 16, 2008 to January 31, 2017, information on the phenomenon of price fluctuations occurred on the three stocks, ADRO with daily stock returns - 19% to 19%, BUMI - 36% to 35% and PTBA - 23% up to 43%. These fluctuations identify high volatility which has an impact on the risk of investment losses on the three stocks that are reason from the need for risk management. This research examines the hedging strategy with call options, short forward and no hedging on ADRO, BUMI and PTBA stock in the period January 1, 2012 to January 1, 2012. In total 61 data points were obtained and it was found that the hedging strategy with short forward provided risk protection and profit for each of ADRO, BUMI and PTBA shares, while call options and no hedging had a negative impact on risk protection and profitability.
|
