Analisis harga waran dengan pendekatan Black-Scholes Option Pricing Model di Bursa Efek Jakarta
PRASETYO, Dra. Sri Handaru Yuliati, MBA
2004 | Tesis | Magister ManajemenDerivative adalah suatu produk keuangan. Disebut dengan instrumen investasi turunan karena pergerakan harga dari instrumen investasi tersebut akan relatif bergantung pada pergerakan harga instrumen investasi utamanya yaitu saham atau obligasi. Dengan kata lain, nilai derivatif diambil dari nilai dari produk keuangan yang lain. Beberapa instrumen investasi langsung di pasar turunan yang telah banyak dikenal di pasar modal dunia diantaranya adalah option (warrant, put option, call option) dan Futures contract. Thesis ini ditulis dengan tujuan pertama untuk mengetahui apakah nilai pasar waran yang diperdagangkan di Bursa Efek Jakarta bersifat overvalued atau undervalued. Yang kedua adalah untuk mengetahui apakah ada perbedaan yang signifikan antara nilai pasar waran dengan nilai waran secara teoritis berdasarkan formula Black-Scholes Option Pricing. Langkah penelitian diawali dengan memperhitungkan resiko saham untuk waran yang bersangkutan. Kemudian mengetahui besarnya nilai untuk indikatorindikator lain yang diperlukan dalam perhitungan harga wajar call option dengan mempergunakan metode Black-Scholes Option Pricing Model yaitu, harga saham, harga exercise, suku bunga SBI, dan sisa waktu jatuh tempo waran bersangkutan. Setelah itu dibandingkan antara harga wajar secara teoritis menurut metode Black- Scholes Option Pricing Model dengan harga pasar waran. Selanjutnya dapat diketahui perbandingan pergerakan harga wajar secara teoritis dengan pergerakan harga pasarnya. Hasil penelitian yang diperoleh menunjukkan bahwa terdapat perbedaan antara harga pasar dengan harga wajar secara teoritis menurut metode Black-Scholes Option Pricing Model untuk AIMS-W, GEMA-W2, dan WAPO-W. Terjadinya perbedaan antara harga pasar dengan harga wajar serta pergerakan harga pasar tersebut dimungkinkan karena kondisi pasar modal Indonesia, khususnya di Bursa Efek Jakarta yang masih belum efisien. Disamping hal tersebut dimungkinkan adanya faktor-faktor lain yang tidak dapat dihitung (penawaran dan permintaan, sentimen investor, dan harapan pasar secara umum) dapat mempengaruhi nilai pasar dari semua jenis waran. Untuk itu perlu diupayakan suatu analisis lebih lanjut adanya pengaruh gerakan nilai tukar terhadap penentuan harga dari suatu waran (waran yang didasarkan atas intrumen bukan mata uang).
Derivative is a financial product. It was called the derivative instrument of investment because of the price movement of instrument of investment will relatively depend on the price movement of its main instrument of investment, namely, the stock or obligation. In the other word, the derivative value was taken from the value of another financial product. Several direct instrument of investment in the most well known derivative market, in the stock exchange throughout the world among them were the option (warrant, put option, call option) and the future contract. This thesis written by the purpose was the first, to find out what the value of warrant market traded in the Jakarta stock exchange was overvalued and undervalued. The second, to find out what the significant difference between the market value of warrant with the warrant value theoretically based on the formula of Black-Scholes Option Pricing. The step of this research was started to calculate the risk of stock to the related warrant. The n found out the magnitude of value to the other indicators obtained in the normal price calculation of call option by using the method of Black-Scholes Option Pricing Model, that were, the stock price, exercise price, a quarter of SBI interest, and the resting time on the date of related warrant. After that it was compared between the normal prices theoretically according to the method of Black-Scholes Option Pricing Model with the market price of warrant. Then it could be found out that the comparison of normal price movement theoretically with the movement of its market value. The result of this research was obtained by showing that there was the difference between the market value with the normal price theoretically according to the method of Black-Scholes Option Pricing Model for AIMS-W, GEMA-W2, and WAPO-W. It was occurred the difference between the market value with the normal value and the movement of market value was probably caused by the condition of Indonesian stock exchange, especially at the Jakarta stock exchange that had not already been efficient. Beside that it was probably caused by the existence of the other factors that could be calculated (the offer and demand, sentiment of investor, and the hope of market generally) could influence the market value from all types of warrant. For that it needed to be attempted a further analysis of the existence of movement influence of value exchange toward the determination of value from one warrant (warrant based on the instrument not the currency).
Kata Kunci : Pasar Modal,Nilai Pasar Waran, call option, warrant, derivative, market price
