ANALISIS PENGARUH ARBITRASE TERHADAP PERGERAKAN NILAI TUKAR MATA UANG

Kun Arif Cahyantoro, ST, Prof. Dr. Sukmawati Sukamulja., MM.

2013 | Tesis | S2 Magister Manajemen

Arbitrase secara umum didefiniskan sebagai memaanfatkan ketidaksesuaian harga yang dipicu oleh kondisi ketidakseimbangan harga. Secara umum, Hukum Satu Harga “Law of One Price” teraplikasikan pada semua pasar finansial dimana tidak akan terdapat kesempatan untuk melakukan arbitrase. Bukti empiris pada tringular arbitrage terhadap beberapa pasang mata uang menggunakan analisis ko-integrasi “cointegration analysis” dengan pendekatan matrik asset pricing terhadap data pasangan nilai tukar mata uang (currency pairs) menunjukan bahwa keuntungan dengan arbitrase sangat mungkin terjadi ketika pasar menyimpang dari teori paritas daya beli “purchasing power parity theory” dan keseimbangan nilai tukar mata uang (equilibrium exchange rate). Ketidakseimbangan ini berpengaruh terhadap pergerakan nilai tukar mata uang (currency exchange rate movement).

Arbitration is generally defined as the price discrepancy triggered by the imbalance price. In general, the LOP (Law of One Price) are applied to all financial markets which would not have a chance to do the arbitration. Empirical evidence on triangular arbitrage againts several currency pairs using co-integration analysis approach to asset pricing matrix of pairs of data exchange (currency pairs) indicated that the benefit to arbitration is likely to occur when the market deviates from power parity theory buy (purchasing power parity theory) and the equilibrium exchange rate. These imbalances affect the movement of currency exchange rate.

Kata Kunci : Law of One Price, triangular arbitrage, cointegration analysis, matrik asset pricing, currency pairs, purchasing power parity theory, equilibrium exchange rate, currency exchange rate movement