Pengaruh Penggunaan Instrumen Derivatif Terhadap Risiko Pasar: Analisa Sebelum dan Setelah Penerapan PSAK 71 Pada Institusi Keuangan Tahun 2015 – 2022
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Nov 1, 2024
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Risiko pasar, instrumen derivatif dan PSAK 71
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Abstract
Penelitian ini bertujuan untuk menguji pengaruh penggunaan instrumen derivatif (forward, futures, options dan swap) terhadap risiko pasar sebelum dan setelah penerapan PSAK 71 pada perusahaan sektor keuangan, serta mengetahui apakah penggunaan instrumen derivatif dapat lebih efektif. untuk mengurangi risiko pasar setelah penerapan PSAK 71. Penelitian menggunakan dasar teori portofolio modern, model penetapan harga aset modal dan teori penetapan harga arbitrase. Penggunaan instrumen derivatif dan penerapan PSAK 71 yang berorientasi pada manajemen risiko berdampak pada semakin besarnya volatilitas laba rugi. Penelitian dilakukan terhadap 50 perusahaan keuangan di BEI tahun 2015-2022, dengan pengambilan sampel purposive judgement dan pengujian hipotesis penelitian menggunakan analisis regresi linier berganda. Hasil penelitian menunjukkan bahwa penggunaan instrumen derivatif dimaksud terbukti mampu menjelaskan risiko pasar sebelum dan sesudah penerapan PSAK 71, namun tiap jenis pengaruhnya terhadap risiko pasar bervariasi, dimana penggunaan options terbukti berpengaruh positif sebelum penerapan PSAK 71, penggunaan futures secara konsisten berpengaruh negatif baik sebelum maupun sesudah penerapan PSAK 71, sedangkan forward dan swap tidak terbukti.
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References
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Zutter, Chad J., and Smart, S. B. (2019). Principles of Managerial Finance (Global Edi). Pearson.
Syardiansah, S., Latief, A., Ramadansyah, J., Wijoyo, H., Prayudi, A., Sisiawan Putra, R., & Musnaini, M. (2021). The Influence of Work Motivation and Organizational Culture to Employee Performance.
Haudi, H., Wijoyo, H., & Cahyono, Y. (2020). Analysis of most influential factors to attract foreign direct investment. Journal of Critical Reviews, 7(13).
Haudi, H., Wijoyo, H., & Cahyono, Y. (2020). Effect of product innovation and marketing strategy on consumer purchase decisions in Indonesia’s lightweight roof steel industry. Journal of Critical Reviews, 7(13).
Wijoyo, H., Prayudi, A., & Putra, R. S. (2020). The Influence of Work Motivation and Organizational Culture to Employee Performance. In Proceedings of the 11th Annual International Conference on Industrial Engineering and Operations Management (Vol. 58, No. 3, pp. 4419-4425). IEOM Society International.
Abdelghany, Khaled Elmoatasem. (2005). Disclosure of Market Risk or Accounting Measures of Risk: An Empirical Study. Managerial Auditing Journal, 20, 8/9. 867-875.
Ayyagari, M., Demirgüç-Kunt, A., & Maksimovic, V. (2008). How important are financing constraints? The role of finance in the business environment. World Bank Economic Review, 22(3), 483–516. https://doi.org/10.1093/wber/lhn018
Baele, L., De Bruyckere, V., De Jonghe, O., & Vander Vennet, R. (2015). Model uncertainty and systematic risk in US banking. Journal of Banking and Finance, 53, 49–66. https://doi.org/10.1016/j.jbankfin.2014.11.012
Bodie, Z., A. K. and A. J. M. (2011). Investments (9th ed.). McGraw-Hill/Irwin, New York.
Bullard, J., Neely, C. J., & Wheelock, D. C. (2009). Systemic risk and the financial crisis: A primer. Federal Reserve Bank of St. Louis Review, 91(5), 403–417. https://doi.org/10.20955/r.91.403-418
Chance, Don M., & Brooks, R. E. (2010). An Introduction to Derivatives and Risk Management. South-Western Cengage Learning,.
Cheng, Jiang., Elyasiani, E., & J. (2011). Working Paper. Networks Financial Institute, July.
Crouhy, M.G., Galai, M. dan Mark, R. (2013). The Essentials of Risk Management. New York: McGraw Hill.
Dhouibi, R., & Mamoghli, C. (2009). Accounting and capital market measures of banks’ risk: Evidence from an emerging market. Banks and Bank Systems, 4(4), 108–115.
Drutarovská, Jana. (2014). Speculative Activities in The Financial Markets and Its Relation to the Real Economy. Journal of Public Administration, Finance and Law.
Gambi Cavallari Amorim, A. L., Siqueira Lima, I., & Dal-Ri Murcia, F. (2012). Analysis of the relationship between accounting information and systematic risk in the Brazilian market. Revista Contabilidade & Finanças, 23(60), 199–211.
Goyal, Krishn A & Agrawal, S. (2010). Risk Management in Indian Banks :SOME EMERGING ISSUES. Int. Eco. J. Res, 1(1), 102–109.
Hull, John C (2014), Options, Futures and Other Derivatives, eighth Edition, USA: Prentice Hall.
Ikatan Akuntan Indonesia (2015). PSAK 55 Instrumen Keuangan: Pengakuan dan Pengukuran. Standar Akuntansi Keuangan. Ikatan Akuntan Indonesia.
Ikatan Akuntan Indonesia (2017). PSAK 71 Instrumen Keuangan. Standar Akuntansi Keuangan. Ikatan Akuntan Indonesia.
JP Morgan. (2013). Derivatives and Risk Management Made Simple. National Association of Pension Funds Limited.
Keffala, M.R., de Peretti., and Chan. (2011). The Effect of Derivative Instrument Use on Capital Market Risk: Evidence from Banks in Emerging and Recently Developed Countries. Frontiers in Finance and Economics, Vol. 9 (No. 2), 85–121. https://ssrn.com/abstract=2190440
Keffala, M. R. (2015). How using derivatives affects bank stability in emerging countries? Evidence from the recent financial crisis. Research in International Business and Finance, 35, 75–87. https://doi.org/10.1016/j.ribaf.2015.03.007
Keffala, M. R. (2020). “How using derivative instruments and purposes affects performance of Islamic banks? Evidence from CAMELS approach.” Global Finance Journal, 50(March). https://doi.org/10.1016/j.gfj.2020.100520
Keffala M and de Peretti C. (2013). Effect of the use of derivative instruments on accounting risk: Evidence from banks in emerging and recently developed countries. Annals of Economics and Finance, 14(1), 183–212.
Keffala, M.R., De Peretti dan Chan. (2013). Effect of The Use of Derivative Instruments on Stock Returns: Evidence from Banks in Emerging and Recently Developed Countries. LSAF Working Paper No. 2013.20.
Kornél, T. (2014). The Effect of Derivative Financial Instruments on Bank Risks, Relevance and Faithful Representation Evidence From Banks in Hungary. Annals of the University of Oradea: Economic Science, 23(1), 698–706.
Markowitz, Harry M. (1990). Foundations of Portfolio Theory. The City University of New York.
Mourik, Teus. & Wyman., Ol. (2003). Market risks of insurance companies Descriptions and measurement approaches from the perspective of solvency requirements. April 2003.
PWC (2019). PSAK 71 – Financial Instruments: Understanding the Basics. KAP Tanudiredja, Wibisana, Rintis & Rekan.
Pyka, Anna, Kosmala, & Wieczorek. (2012). Systemic Risk, Specific Risk and the Risk of Company's Growth. International Scientific Conference Managing and Modelling of Financial Risks.
Rivas, A., Ozuna, T., & Policastro, F. (2006). Evidence From Latin American Banks. 5(11), 47–56.
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341–360. https://doi.org/10.1016/0022-0531(76)90046-6
Said, A. (2011). Does the Use of Sukuk ( Islamic bonds ) Impact Islamic Banks Performances ? A Case Study of Relative Performance during 2007-2009. Middle Eastern Finance and Economics, 12(12), 65–76.
Sharpe, W. F. (1964). Capital Asset Prices: a Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
Subramanyam, K. R & John J. Wild (2014), Financial Statement Analysis, 11th Edition, Boston: McGraw-Hill Irwin.
The International Accounting Standards Board (2005). International Financial Reporting Standards (IFRS) 7 Financial Instruments: Disclosures.
The International Accounting Standards Board (2014). International Financial Reporting Standards (IFRS) 9 Financial Instruments.
Zutter, Chad J., and Smart, S. B. (2019). Principles of Managerial Finance (Global Edi). Pearson.
Syardiansah, S., Latief, A., Ramadansyah, J., Wijoyo, H., Prayudi, A., Sisiawan Putra, R., & Musnaini, M. (2021). The Influence of Work Motivation and Organizational Culture to Employee Performance.
Haudi, H., Wijoyo, H., & Cahyono, Y. (2020). Analysis of most influential factors to attract foreign direct investment. Journal of Critical Reviews, 7(13).
Haudi, H., Wijoyo, H., & Cahyono, Y. (2020). Effect of product innovation and marketing strategy on consumer purchase decisions in Indonesia’s lightweight roof steel industry. Journal of Critical Reviews, 7(13).
Wijoyo, H., Prayudi, A., & Putra, R. S. (2020). The Influence of Work Motivation and Organizational Culture to Employee Performance. In Proceedings of the 11th Annual International Conference on Industrial Engineering and Operations Management (Vol. 58, No. 3, pp. 4419-4425). IEOM Society International.
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