Analisis Faktor yang Mempengarui Penggunaan Instrumen Derivatif Sebagai Pengambilan Keputusan Hedging Studi Kasus pada Perusahaan yang terdaftar di LQ45 periode 2011-2014)
Lampiran 1
Sampel Perusahaan
No
Nama perusahaan
Keterangan
Hedging
1
PT. Astro Agro Lestari,Tbk (AALI)
Tidak melakukan hedging
0
2
PT. Adhi Karya, Tbk (ADHI)
Tidak melakukan hedging
0
3
PT. Adaro Energy, Tbk (ADRO)
Forward
1
4
PT. Akr Corporindo, Tbk (AKRA)
Forward
1
5
PT. Aneka Tambang, Tbk (ANTM)
Futures, Swap
1
6
PT. Astra Internasional, Tbk (ASII)
Forward
1
7
PT. Alam Sutera Realita,Tbk (ASRI)
Option
1
8
PT. Bank Cental Asia, Tbk (BBCA)
Forward
1
9
PT. Bank Negara Indonesia,Tbk (BBNI)
Swap
1
10
PT. Bank Rakyat Indonesia, Tbk (BBRI) Swap
1
11
PT. Bank Tabungan Negara, Tbk
(BBTN)
Tidak melakukan hedging
0
12
PT. Bank Mandiri, Tbk (BMRI)
Swap, Option
1
13
PT. Global Mediacom, Tbk (BMTR)
Option
1
14
PT. Bumi Serpong Damai, Tbk (BSDE)
Tidak melakukan hedging
0
15
PT. Charoen Pokphand Indonesia, Tbk
(CPIN)
Tidak melakukan hedging
0
16
PT. Ciputra Developtmen, Tbk (CTRA)
Tidak melakukan hedging
0
(2)
18
PT. Gudang Garam, Tbk (GGRM)
Tidak melakukan hedging
0
19
PT. Indofood CBP Sukses Makmur, Tbk
(ICBP)
Tidak melakukan hedging
0
20
PT. Vale Indonesia, Tbk (INCO)
Tidak melakukan hedging
0
21
PT. Indofood Sukses Makmur, Tbk
(INDF)
Swap
1
22
PT.Indocement Tunggal Prakarsa, Tbk
(INTP)
Tidak melakukan hedging
0
23
PT. Indo Tambangraya Megah, Tbk
(ITMG)
Forward
1
24
PT. Jasa Marga, Tbk (JSMR)
Tidak melakukan hedging
0
25
PT. Kalbe Farma, Tbk (KLBF)
Tidak melakukan hedging
0
26
PT. Lippo Karawaci (LPKR)
Contract Option
1
27
PT. Matahari Departement Store Tbk
(LPPF)
Swap
1
28
PT. Perusahaan Perkebunan London
Sumatera, Tbk (LSIP)
Tidak melakukan hedging
0
29
PT. Media Nusantara Citra, Tbk (MNCN) Tidak melakukan hedging
0
30
PT. Matahari Putra Farma, Tbk (MPPA)
Tidak melakukan hedging
0
31
PT. Perusahaan Gas Negara, Tbk (PGAS) Swap
1
32
PT. Bukit Asam, Tbk (PTBA)
Tidak melakukan hedging
0
33
PT. Pembangunan Rumah, Tbk (PTPP)
Tidak melakukan hedging
0
34
PT.Pakuwon Jati, Tbk (PWON)
Future, Option
1
(3)
36
PT. Siloam International Hospital, Tbk
(SILO)
Tidak melakukan hedging
0
37
PT. Semen Indonesia, Tb (SMGR)
Forward
1
38
PT.Summarecon Agung, Tbk (SMRA)
Contract Option
1
39
PT.Sawit
Sumbermas
Sarana,
Tbk
(SSMS)
Tidak melakukan hedging
0
40
PT. Tower Bersama Infrastructure, Tbk
(TBIG)
Swap
1
41
PT.Telekomunikasi
Indonesia,
Tbk
(TLKM)
Tidak melakukan hedging
0
42
PT. Udited Tractors, Tbk (UNTR)
Swap
1
43
PT. Unilever Indonesia, Tbk (UNVR)
Forward
1
44
PT. Wijaya Karya, Tbk (WIKA)
Tidak melakukan hedging
0
45
PT. Waskita Karya, Tbk (WSKT)
Tidak melakukan hedging
0
Sumber: IDX
(4)
Lampiran 2
Data Mentah
Kode
Perusahaan
Tahun
DER
Growth
Liquidity
Firm Size
AALI
2011
0.21
16.07
1.3
10.24
2012
0.33
21.17
0.68
12.41
2013
0.46
20.48
0.44
14.96
2014
0.57
24.03
0.58
18.55
ADRO
2011
1.32
27.86
1.66
51.31
2012
1.23
26.11
1.57
64.71
2013
1.11
26.67
1.77
82.62
2014
1.23
10.79
2.74
91.54
AKRA
2011
1.32
8.38
1.35
8.30
2012
1.80
41.88
1.44
11.78
2013
1.73
24.14
1.17
14.63
2014
1.77
7.68
1.05
15.75
ASII
2011
1.02
36.03
1.36
153.52
2012
1.03
18.73
1.39
182.27
2013
1.02
17.40
1.24
213.99
2014
0.96
10.30
1.32
236.02
CPIN
2011
0.43
35.74
3.34
8.84
(5)
2013
0.58
27.32
3.80
15.72
2014
0.76
22.27
2.89
19.22
GGRM
2011
0.59
27.15
2.24
39.08
2012
0.56
6.19
2.17
41.50
2013
0.73
22.31
1.72
50.77
2014
0.77
11.41
1.62
56.57
ICBP
2011
0.42
13.93
2.87
15.22
2012
0.48
16.62
2.76
17.75
2013
0.60
19.79
2.41
21.26
2014
0.64
12.13
2.30
23.84
INCO
2011
0.37
11.66
4.36
21.95
2012
0.36
2.75
3.41
22.56
2013
0.33
24.06
3.30
27.98
2014
0.29
3.65
3.70
29.01
INTP
2011
0.15
18.28
7.01
18.15
2012
0.17
25.36
6.80
22.75
2013
0.16
16.93
6.14
26.60
2014
0.13
0.79
6.53
26.39
ITMG
2011
0.46
46.31
2.36
14.31
2012
0.49
0.74
2.21
14.42
2013
0.44
18.46
1.99
17.08
2014
0.45
4.82
1.56
16.25
(6)
2012
1.53
15.50
0.68
24.75
2013
1.61
14.60
0.76
28.36
2014
1.79
12.31
0.86
31.85
KLBF
2011
0.27
17.66
3.65
8.27
2012
0.28
13.82
3.40
9.41
2013
0.33
20.14
2.88
11.31
2014
0.30
6.21
3.01
12.01
LSIP
2011
0.16
22.12
4.38
6.79
2012
0.20
11.19
3.27
7.55
2013
0.21
5.60
2.48
7.97
2014
0.21
6.31
2.41
8.47
MNCN
2011
0.29
7.34
4.99
8.79
2012
0.23
1.85
5.40
8.96
2013
0.24
7.30
4.25
9.61
2014
0.58
44.54
4.82
13.89
PTBA
2011
0.41
31.92
4.63
11.50
2012
0.50
10.62
4.92
12.72
2013
0.55
8.26
2.86
11.67
2014
0.71
26.85
2.07
14.81
SCMA
2011
0.67
0.17
1.57
2.51
2012
0.32
15.21
4.60
2.89
2013
0.44
38.61
3.64
4.01
(7)
SMGR
2011
0.35
26.34
2.64
19.66
2012
0.46
35.18
1.70
26.57
2013
0.41
15.85
1.88
30.79
2014
0.37
11.44
2.20
34.31
UNUR
2011
1.85
20.47
0.68
10.48
2012
2.02
14.34
0.66
11.98
2013
2.14
37.54
0.69
7.48
(8)
Lampiran 3
Hasil Uji Regresi Logistik
Logistic Regression
Descriptive StatisticsN Minimum Maximum Mean Std. Deviation Statistic Statistic Statistic Std. Error Statistic
Hedging 72 ,00 1,00 ,05595 ,47471
DER 72 ,13 2,14 ,06332 ,53727
Growth 72 ,17 1213,00 16,66987 141,44853
Liquidity 72 ,44 7,01 ,18826 1,59747
Firm Size 72 2,51 236,02 5,23632 44,43166
Valid N (listwise) 72
Case Processing Summary
Unweighted Casesa N Percent
Selected Cases Included in Analysis 72 100,0
Missing Cases 0 ,0
Total 72 100,0
Unselected Cases 0 ,0
Total 72 100,0
a. If weight is in effect, see classification table for the total number of cases.
Dependent Variable Encoding
Original Value Internal Value
,00 0
(9)
Block 0: Beginning Block
Iteration Historya,b,cIteration -2 Log likelihood
Coefficients Constant
Step 0 1 91,669 -,667
2 91,658 -,693
3 91,658 -,693
a. Constant is included in the model. b. Initial -2 Log Likelihood: 91,658
c. Estimation terminated at iteration number 3 because parameter estimates changed by less than ,001.
Classification Tablea,b
Observed
Predicted
Hedging Percentage
Correct
,00 1,00
Step 0 Hedging ,00 48 0 100,0
1,00 24 0 ,0
Overall Percentage 66,7
a. Constant is included in the model. b. The cut value is ,500
Variables in the Equation
B S.E. Wald df Sig. Exp(B)
Step 1a X1 1,229 ,709 3,002 1 ,083 3,418
X2 -,002 ,004 ,178 1 ,673 ,998
X3 -,595 ,364 2,675 1 ,102 ,551
X4 ,026 ,015 3,058 1 ,080 1,026
Constant -1,022 1,253 ,665 1 ,415 ,360
(10)
Variables not in the Equation
Score Df Sig.
Step 0 Variables X1 21,002 1 ,000
X2 ,236 1 ,627
X3 16,481 1 ,000
X4 11,976 1 ,001
Overall Statistics 29,148 4 ,000
Block 1: Method = Enter
Iteration Historya,b,c,dIteration -2 Log likelihood
Coefficients
Constant X1 X2 X3 X4
Step 1 1 62,415 -1,419 1,319 -,001 -,201 ,012
2 59,032 -1,221 1,326 -,001 -,438 ,019
3 58,564 -1,043 1,244 -,002 -,570 ,024
4 58,547 -1,022 1,229 -,002 -,594 ,026
5 58,547 -1,022 1,229 -,002 -,595 ,026
a. Method: Enter
b. Constant is included in the model. c. Initial -2 Log Likelihood: 91,658
d. Estimation terminated at iteration number 5 because parameter estimates changed by less than ,001.
Omnibus Tests of Model Coefficients
Chi-square Dfs Sig.
Step 1 Step 33,111 4 ,000
Block 33,111 4 ,000
(11)
Model Summary
Step -2 Log likelihood
Cox & Snell R Square
Nagelkerke R Square
1 58,547a ,369 ,512
a. Estimation terminated at iteration number 5 because parameter estimates changed by less than ,001.
Hosmer and Lemeshow Test
Step Chi-square Df Sig.
1 8,209 8 ,413
Contingency Table for Hosmer and Lemeshow Test
Hedging = ,00 Hedging = 1,00
Total Observed Expected Observed Expected
Step 1 1 7 6,855 0 ,145 7
2 7 6,653 0 ,347 7
3 7 6,448 0 ,552 7
4 7 6,217 0 ,783 7
5 4 5,891 3 1,109 7
6 5 5,340 2 1,660 7
7 4 4,690 3 2,310 7
8 4 2,981 3 4,019 7
9 1 1,836 6 5,164 7
(12)
Classification Tablea
Observed
Predicted
Hedging Percentage
Correct
,00 1,00
Step 1 Hedging ,00 42 6 87,5
1,00 9 15 62,5
Overall Percentage 79,2
a. The cut value is ,500
Variables in the Equation
B S.E. Wald df Sig. Exp(B)
Step 1a X1 1,229 ,709 3,002 1 ,083 3,418
X2 -,002 ,004 ,178 1 ,673 ,998
X3 -,595 ,364 2,675 1 ,102 ,551
X4 ,026 ,015 3,058 1 ,080 1,026
Constant -1,022 1,253 ,665 1 ,415 ,360
a. Variable(s) entered on step 1: X1, X2, X3, X4.
Correlation Matrix
Constant X1 X2 X3 X4
Step 1 Constant 1,000 -,781 -,060 -,840 -,251
X1 -,781 1,000 -,028 ,572 -,078
X2 -,060 -,028 1,000 -,013 ,009
X3 -,840 ,572 -,013 1,000 -,010
(1)
SMGR
2011
0.35
26.34
2.64
19.66
2012
0.46
35.18
1.70
26.57
2013
0.41
15.85
1.88
30.79
2014
0.37
11.44
2.20
34.31
UNUR
2011
1.85
20.47
0.68
10.48
2012
2.02
14.34
0.66
11.98
2013
2.14
37.54
0.69
7.48
(2)
Lampiran 3
Hasil Uji Regresi Logistik
Logistic Regression
Descriptive Statistics
N Minimum Maximum Mean Std. Deviation Statistic Statistic Statistic Std. Error Statistic
Hedging 72 ,00 1,00 ,05595 ,47471
DER 72 ,13 2,14 ,06332 ,53727
Growth 72 ,17 1213,00 16,66987 141,44853
Liquidity 72 ,44 7,01 ,18826 1,59747
Firm Size 72 2,51 236,02 5,23632 44,43166
Valid N (listwise) 72
Case Processing Summary
Unweighted Casesa N Percent
Selected Cases Included in Analysis 72 100,0
Missing Cases 0 ,0
Total 72 100,0
Unselected Cases 0 ,0
Total 72 100,0
a. If weight is in effect, see classification table for the total number of cases.
Dependent Variable Encoding
Original Value Internal Value
,00 0
(3)
Block 0: Beginning Block
Iteration Historya,b,c
Iteration -2 Log likelihood
Coefficients Constant
Step 0 1 91,669 -,667
2 91,658 -,693
3 91,658 -,693
a. Constant is included in the model. b. Initial -2 Log Likelihood: 91,658
c. Estimation terminated at iteration number 3 because parameter estimates changed by less than ,001.
Classification Tablea,b
Observed
Predicted
Hedging Percentage
Correct
,00 1,00
Step 0 Hedging ,00 48 0 100,0
1,00 24 0 ,0
Overall Percentage 66,7
a. Constant is included in the model. b. The cut value is ,500
Variables in the Equation
B S.E. Wald df Sig. Exp(B)
Step 1a X1 1,229 ,709 3,002 1 ,083 3,418
X2 -,002 ,004 ,178 1 ,673 ,998
X3 -,595 ,364 2,675 1 ,102 ,551
X4 ,026 ,015 3,058 1 ,080 1,026
Constant -1,022 1,253 ,665 1 ,415 ,360
(4)
Variables not in the Equation
Score Df Sig.
Step 0 Variables X1 21,002 1 ,000
X2 ,236 1 ,627
X3 16,481 1 ,000
X4 11,976 1 ,001
Overall Statistics 29,148 4 ,000
Block 1: Method = Enter
Iteration Historya,b,c,d
Iteration -2 Log likelihood
Coefficients
Constant X1 X2 X3 X4
Step 1 1 62,415 -1,419 1,319 -,001 -,201 ,012
2 59,032 -1,221 1,326 -,001 -,438 ,019
3 58,564 -1,043 1,244 -,002 -,570 ,024
4 58,547 -1,022 1,229 -,002 -,594 ,026
5 58,547 -1,022 1,229 -,002 -,595 ,026
a. Method: Enter
b. Constant is included in the model. c. Initial -2 Log Likelihood: 91,658
d. Estimation terminated at iteration number 5 because parameter estimates changed by less than ,001.
Omnibus Tests of Model Coefficients
Chi-square Dfs Sig.
Step 1 Step 33,111 4 ,000
Block 33,111 4 ,000
(5)
Model Summary
Step -2 Log likelihood
Cox & Snell R Square
Nagelkerke R Square
1 58,547a ,369 ,512
a. Estimation terminated at iteration number 5 because parameter estimates changed by less than ,001.
Hosmer and Lemeshow Test
Step Chi-square Df Sig.
1 8,209 8 ,413
Contingency Table for Hosmer and Lemeshow Test
Hedging = ,00 Hedging = 1,00
Total Observed Expected Observed Expected
Step 1 1 7 6,855 0 ,145 7
2 7 6,653 0 ,347 7
3 7 6,448 0 ,552 7
4 7 6,217 0 ,783 7
5 4 5,891 3 1,109 7
6 5 5,340 2 1,660 7
7 4 4,690 3 2,310 7
8 4 2,981 3 4,019 7
9 1 1,836 6 5,164 7
(6)
Classification Tablea
Observed
Predicted
Hedging Percentage
Correct
,00 1,00
Step 1 Hedging ,00 42 6 87,5
1,00 9 15 62,5
Overall Percentage 79,2
a. The cut value is ,500
Variables in the Equation
B S.E. Wald df Sig. Exp(B)
Step 1a X1 1,229 ,709 3,002 1 ,083 3,418
X2 -,002 ,004 ,178 1 ,673 ,998
X3 -,595 ,364 2,675 1 ,102 ,551
X4 ,026 ,015 3,058 1 ,080 1,026
Constant -1,022 1,253 ,665 1 ,415 ,360
a. Variable(s) entered on step 1: X1, X2, X3, X4.
Correlation Matrix
Constant X1 X2 X3 X4
Step 1 Constant 1,000 -,781 -,060 -,840 -,251
X1 -,781 1,000 -,028 ,572 -,078
X2 -,060 -,028 1,000 -,013 ,009
X3 -,840 ,572 -,013 1,000 -,010