PERBANDINGAN EFEKTIVITAS STRATEGI HEDGING MENGGUNAKAN OPSI PADA SAHAM BBCA DALAM KONDISI PASAR NORMAL DAN BEARISH

Abstract

Perbedaan karakteristik pasar normal dan bearish menyebabkan efektivitas strategi hedging berbeda pada setiap kondisi pasar. Penelitian ini bertujuan membandingkan efektivitas strategi protective put, bear put spread, dan collar pada saham BBCA berdasarkan profit maksimum, Value at Risk (VaR), dan Tail Value at Risk (TVaR). Harga opsi dihitung menggunakan model Black-Scholes, sedangkan risikonya diukur menggunakan VaR dan TVaR. Hasil penelitian menunjukkan bahwa kondisi pasar normal memiliki rata-rata log return yang lebih tinggi, sedangkan kondisi pasar bearish memiliki volatilitas lebih tinggi. Strategi bear put spread menghasilkan profit maksimum tertinggi, sedangkan strategi collar menghasilkan tingkat risiko terendah. Dengan demikian, strategi bear put spread lebih sesuai bagi investor yang berorientasi pada keuntungan, sedangkan strategi collar lebih sesuai bagi investor yang mengutamakan pengendalian risiko.

Differences in the characteristics of normal and bearish markets lead to differences in the effectiveness of hedging strategies. This study aims to compare the effectiveness of the protective put, bear put spread, and collar strategies for BBCA stock in terms of maximum profit, Value at Risk (VaR), and Tail Value at Risk (TVaR). Option prices are calculated using the Black-Scholes model, while risk is evaluated using VaR and TVaR. The results show that normal market conditions have a higher average log return, whereas bearish market conditions exhibit higher volatility. The bear put spread strategy generates the highest maximum profit, while the collar strategy produces the lowest level of risk. Therefore, the bear put spread strategy is more suitable for investors seeking higher potential returns, whereas the collar strategy is more appropriate for investors who prioritise risk protection.