Determinant of Forex Rolling Spot Contracts on Indonesia Commodity and Derivative Exchange (ICDX)
Journal Title: Journal of Economics, Finance and Management Studies - Year 2023, Vol 6, Issue 08
Abstract
One of the derivative futures contract types is the Forex Rolling Spot Contracts (FRSC) traded in the Indonesia Commodity and Derivatives Exchange (ICDX). So far, no research has been conducted on this product type, which can be used as an investor reference. This study aims to find empirical evidence of how far macroeconomic variables affect the returns of ten FRSC investment instruments: AUD/USD, EUR/USD, GBP/USD, USD/JPY, USD/CHF, GBP/JPY, EUR/JPY, AUD/NZD, NZD/USD, and USD/CAD traded at ICDX during the period 2021 - 2022. The statistical analysis method used in this research is quantitative with descriptive explanations. Data collection techniques were obtained from secondary data through library research. Secondary data was obtained through the internet sites of ICDX, Indonesia Stock Exchange (IDX), Bank Indonesia, London Bullion Metal Association, Bloomberg, and the US Energy Information Administration. The analytical method used in this study is panel data analysis. The study type was an explanatory study with data processing using the STATA application. The study results showed that the determinant of interest rate and inflation did not affect FRSC return; JCI return and gold price return had a significant positive on FRSC return; bond index return and crude oil price return had a negative effect on FRSC return.
Authors and Affiliations
Dr. Andam Dewi Syarif, MM, Najim Nur Fauziah, SE, MSc. IBF
Keywords
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- EP ID EP727304
- DOI 10.47191/jefms/v6-i8-41
- Views 58
- Downloads 0
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