Pustaka Ilmiah Universitas Padjadjaran

Abstrak

Investasi Kontrak Futures Emas Dengan Menggunakan Metode Capital Asset Pricing Model (CAPM)

ABSTRACT. The study of the gold futures contract investment, especially in terms of return and risk in Indonesia is not much. The lack of studies as well as public interest in the gold futures contract is still low even though gold is a commodity that is relatively able to withstand market shocks. This paper aims to analyze investment gold futures contracts using two methods of Capital Asset Pricing Model (CAPM), which is the conventional CAPM and four-moment CAPM . The analysis is done by looking at the trend of the return and risk of the gold futures contract for five years of observation (2008-2012) as measured by the two methods and see the level of compliance against actual data to determine which model is more accurate. The results showed that the risk of a gold futures contract is calculated using both models tend to increase . In addition, the four-moment CAPM also calculated the value koskewness () and kokurtosis () as factors influencing the return expectations. Value koskewness experiencing a rising trend while kokurtosis experiencing a downward trend. Both trends indicate that the investment value of gold futures contracts tend to be secure in generating investor return expectations as desired. Level according to the four-moment CAPM always showed higher values than the conventional CAPM , the four-moment CAPM model is a better model for measuring risk and return of gold futures contracts .