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Nama : Alvin Alvin Febriano Kelas : MM MM – 65 65 B NIM : 00000009359 Subject : imite! Arbitra"e in #$uit% Mar&ets Arbitrase a!ala' (ra&te& men"ambil &euntun"an !ari sebua' (erbe!aan 'ar"a untu& satu obje& !i (asar) Arbitrase meru(a&an sala' satu i!e sentral !i !alam e&onomi &euan"an* !an meru(a&an (ra&te& %an" men%ebab&an tercetusn%a law of one price !an price !an ju"a ber(eran !alam menj menja" a"aa (asar (asar teta( teta( e+isi e+isien en)) ,ala ,alam m (en" (en"er erti tian an %an" %an" sesun sesun"" ""u' u'n% n%a* a* arbit arbitras rasee ti!a ti!a& & membutu'& membutu'&an an mo!al !an bersi+at bersi+at risk free &arena free &arena !en"an membeli !an menjual suatu surat ber'ar"a (a!a 'ar"a %an" berbe!a !en"an ce(at* ma&a ti!a& a!a mo!al %an" !i(erlu&an !an 'al itu ju"a bersi+at risk free) free) Namun (ra&te& arbitrase se(erti ini 'an%a terja!i (a!a (asar mo!al mo!al %an" %an" sem(ur sem(urna) na) -a!a -a!a &en%a &en%ataan taann% n%a* a* imperfect imperfect informatio information n !a !an market frictions frictions men%ebab&an arbitrase teta( membutu'&an mo!al !an ju"a berisi&o) Imperfect information !an information !an market friction membatasi friction membatasi terja!in%a arbitrase !en"an !ua cara: Keti&a a!a &eti!a&(astian men"enai (erbe!aan 'ar"a atau &eti&a !ibutu'&an bia%a %an" • besar untu& mem(elajari (otensi men"ambil &euntun"an melalui arbitrase* ma&a (ela&u arbitrase arbitrase cen!erun" cen!erun" en""an mela&u&an mela&u&an arbitrase) Keti!a&(astian Keti!a&(astian men"enai men"enai return return %an" a&an a&an !i(ero !i(erole' le' ju"a ju"a !a(at !a(at men%e men%ebab bab&an &an (ara (ara (ela&u (ela&u arbitr arbitrase ase en""an en""an mela&u mela&u&an &an arbitrase) Keti& Keti&aa (ra& (ra&te& te& arbi arbitr trase ase su!a su!a' ' !ijal !ijalan an&a &an* n* ma&a ma&a imperfect imperfect information information !a !an market • frictions a&an a&an men! men!or oron on" " terja terja!i !in% n%aa s(esi s(esial alis isasi asi)) S(esi S(esial alisa isasi si a&an a&an memb membata atasi si !iversi+i&asi (orto+olio (ela&u arbitrase) SAMPEL PENELITIAN
.ntu& mem(elajari &eterbatasan (ra&te& arbitrase !i !alam (asar mo!al* -enulis men"ambil sam(el !imana nilai (asar !ari parent !ari parent company lebi' company lebi' ren!a' !ari nilai &e(emili&an sa'amn%a !i subsidiary company) company) Situ Situasi asi ini !i&e !i&ena nall seba" seba"ai ai negati negative ve stub stub values values)) ,i(ero ,i(erole' le' / &eja!ian &eja!ian se(erti ini !alam rentan" 1a&tu antara ta'un 29/5 sam(ai ta'un 000) / &eja!ian inila' %an" !ija!i&an sam(el ole' -enulis) Selanj Selanjutn utn%a %a** -enuli -enuliss terus terus men"am men"amati ati (er"er (er"era&a a&an n 'ar"a 'ar"a sa'am sa'am !ari !ari parent company !an subsidiary company 'in""a 'in""a terja!i terja!i (eristi (eristi1a 1a !imana !imana 'ubun" 'ubun"an an antara antara &e!ua &e!ua (erusa' (erusa'aan aan tersebut su!a' 'ilan" atau 'in""a selisi' 'ar"a tersebut 'ilan") HASIL PENELITIAN
-enelitian %an" !ila&u&an -enulis menunju&&an bebera(a 'asil seba"ai beri&ut: A!a suatu bia%a %an" membatasi arbitrase !i (asar sa'am) • Negative stub values bu&a bu&an n meru meru(a (a&a &an n (elu (eluan an" " arbi arbitr trase ase %an" %an" bersi bersi+a +att risk risk free free) • ubun" ubun"an an antara antara parent company !an subsidiary company company !a(at 'ilan" tan(a a!an%a (eruba'an 'ar"a sa'am !ari parent company) company) Seba"a Seba"aii conto' conto'** !ari !ari bebera( bebera(aa sam(el sam(el -enuli -enulis* s* parent company company men""una&an men""una&an &e(emili&an &e(emili&an sa'amn%a sa'amn%a !i subsidiary company seba"ai a"unan namun &emu!ian men"alami &eban"&rutan) A&ibatn%a* 'ubun"an antara parent company company !an subsidiary !an subsidiary company company 'ilan" sebelum 'ar"a 'ar"a sa'am parent company ber"era& men!e&ati nilai &e(emili&an sa'amn%a !i subsidiary !i subsidiary company) company) Sean!ai Sean!ain% n%aa (un 'ar"a 'ar"a sa'am sa'am parent company a&'irn%a a&'irn%a ber"era& 'in""a sama !en"an !en"an • nila nilaii &e(e &e(emi mili li&a &an n sa'a sa'amn mn% %a !i subsidiary company* company* renta rentan" n" 1a&t 1a&tun un%a %a (un (un san" san"at at bervariasi) 4atarata rentan" r entan" 1a&tun%a a!ala' 36 'ari* sementara rentan" 1a&tu minimal selama 2 'ari !an ma&simal )96 'ari) 7i&a rentan" 1a&tun%a terlalu lama* bu&an ti!a& mun"&in (a!a a&'irn%a investasi !i negative stub values 'an%a values 'an%a men"'asil&an return %an" return %an"
lebi' ren!a' !ari risk free rate) Keti!a&(astian return meru(a&an (en%ebab utama teta( berta'ann%a negative stub values) Secara "aris besar* !a(at !isim(ul&an a!a bebera(a risi&o !ari investasi !i negative stub values: Fundamental risk : men"acu (a!a &emun"&inan bera&'irn%a 'ubun"an antara parent • company !en"an subsidiary company sebelum 'ar"a sa'am parent company ber"era& men!e&ati nilai &e(emili&an sa'amn%a !i subsidiary company) Horizon risk : risi&o %an" !i'a!a(i (ela&u arbitrase ji&a rentan" 1a&tu (er"era&an 'ar"a • sa'am parent company 'in""a men!e&ati nilai &e(emili&an sa'amn%a !i subsidiary company tern%ata san"at (anjan" !an (er"era&an 'ar"an%a (un san"at ber+lu&tuasi) 7i&a rentan" 1a&tu tersebut san"at (anjan"* ma&a return %an" a&an !i(erole' (ela&u arbitrase a&an ter"erus) Margin risk : volatilitas 'ar"a sa'am parent company !an rentan" 1a&tu %an" (anjan" • 'in""a 'ar"a sa'am parent company men!e&ati nilai &e(emili&an sa'amn%a !i subsidiary company !a(at men%ebab&an (ela&u arbitrase men"'a!a(i margin call * !imana (ela&u arbitrase ter(a&sa 'arus menamba' collateral atau menjual seba"ian &e(emili&an sa'amn%a) 7i&a (ela&u arbitrase ter(a&sa 'arus menjual seba"ian &e(emili&an sa'amn%a sebelum 'ar"a sa'am parent company nai&* ma&a (ela&u arbitrase !a(at men!erita &eru"ian) Buyin risk : risi&o forced termination %an" !isebab&an &arena &eti!a&mam(uan (ela&u • arbitrase untu& menja"a short position) KOMENTAR MAHASISWA
Law of ne !rice a!ala' sebua' &onse( e&onomi* %an" men%ata&an ba'1a sebua' baran" %an" sama 'arus !ijual !en"an 'ar"a %an" sama !i seluru' lo&asi) Law of ne !rice ber!asar&an (a!a asumsi ba'1a (erbe!aan 'ar"a a&an !ieliminasi ole' (emain (asar melalui (roses arbitrase) Seba"ai conto'* a(abila a!a satu baran" tertentu %an" !ijual !en"an 'ar"a %an" berbe!a (a!a !ua lo&asi %an" berbe!a* sementara ti!a& a!a bia%a trans(ortasi !an ti!a& a!a barrier !i antara &e!ua lo&asi tersebut) ,en"an &on!isi !emi&ian* ma&a (ara (ela&u (asar a&an mela&u&an (roses arbitrase: seluru' (ela&u arbitrase a&an membeli baran" !ari lo&asi %an" 'ar"a baran"n%a lebi' mura' untu& !ijual &embali !i lo&asi %an" 'ar"a baran"n%a lebi' ma'al) Sementara (ara (embeli a&an cen!erun" membeli !i lo&asi %an" 'ar"a baran"n%a lebi' mura' !an en""an membeli !i lo&asi %an" 'ar"a baran"n%a lebi' ma'al) al ini a&an menin"&at&an demand !i lo&asi %an" 'ar"a baran"n%a lebi' mura' !an ju"a a&an menin"&at&an supply !i lo&asi %an" 'ar"a baran"n%a lebi' ma'al) -a!a a&'irn%a* 'ar"a baran" !i lo&asi %an" 'ar"an%a lebi' mura' a&an nai&) Sementara 'ar"a baran" !i lo&asi %an" 'ar"an%a lebi' ma'al a&an turun 'in""a a&'irn%a a&an terca(ai 'ar"a %an" sama !i antara &e!ua lo&asi) Ber!asar&an (enjelasan ini* jelas ba'1a (ra&te& arbitrase meru(a&an asumsi !asar %an" !i"una&an !i !alam Law of ne !rice) Namun !en"an a!an%a &eterbatasan !alam (ra&te& arbitrase se(erti %an" su!a' !ijelas&an !i atas* a(a&a' Law of ne !rice !a(at berjalan !en"an sem(urna8 Meman" jurnal !i atas 'an%a menjelas&an &eterbatasan arbitrase secara s(esi+i& !i (asar mo!al* !imana 'ar"a sa'am parent company lebi' ren!a' !ari nilai &e(emili&ann%a !i subsidiary company) Namun mun"&in saja &eterbatasan arbitrase tersebut ju"a terja!i !i !alam (asar(asar lainn%a) al ini menari& untu& !icari ta'u lebi' lanjut &arena ji&a meman" &eterbatasan arbitrase tersebut ju"a terja!i !i (asar(asar lainn%a* ma&a Law of ne !rice ti!a& !a(at berjalan !en"an sem(urna) Selain Law of ne !rice* satu la"i teori !i !alam e&onomi %an" ber&aitan erat !en"an (ra&te& arbitrase a!ala' "fficient#Market Hypothesis) "fficient Market Hypothesis men%ata&an ba'1a ti!a& mun"&in untu& men"ala'&an (asar &arena e+isiensi !i (asar sa'am a&an
men%ebab&an 'ar"a sa'am selalu men%esuai&an !iri !an mencermin&an seluru' in+ormasi %an" relevan) Menurut "fficient Market Hypothesis* 'ar"a sa'am selalu !i(er!a"an"&an !i fair value* se'in""a ti!a& mun"&in ba"i investor untu& membeli sa'am (a!a 'ar"a %an" undervalue atau menjual sa'am !i 'ar"a %an" overvalue) -roses arbitrase meru(a&an sala' satu i!e sentral !i !alam "fficient#Market Hypothesis &arena (roses arbitrasela' %an" menja"a (asar teta( e+isien) Seba"ai conto'* ji&a a!a 'ar"a sa'am %an" undervalue* ma&a (roses arbitrase a&an men%ebab&an 'ar"a sa'am tersebut !en"an ce(at ber"era& menuju fair value) Sebali&n%a* ji&a a!a 'ar"a sa'am %an" overvalue* ma&a (roses arbitrase ju"a a&an men%ebab&an 'ar"a sa'am tersebut !en"an ce(at menuju fair value) Namun se(erti tela' !ijelas&an !i jurnal* tern%ata a!a sejumla' &eterbatasan !alam (roses arbitrase) Sala' satu conto' (en%ebab terja!in%a &eterbatasan !alam (roses arbitrase %an" !isebut&an !i jurnal a!ala' 'ubun"an antara parent company !an subsidiary company tern%ata bera&'ir sebelum 'ar"a sa'am parent company menuju fair value) Atau sean!ain%a (un 'ar"a sa'am parent company bisa menca(ai fair value* rentan" 1a&tun%a bisa san"at (anjan" se'in""a return %an" !iterima ole' (ela&u arbitrase !a(at lebi' &ecil !ari risk free rate) ,en"an !i&eta'ui ba'1a a!a &eterbatasan !alam (roses arbitrase* ma&a (erlu !i(ertan%a&an a(a&a' (asar sa'am meman" selalu e+isien8 A(ala"i (roses arbitrase %an" meru(a&an sala' satu i!e sentral !i !alam menja"a (asar e+isien* tern%ata terbu&ti memili&i &eterbatasan)
