PERILAKU HARGA KONTRAK GULIR INDEKS EMAS DI BURSA BERJANGKA JAKARTA

Abstract

The purposes of this study are to test the efficiency of the Gold Index Rolling Spot contract price in the Jakarta Futures Exchange and to seek what factors can affect the fluctuation of Gold Index roll-ing contract price. For this research, ARIMA and GARCH models are used as the basis for the analyses. The results of the study indicate that by using weekly data, the efficient market (random walk) hypothesis was rejected for the Gold In-dex Rolling Spot contract in the Jakarta Futures Exchange; it means that the market is inefficient. Technical analysis is able to use for predicting future price changes. Furthermore, by using monthly data, the fluctuation of Gold Index Roll-ing Spot contract return are significantly affected by inflation rate and interest rate of Bank Indonesia Certificate and Jakarta Composite Index.