EFEKTIVITAS HEDGING FORWARD DAN NATURAL HEDGING DALAM MEMITIGASI VOLATILITAS RETURN ON ASSETS DAN RETURN ON EQUITY PADA EMITEN MANUFKTUR DI BURSAN EFEK INDONESIA PERIODE 2020- 2024

Abstrak

Volatilitas nilai tukar rupiah terhadap mata uang asing merupakan salah satu sumber risiko finansial utama bagi perusahaan manufaktur di Indonesia yang memiliki aktivitas ekspor dan impor, karena fluktuasi nilai tukar yang tidak terkendali dapat memengaruhi struktur biaya, arus kas, serta stabilitas kinerja keuangan perusahaan, khususnya Return on Assets (ROA) dan Return on Equity (ROE). Penelitian ini bertujuan untuk mengkaji efektivitas mekanisme hedging, yaitu kontrak forward dan pendekatan lindung nilai alami, dalam memitigasi fluktuasi ROA dan ROE pada emiten sektor manufaktur yang terdaftar di Bursa Efek Indonesia selama periode 2020–2024. Penelitian menggunakan pendekatan kuantitatif dengan metode regresi data panel yang diolah menggunakan perangkat lunak EViews. Sampel penelitian dipilih secara purposive dan mencakup 15 perusahaan manufaktur yang memiliki eksposur valuta asing lebih dari 20 persen terhadap pendapatan. Hasil penelitian diharapkan dapat memberikan bukti empiris mengenai peran strategi hedging dalam mengurangi risiko finansial akibat fluktuasi nilai tukar serta menjadi dasar pengambilan keputusan bagi perusahaan dalam pengelolaan risiko valuta asing dan peningkatan stabilitas kinerja keuangan.

The volatility of the rupiah exchange rate against foreign currencies is one of the main sources of financial risk for manufacturing companies in Indonesia that have export and import activities, because uncontrolled exchange rate fluctuations can affect the cost structure, cash flow, and financial performance stability of companies, particularly Return on Assets (ROA) and Return on Equity (ROE). This study aims to examine the effectiveness of hedging mechanisms, namely forward contracts and natural hedging approaches, in mitigating fluctuations in ROA and ROE in manufacturing issuers listed on the Indonesia Stock Exchange during the period 2020–2024. The study uses a quantitative approach with panel data regression methods processed using EViews software. The research sample was selected purposively and included 15 manufacturing companies with foreign currency exposure of more than 20 percent of their revenue. The results of this study are expected to provide empirical evidence of the role of hedging strategies in reducing financial risks due to exchange rate fluctuations and to serve as a basis for companies' decision-making in managing foreign exchange risks and improving financial performance stability.