Prediksi Indeks Harga Penutupan Saham Perusahaan Sektor Perdagangan Berdasarkan Hasil Ramalan Net Foreign Buy

Pratama, Kevin Dio Rizky (2023) Prediksi Indeks Harga Penutupan Saham Perusahaan Sektor Perdagangan Berdasarkan Hasil Ramalan Net Foreign Buy. Other thesis, Institut Teknologi Sepuluh Nopember.

Text 10611710000120-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 September 2025. Download (1MB) | Request a copy

Abstract

Pasar modal memiliki peran penting bagi perekonomian suatu negara karena pasar modal merupakan pasar untuk berbagai instrumen keuangan jangka panjang yang bisa diperjualbelikan salah satunya adalah saham. Saham merupakan salah satu instrumen pasar modal yang paling popular. Saham dapat didefinisikan sebagai tanda penyertaan modal seseorang atau pihak (badan usaha) dalam suatu perusahaan atau perseroan terbatas. Dengan menyertakan modal tersebut, maka pihak tersebut memiliki klaim atas pendapatan perusahaan, klaim atas aset perusahaan, dan berhak hadir dalam Rapat Umum Pemegang SahamKomposisi kepemilikan saham di bursa saham Indonesia hingga saat ini memang masih didominasi oleh kepemilikan lokal daripada asing, begitu juga dengan total transaksinya. Total kepemilikan saham investor asing dan volume trading-nya lebih rendah dibandingkan investor lokal. Indeks harga penutupan saham perusahaan selalu mengalami perubahan di setiap harinya, maka perlu adanya model yang membantu investor untuk memprediksi indeks harga pada periode yang akan datang. Harga saham di Bursa Efek Indonesia sangat dipengaruhi oleh net foreign buy, sehingga untuk memprediksi harga saham suatu perusahaan juga dapat dilakukan pendekatan dengan net foreign buy, yaitu melalui persamaan regresi. Sehingga dengan mengetahui nilai ramalan net foreign buy maka dapat diprediksi indeks harga penutupan perusahaan sektor perdagangan. Penelitian ini dilakukan dengan memprediksi indeks harga penutupan saham PT United Tractors Tbk dengan kode saham UNTR berdasarkan hasil ramalan net foreign buy saham UNTR menggunakan metode ARIMA Box Jenkins dan regresi linear sederhana Hasil analisis menunjukkan bahwa model peramalan terbaik adalah ARIMA(1,0,0) dimana model peramalan tersebut telah memenuhi asumsi residual. Hasil ramalan net foreign buy mengalami penurunan. Model regresi yang terbentuk mampu menjelaskan keragaman data sebesar 97,43%. Berdasarkan hasil ramalan, diperoleh prediksi indeks harga penutupan saham yang menunjukkan hasil prediksi tertinggi pada periode 1 Januari 2021 sebesar 26517,49 rupiah
====================================================================================================================================
The capital market has an important role for the economy of a country because the capital market is a market for various long-term financial instruments that can be traded, one of which is stocks. Stocks are one of the most popular capital market instruments. Shares can be defined as a sign of the equity participation of a person or party (business entity) in a company or limited liability company. By including this capital, the party has claims on company income, claims on company assets, and has the right to attend the General Meeting of Shareholders. The composition of share ownership on the Indonesian stock exchange is still dominated by local rather than foreign ownership, as well as total transactions. Foreign investors' total shareholding and trading volume is lower than that of local investors. The closing price index of the company's shares always changes every day, so there is a need for a model that helps investors to predict the price index in the coming period. The stock price on the Indonesia Stock Exchange is strongly influenced by net foreign buy, so to predict a company's stock price an approach can also be taken with net foreign buy, namely through the regression equation. So by knowing the forecast value of net foreign buy, it can predict the closing price index of companies in the trade sector. This research was conducted by predicting the closing price index of PT United Tractors Tbk shares with the UNTR stock code based on the forecast results of UNTR net foreign buy shares using the ARIMA Box Jenkins method and simple linear regression. The results of the analysis show that the best forecasting model is ARIMA(1,0,0) where the forecasting model meets the residual assumption. Net foreign buy forecast results have decreased. The regression model formed is able to explain the diversity of the data by 97.43%. Based on the forecast results, the closing price index prediction is obtained which shows the highest predicted results in the period January 1, 2021 of 26517.49 rupiah

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARIMA Box-Jenkins, Harga Penutupan Saham, Net Foreign Buy, Regresi Linier Sederhana; ARIMA Box-Jenkins, Stock Closing Price, Net Foreign Buy, Simple Linear Regression
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HA Statistics > HA31.3 Regression. Correlation
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Kevin Dio Rizky Pratama
Date Deposited:	03 Aug 2023 15:10
Last Modified:	28 Aug 2023 04:30
URI:	http://repository.its.ac.id/id/eprint/103172

Actions (login required)

View Item