Rachmadini, Yuniar Ayu (2024) Analisis Survival Lama Perusahaan Sub-Industri Produksi Batubara Tercatat di BEI dengan Metode Generalized Extreme Value Regression. Diploma thesis, Institut Teknologi Sepuluh Nopember.
![[thumbnail of 2043201103-Undergraduate_Thesis.pdf]](http://repository.its.ac.id/style/images/fileicons/text.png) |
Text
2043201103-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only Download (1MB) | Request a copy |
Abstract
Saham batubara tergolong siklikal karena pergerakan harganya mengikuti pergerakan ekonomi. Pada tahun 2023, World Bank memprediksi harga batubara akan terus turun hingga 2024 karena kebijakan carbon pricing, turunnya harga gas bumi, menurunnya permintaan dari negara importir utama, serta meningkatnya dolar AS. Dengan kondisi ini, penting bagi perusahaan sektor batubara untuk melakukan antisipasi agar kinerja keuangan tetap stabil. Selama 2017-2020, sektor ini memiliki jumlah perusahaan delisting terbanyak di bursa efek akibat kinerja keuangan yang buruk. Penelitian ini bertujuan untuk menganalisis laporan keuangan perusahaan sektor batubara guna mengukur risiko delisting menggunakan analisis survival dengan pendekatan multiperiod generalized extreme value regression (GEVR). Data yang digunakan adalah laporan keuangan perusahaan sektor batubara yang tercatat di BEI dari kuartal pertama 2016 hingga kuartal keempat 2022. Variabel yang digunakan meliputi rasio likuiditas, rasio profitabilitas, rasio aktivitas, rasio solvabilitas, BI Rate, dan Produk Domestik Bruto (PDB). Hasil penelitian menunjukkan perbedaan jumlah yang signifikan antara perusahaan survive dan delisting, dengan perusahaan delisting memiliki nilai rata-rata rasio keuangan lebih rendah. Kurva Kaplan-Meier menunjukkan peluang survive perusahaan sektor batubara di BEI sebesar 76,64%. Pemodelan menggunakan GEVR menunjukkan ada minimum satu variabel prediktor yang signifikan, dan backward elimination mengidentifikasi tujuh variabel signifikan yaitu CR, WCLTD, GPM, OPM, NPM, BI-Rate, dan PDB. Model yang terbentuk menunjukkan nilai rata-rata survival perusahaan sektor batubara di BEI sebesar 77%, menunjukkan kinerja sektor ini masih baik dan aman untuk investasi. Perusahaan yang direkomendasikan untuk investasi adalah ADMR, ADRO, BYAN, GEMS, INDY, ITMG, KKGI, MCOL, DSSA, PTBA, SMMT, BSSR, IATA, MBAP, dan ARII, sementara AIMS dan HRUM tidak direkomendasikan karena kondisi yang tidak stabil dan berpotensi suspend dari BEI.
============================================================
Coal stocks are classified as cyclical because their price movements follow economic movements. In 2023, the World Bank predicts that coal prices will continue to fall until 2024 due to carbon pricing policies, falling natural gas prices, declining demand from major importing countries, and the rising US dollar. Under these conditions, it is important for coal sector companies to anticipate so that financial performance remains stable. During 2017-2020, this sector had the highest number of companies delisted on the stock exchange due to poor financial performance. This research aims to analyze the financial reports of coal sector companies to measure the risk of delisting using survival analysis with a multiperiod generalized extreme value regression (GEVR) approach. The data used are financial reports of coal sector companies listed on the IDX from the first quarter of 2016 to the fourth quarter of 2022. The variables used include liquidity ratios, profitability ratios, activity ratios, solvency ratios, BI Rate, and Gross Domestic Product (GDP). The research results show a significant difference in numbers between surviving and delisting companies, with delisting companies having a lower average value of financial ratios. The Kaplan-Meier curve shows that the chance of survival for coal sector companies on the IDX is 76.64%. Modeling using GEVR shows that there is a minimum of one significant predictor variable, and backward elimination identifies seven significant variables, namely CR, WCLTD, GPM, OPM, NPM, BI-Rate, and GDP. The model formed shows that the average survival value of coal sector companies on the IDX is 77%, indicating that the performance of this sector is still good and safe for investment. Companies recommended for investment are ADMR, ADRO, BYAN, GEMS, INDY, ITMG, KKGI, MCOL, DSSA, PTBA, SMMT, BSSR, IATA, MBAP, and ARII, while AIMS and HRUM are not recommended due to unstable conditions and potential suspended from IDX.
| Item Type: | Thesis (Diploma) |
|---|---|
| Uncontrolled Keywords: | Analisis Survival, Batubara, Delisting Time, Generalized Extreme Value Regression |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA31.3 Regression. Correlation H Social Sciences > HA Statistics > HA31.7 Estimation H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance > HG4910 Investments |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Yuniar Ayu Rachmadini |
| Date Deposited: | 04 Aug 2024 10:16 |
| Last Modified: | 04 Aug 2024 10:16 |
| URI: | http://repository.its.ac.id/id/eprint/110106 |
Actions (login required)
 |
View Item |