Febriana, Auriel (2024) Analisis Kointegrasi Dengan Model Vector Autoregressive (VAR) Dan Vector Error Correction Model (VECM) Pada Bursa Saham Kawasan Asia Sebagai Strategi Diversifikasi Portofolio. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Pasar modal memiliki peranan penting dalam menggerakkan perekonomian suatu negara. Pasar modal merupakan aktivitas jual beli efek, seperti saham dan obligasi. Aktivitas ini dilakukan di suatu sistem yang disebut bursa saham. Bursa saham di suatu negara umumnya memiliki hubungan jangka panjang atau kointegrasi dengan pasar saham negara lainnya yang berada dalam satu wilayah regional. Pemilihan saham pada portofolio yang salah atau memiliki hubungan jangka panjang memiliki risiko yang besar. Uji kointegrasi Johansen merupakan salah satu metode yang bertujuan untuk mengamati keseimbangan jangka panjang atau hubungan jangka panjang (long-run equilibrium) antara dua variabel atau lebih. Pada penelitian ini dilakukan analisis keberadaan hubungan jangka panjang atau kointegrasi bursa saham antarnegara dengan nilai kapitalisasi pasar tertinggi di setiap kawasan Asia sebagai strategi diversifikasi portofolio yang optimal dengan menggunakan data harga penutupan harian indeks harga saham di tiga negara Asia Timur, yaitu pasar saham China, Jepang, dan Korea Selatan; tiga negara di Asia Tenggara, yaitu pasar saham Indonesia, Singapura, dan Thailand; serta tiga negara di Asia Selatan, yaitu pasar saham India, Bangladesh, dan Pakistan periode 1 Januari 2021 – 31 Desember 2023. Hasil penelitian menunjukkan bahwa tidak ada hubungan kointegrasi antara bursa saham di kawasan Asia Timur, Asia Tenggara, dan Asia Selatan sehingga digunakan pemodelan menggunakan Vector Autoregressive (VAR). Namun, terdapat hubungan kointegrasi antara gabungan dari negara di masing-masing kawasan, yaitu Jepang, Singapura, India dan Jepang, Thailand, India sehingga indeks-indeks pada kelompok ini dilakukan pemodelan dengan menggunakan Vector Error Correction Model (VECM). Dengan adanya analisis kointegrasi ini diharapkan dapat membantu investor dalam mempertimbangkan saham-saham yang dapat dipilih sebagai strategi diversifikasi portofolio.
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The capital market plays an important role in driving a country's economy. The capital market is the activity of buying and selling securities, such as stocks and bonds. This activity is carried out in a system called a stock exchange. Stock exchanges in a country generally have a long-term relationship or cointegration with other countries' stock markets that are in one regional area. Choosing stocks in the wrong portfolio or having a long-term relationship has a great risk. The Johansen cointegration test is one of the methods that aims to observe the long-run equilibrium between two or more variables. This study analyzes the existence of a long-term relationship or cointegration of stock exchanges between countries with the highest market capitalization value in each Asian region as an optimal portfolio diversification strategy using daily closing price data of stock price indices in three East Asian stock markets, which are China, Japan, and South Korea; Southeast Asia stock markets, which are Indonesia, Singapore, and Thailand; and South Asia stock markets, which are India, Bangladesh, and Pakistan for the period January 1, 2021 - December 31, 2023. The results show that there is no co-integration relationship between stock exchanges in East Asia, Southeast Asia, and South Asia so that modeling using Vector Autoregressive (VAR) is used. However, there is a cointegration relationship between a combination of countries in each region, which are Japan, Singapore, India and Japan, Thailand, India so that the indices in this group are modeled using the Vector Error Correction Model (VECM). This cointegration analysis is expected to help investors in considering stocks that can be selected as a portfolio diversification strategy.
Item Type: | Thesis (Other) |
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Uncontrolled Keywords: | Diversifikasi Internasional, Uji Kointegrasi Johansen, Uji Kausalitas Granger, Vector Autoregressive (VAR), Vector Error Correction Model (VECM), Granger Causality Test, International Diversification, Johansen Cointegration Test, Vector Autoregressive (VAR), Vector Error Correction Model (VECM) |
Subjects: | Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) |
Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
Depositing User: | Auriel Febriana |
Date Deposited: | 01 Aug 2024 02:27 |
Last Modified: | 01 Aug 2024 02:27 |
URI: | http://repository.its.ac.id/id/eprint/110168 |
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