Yulianto, Natasya Claudia (2025) Analisis Risiko Sistemik Antar Saham Subsektor Industri Minyak-Gas dan Batu Bara Menggunakan Conditional Value-at-Risk dengan Pendekatan Regresi Kuantil. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Saham merupakan salah satu instrumen investasi yang diminati karena potensi keuntungannya yang tinggi, namun juga disertai risiko besar, termasuk risiko sistemik yang dapat menyebar antar perusahaan. Subsektor minyak, gas, dan batu bara menjadi salah satu subsektor vital yang menarik minat investor karena perannya dalam pasokan energi nasional, meskipun volatilitas harga komoditas membuat risiko investasinya cukup tinggi. Penelitian ini bertujuan untuk menganalisis risiko individual dan sistemik saham-saham subsektor minyak, gas, dan batu bara yang terdaftar di Bursa Efek Indonesia. Estimasi risiko individu dilakukan dengan pendekatan Value-at-Risk (VaR) berbasis Extreme Value Theory (EVT), sementara keterkaitan antar saham dianalisis menggunakan uji kausalitas Granger. Risiko sistemik diukur melalui pendekatan Conditional Value-at-Risk (CoVaR) dan Delta CoVaR (ΔCoVaR) menggunakan regresi kuantil. Hasil penelitian menunjukkan bahwa sebagian besar saham mencatat return harian positif, dengan CUAN sebagai saham dengan return dan volatilitas tertinggi. Uji kausalitas menunjukkan bahwa hanya 8,92% pasangan saham memiliki hubungan yang signifikan, mencerminkan keterhubungan return yang selektif dan tidak merata. Estimasi risiko individu melalui VaR menunjukkan bahwa CUAN secara konsisten memiliki potensi kerugian harian tertinggi, sedangkan BYAN mencatat risiko kerugian terendah, mencerminkan profil risiko yang paling stabil di antara seluruh saham. Dalam konteks risiko sistemik, ADRO dan CUAN mencatat rata-rata nilai CoVaR tertinggi, menandakan potensi kerugian besar saat pasar berada dalam kondisi ekstrem. Sementara itu, GEMS dan PGAS menunjukkan nilai CoVaR paling rendah, mencerminkan risiko sistemik yang lebih terbatas. Selanjutnya, estimasi ΔCoVaR mengidentifikasi BYAN dan DSSA sebagai saham dengan tambahan risiko sistemik tertinggi. Selain itu, hasil backtesting menunjukkan bahwa model VaR lebih sesuai untuk kuantil yang sangat ekstrem, sementara CoVaR menunjukkan stabilitas yang lebih baik pada kuantil yang kurang ekstrem namun tetap dalam kategori risiko tinggi.
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Stocks are one of the most popular investment instruments due to their high return potential, yet they also carry considerable risks, including systemic risk that can spread across companies. The oil, gas, and coal subsector is considered vital and attracts investor interest due to its role in the national energy supply, although commodity price volatility leads to relatively high investment risk in this subsector. This study aims to analyze the individual and systemic risks of stocks in this subsector listed on the Indonesia Stock Exchange (IDX). Individual risk is estimated using the Value-at-Risk (VaR) approach based on Extreme Value Theory (EVT), while inter-stock return relationships are analyzed using the Granger Causality Test. Systemic risk is measured using the Conditional Value-at-Risk (CoVaR) and Delta CoVaR (ΔCoVaR) approaches through quantile regression. The results show that most stocks recorded positive average daily returns, with CUAN showing the highest return and volatility. The Granger causality test reveals that only 8.92% of stock pairs have statistically significant relationships, indicating selective and uneven interdependencies. VaR results indicate that CUAN consistently exhibits the highest potential daily loss, while BYAN has the lowest, reflecting the most stable risk profile. In terms of systemic risk, ADRO and CUAN record the highest CoVaR values, suggesting considerable potential losses under extreme market conditions, while GEMS and PGAS show the lowest CoVaR values. ΔCoVaR estimation identifies BYAN and DSSA as the stocks with the highest additional systemic risk. Furthermore, the backtesting results indicate that the VaR model is more appropriate for highly extreme quantiles, whereas the CoVaR model exhibits greater stability at moderately extreme quantiles that still reflect high-risk conditions.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | CoVaR, EVT, Granger Causality Test, Risiko Sistemik, Saham, VaR, CoVaR, EVT, Granger Causality Test, Systemic Risk, Stocks, VaR. |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Natasya Claudia Yulianto |
| Date Deposited: | 31 Jul 2025 10:02 |
| Last Modified: | 31 Jul 2025 10:02 |
| URI: | http://repository.its.ac.id/id/eprint/125074 |
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