Analisis Rasio Keuangan dan Pengaruh Sentimen Publik terhadap Harga Saham Sentimen di Bawah Naungan Danantara Indonesia

Nugroho, Daniel Wicaksono (2026) Analisis Rasio Keuangan dan Pengaruh Sentimen Publik terhadap Harga Saham Sentimen di Bawah Naungan Danantara Indonesia. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Fluktuasi harga saham BUMN yang berada di bawah naungan Danantara Indonesia sebagai Badan Pengelola Investasi strategis menimbulkan kekhawatiran di kalangan investor dan masyarakat mengenai efektivitas pengelolaan investasi pemerintah dalam mendukung pertumbuhan ekonomi nasional. Keberadaan Danantara yang diwarnai kontroversi, kondisi keuangan beberapa emiten yang bermasalah, serta sentimen negatif yang berpengaruh terhadap kepercayaan pasar. Situasi ini memunculkan kebutuhan mendesak akan analisis mendalam untuk menilai apakah harga saham-saham tersebut mencerminkan kondisi fundamental perusahaan yang sebenarnya, sekaligus memahami sejauh mana sentimen pasar memengaruhi pergerakan harga saham. Penelitian ini dilakukan dengan menilai valuasi saham emiten Danantara melalui pendekatan rasio keuangan seperti rasio likuiditas, PBV, ROA, ROE dan DER. Selain itu, penelitian ini juga menganalisis sentimen pasar menggunakan model Indo-BERTa dengan mengubah isi artikel berita menjadi skor sentimen. Kemudian skor sentimen tersebut diintegrasikan dalam pemodelan prediksi harga saham menggunakan arsitektur S-ANFIS yang dirancang untuk menangkap hubungan dinamis antara kondisi pasar dan harga saham. Hasil penelitian penelitian menunjukkan bahwa hanya emiten BBRI, BBNI dan SMGR yang memiliki 3 dari 5 rasio keuangan baik. Model Indo-roBERTa menunjukkan bahwa mayoritas sentimen terkait emiten terpilih dan ‘Danantara’ cenderung bernilai negatif. Model S-ANFIS cukup baik dalam memprediksi harga saham dengan mempertimbangkan variabel keadaan dan penjelas, meskipun terdapat keterbatasan jumlah data. Hal ini ditunjukkan oleh evaluasi matriks prediksi 3 harga saham terpilih dengan nilai RMSE di bawah 90, MAPE di bawah 2%, serta kebaikan model (R2) di atas 70%. Melalui penelitian ini diharapkan dapat memberikan gambaran bagi investor untuk dapat mempertimbangkan aspek fundamental maupun sentimen dalam memilih saham.
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Fluctuations in the share prices of state-owned enterprises under Danantara Indonesia as a strategic investment management agency have raised concerns among investors and the public regarding the effectiveness of government investment management in supporting national economic growth. The controversial existence of Danantara, financial problems faced by several issuers, and negative market sentiment have weakened market confidence. This condition highlights the need for an in-depth analysis to examine whether stock prices reflect the companies’ fundamental conditions and to understand the influence of market sentiment on stock price movements. This study evaluates the valuation of Danantara-related stocks using financial ratios, including liquidity ratio, PBV, ROA, ROE, and DER. Market sentiment is analyzed using the Indo-roBERTa model by converting news article content into sentiment scores. These sentiment scores are then incorporated into stock price prediction using the S-ANFIS architecture, which is designed to capture the dynamic relationship between market conditions and stock prices. The results indicate that only BBRI, BBNI, and SMGR issuers achieved 3 out of 5 good financial ratios. The Indo-roBERTa analysis shows that most sentiment related to the selected issuers and “Danantara” tends to be negative. Despite limited data, the S-ANFIS model demonstrates strong predictive performance, with RMSE values below 90, MAPE below 2%, and R² values above 70% for the three selected stocks. This study is expected to provide investors with insights into both fundamental conditions and market sentiment as key considerations in stock selection.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Danantara, Indo-roBERTa, Rasio Keuangan, S-ANFIS, Saham, Danantara, Financial Ratio, Indo-roBERTa, S-ANFIS, Stock
Subjects:	H Social Sciences > HG Finance > HG4028.V3 Valuation. Economic value H Social Sciences > HG Finance > HG4915 Stocks--Prices Q Science > QA Mathematics > QA76.9.D343 Data mining. Querying (Computer science) Q Science > QA Mathematics > QA9.64 Fuzzy logic T Technology > T Technology (General) > T174 Technological forecasting T Technology > T Technology (General) > T57.5 Data Processing T Technology > T Technology (General) > T57.8 Nonlinear programming. Support vector machine. Wavelets. Hidden Markov models.
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Daniel Wicaksono Nugroho
Date Deposited:	16 Jul 2026 03:00
Last Modified:	16 Jul 2026 03:13
URI:	http://repository.its.ac.id/id/eprint/135103

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