Rahmawati, Shinta Putri (2026) Analisis Risiko Sistemik Saham Subsektor Minyak-Gas dan Batu Bara Menggunakan Conditional Value at Risk berbasis Regresi Kuantil dengan Mempertimbangkan Variabel Makroekonomi. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Saham merupakan instrumen investasi yang diminati karena potensi keuntungannya yang tinggi, namun juga disertai risiko besar, termasuk risiko sistemik yang dapat menyebar antar perusahaan. Volatilitas harga komoditas energi dan ketidakpastian makroekonomi menjadikan analisis risiko sistemik subsektor Minyak-Gas dan Batu bara di Bursa Efek Indonesia (BEI) krusial bagi stabilitas investasi nasional, sehingga diperlukan pengukuran risiko yang mampu menangkap mekanisme penularan risiko pada kondisi ekstrem. Penelitian ini bertujuan untuk menganalisis risiko individual dan risiko sistemik saham menggunakan data harga penutupan harian 5 emiten saham serta 4 variabel makroekonomi pada periode 3 Juli 2023 - 30 Desember 2025. Estimasi risiko individu dilakukan dengan pendekatan Value-at-Risk (VaR) berbasis Extreme Value Theory (EVT), sementara keterkaitan antar pasangan variabel dianalisis menggunakan Granger Causality Test. Risiko sistemik diukur melalui pendekatan Conditional Value-at-Risk (CoVaR) dan Delta CoVaR (ΔCoVaR) menggunakan regresi kuantil untuk mengukur efek rambatan (spillover) risiko sistemik antar variabel. Hasil penelitian menunjukkan bahwa seluruh saham memiliki distribusi return leptokurtik yang mengindikasikan adanya risiko ekstrem. Hubungan kausalitas yang terbentuk berpola asimetris dengan IHSG dan WTI sebagai sumber transmisi risiko dominan. Pada tingkat kepercayaan 95%, CUAN memiliki risiko individual tertinggi sebesar 8.48%, sedangkan BYAN memiliki risiko individual terendah sebesar 2.69%. Estimasi CoVaR membuktikan BUMI dan CUAN sebagai risk receiver paling rentan. CUAN mencatat potensi kerugian sistemik terbesar sebesar -7.56%, sedangkan BYAN mencatat potensi kerugian sistemik terendah sebesar -1.50%. Backtesting mengonfirmasi CoVaR secara konsisten lebih akurat dibandingkan VaR pada seluruh emiten. Estimasi tambahan ΔCoVaR mengidentifikasi DSSA dan BYAN sebagai kontributor risiko terbesar sedangkan CUAN sebagai saham dengan kontribusi paling fluktuatif. Penelitian ini menyimpulkan bahwa pengukuran tingkat risiko perlu mempertimbangkan keterkaitan antar saham dan faktor makroekonomi untuk mendukung pengambilan keputusan investasi dan pengelolaan risiko pasar.
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Stocks are a popular investment instrument due to their high profit potential, yet they are also accompanied by substantial risks, including systemic risk that can spread across companies. The volatility of energy commodity prices and macroeconomic uncertainty make the analysis of systemic risk in the oil, gas, and coal subsector on the Indonesia Stock Exchange (IDX) crucial for national investment stability, necessitating risk measurement approaches capable of capturing risk contagion mechanisms under extreme conditions. This study aims to analyze individual and systemic stock risk using daily closing price data from 5 listed companies and 4 macroeconomic variables over the period of July 3, 2023 - December 30, 2025. Individual risk estimation is conducted using a Value-at-Risk (VaR) approach based on Extreme Value Theory (EVT), while inter-stock linkages are analyzed using the Granger Causality Test. Systemic risk is measured through the Conditional Value-at-Risk (CoVaR) and Delta CoVaR (ΔCoVaR) approaches using quantile regression to capture risk spillover effects among listed companies. The findings reveal that all stocks exhibit leptokurtic return distributions, indicating the presence of extreme risk. The causal relationships formed follow an asymmetric pattern, with the IDX Composite Index (IHSG) and WTI crude oil price serving as dominant sources of risk transmission. At the 95% confidence level, CUAN carries the highest individual risk at 8.48%, while BYAN records the lowest individual risk at 2.69%. CoVaR estimation identifies BUMI and CUAN as the most vulnerable risk receiver. CUAN registers the largest systemic loss potential at -7.56%, whereas BYAN records the lowest at -1.50%. Backtesting confirms that CoVaR is consistently more accurate than VaR across all listed companies. Additional ΔCoVaR estimation identifies DSSA and BYAN as the largest risk contributors, while CUAN is identified as the stock with the most volatile contribution. This study concludes that risk level measurement must account for inter-stock linkages and macroeconomic factors in order to support sound investment decision-making and market risk management.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | CoVaR, ΔCoVaR, Risiko Sistemik, Regresi Kuantil, Granger Causality Test, CoVaR, ΔCoVaR, Systemic Risk, Quantile Regression, Granger Causality Test |
| Subjects: | H Social Sciences > HC Economic History and Conditions > HC441 Macroeconomics. H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Shinta Putri Rahmawati |
| Date Deposited: | 24 Jul 2026 00:53 |
| Last Modified: | 24 Jul 2026 00:53 |
| URI: | http://repository.its.ac.id/id/eprint/136612 |
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