Albarr, Ahmad Choiruden (2026) Analisis Dampak Pelantikan Menteri Keuangan Baru Terhadap Pergerakan Indeks Harga Saham Gabungan (IHSG) Tahun 2025 Menggunakan Model Intervensi. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Peristiwa politik strategis, khususnya pergantian pejabat otoritas fiskal, sering kali memicu volatilitas signifikan pada Indeks Harga Saham Gabungan (IHSG). Penelitian ini bertujuan untuk mengkuantifikasi struktur dan besaran dampak peristiwa pelantikan Menteri Keuangan Purbaya pada 8 September 2025 terhadap pergerakan IHSG. Penelitian menggunakan data harga penutupan harian periode 9 April hingga 28 November 2025 dengan metode analisis intervensi fungsi Pulse. Hasil analisis menunjukkan model terbaik yang terbentuk adalah model intervensi dengan komponen noise ARIMA(0,2,1) dan orde intervensi (b=1, s=1, r=0). Temuan penelitian mengonfirmasi bahwa peristiwa pelantikan memberikan guncangan negatif (shock) yang signifikan dengan jeda respon pasar (delay) selama satu hari. Meskipun dimodelkan dengan input Pulse, karakteristik ketidakstasioneran data yang memiliki tren stokastik (d=2) menyebabkan dampak guncangan terakumulasi menjadi penurunan level harga yang bersifat permanen (permanent level shift), namun diikuti oleh penyesuaian pasar (rebound) pada hari berikutnya. Model menghasilkan akurasi peramalan yang sangat baik dengan nilai MAPE sebesar 0,78%. Hasil peramalan untuk periode Desember 2025 menunjukkan tren pergerakan IHSG yang tetap optimis (bullish) pada kisaran level Rp8.503 hingga Rp8.882. Disimpulkan bahwa meskipun terjadi guncangan struktural akibat peristiwa politik, tren kenaikan alami pasar mampu mengimbangi dampak negatif tersebut dalam jangka panjang.
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Strategic political events, particularly changes in fiscal authority leadership, often trigger significant volatility in the Jakarta Composite Index (JCI). This study aims to quantify the structure and magnitude of the impact of the inauguration of the new Finance Minister, Purbaya, on September 8, 2025, on JCI movements. The study utilizes daily closing price data from April 9 to November 28, 2025, employing Intervention Analysis with a Pulse function. The results indicate that the best-fitting model is an intervention model featuring an ARIMA(0,2,1) noise component and an intervention order of (b=1, s=1, r=0). The findings confirm that the inauguration caused a significant negative shock with a one-day market response delay. Although modeled using a Pulse input, the data's non-stationary characteristics characterized by a stochastic trend (d=2) caused the shock to accumulate into a permanent level shift, followed by a market rebound on the subsequent day. The model demonstrates excellent forecasting accuracy with a Mean Absolute Percentage Error (MAPE) of 0.78%. The forecast for December 2025 indicates a persistent optimistic (bullish) trend for the JCI, ranging from 8,503 to 8,882. It is concluded that despite structural shocks driven by political events, the market's natural uptrend capability is sufficient to offset the negative impact in the long run.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Analisis Intervensi, ARIMA, Indeks Harga Saham Gabungan (IHSG), Fungsi Pulse, Menteri Keuangan, Intervention Analysis, ARIMA, Finance Minister, Jakarta Composite Index (JCI), Pulse Function |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4915 Stocks--Prices Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA280 Box-Jenkins forecasting |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Ahmad Choiruden Al Barr |
| Date Deposited: | 24 Jul 2026 05:56 |
| Last Modified: | 24 Jul 2026 05:56 |
| URI: | http://repository.its.ac.id/id/eprint/137866 |
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