Analisis Resiko Kerugian dan Volatilitas Multivariat Indeks Saham Syariah dan Indeks Saham Konstituen

Widiasmara, Azizah (2017) Analisis Resiko Kerugian dan Volatilitas Multivariat Indeks Saham Syariah dan Indeks Saham Konstituen. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Perkembangan ekonomi dan perkembangan agama Islam yang ada di Indonesia mendorong munculnya pasar modal syariah yang ditandai oleh diluncurkannya ISSI (Indeks Saham Syariah Indonesia). ISSI ini merupakan salah satu alternatif yang ditawarkan IDX (Indonesia Exchange Stock) untuk para investor yang menginginkan indeks saham yang memiliki volatilitas dan resiko yang rendah serta return yang maksimal. Estimasi model VAR dan BEKK-GARCH digunakan untuk menghitung volatilitas dan hubungan antara ISSI dengan Indeks konstituen. Sedangkan untuk menghitung resiko secara empiris, dalam Tugas Akhir ini, digunakan Value at Risk Markowritz. ISSI volatilitas terkecil dan SRI-KEHATI memiliki Value at Risk yang terkecil sehingga ISSI dan SRI-KEHATI adalah indeks yang memiliki prospek yang baik untuk investor menginvestasikan dananya pada pasar modal di Indonesia. ================================================================================================== The economy and Islam development in Indonesia is a factor of the Indonesian stock market to launch ISSI which is wished to be an alternative index for Indonesian investor who wants to invest in index that has a low volatility and risk as the Index would become a good purpose in investment. VAR model and BEKK-GARCH model estimation is used to know how the volatitility of ISSI and the constituent Indeces. This final project used Value at Risk method to know the amount of the risk from ISSI and constituent indeces. The result shows that ISSI and SRI-KEHATI have the least risk and volatility so, ISSI and SRI-KEHATI have a better prospect to investor.

Item Type: Thesis (Undergraduate)
Additional Information: RSMa 519.535 Wid a-1
Uncontrolled Keywords: MGARCH-BEKK, VAR, Value at Risk, ISSI, Indeks Konstituen
Subjects: Q Science > QA Mathematics
Q Science > QA Mathematics > QA278.2 Regression Analysis
Divisions: Faculty of Mathematics and Science > Mathematics > (S1) Undergraduate Theses
Depositing User: Widiasmara Azizah
Date Deposited: 20 Dec 2017 06:56
Last Modified: 06 Mar 2019 02:26
URI: http://repository.its.ac.id/id/eprint/47483

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