Analisis Likuiditas Saham Sektor Perbankan di BEI Menggunakan Intervensi dan Model Error Multiplikatif – Autoregressive Conditional Duration (MEM–ACD)

Handayani, Luh Putu Shintya (2017) Analisis Likuiditas Saham Sektor Perbankan di BEI Menggunakan Intervensi dan Model Error Multiplikatif – Autoregressive Conditional Duration (MEM–ACD). Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Tax Amnesty (Pengampunan Pajak) merupakan Undang-Undang yang menjadi isu hangat 2016 dan berakhir pada Maret 2017. Kebijakan Tax Amnesty mengharuskan pihak bank menjadi pihak penerima dana repatriasi. Terkait hal itu, berdasarkan isu ekonomi finansial 2015 hingga 2016 terdapat saham bank yang selalu diburu oleh investor karena saham yang likuid. Saham perbankan yang paling dipertimbangkan untuk diperdagangkan yaitu Bank Central Asia (BBCA), Bank Mandiri (BMRI), Bank Rakyat Indonesia (BBRI), dan Bank Negara Indonesia (BBNI) karena masuk dalam kelompok saham LQ45. Tujuan penelitian ini adalah mengetahui gambaran data volume, mengetahui efek adanya efek intervensi akibat Tax Amnesty, dan mendapat kesimpulan mengenai likuiditas saham sebelum dan selama Tax Amnesty dari model ACD. Model ACD merupakan model alternatif lain di luar intervensi. Analisis intervensi yang dilakukan menunjukkan bahwa terdapat efek intervensi diberlakukannya Tax Amnesty pada volume saham perusahaan BMRI dan BBNI, namun tidak pada BBCA dan BBRI. Model intervensi yang terbentuk belum memenuhi distribusi normal. Model ACD menghasilkan bahwa volume transaksi lebih likuid dilihat dari durasi yang tinggi pada periode Tax Amnesty. Durasi menunjukkan kejadian volume transaksi yang rendah, jadi bila nilai durasi tinggi maka volume transaksi rendah jarang terjadi. Hanya saja, pada saham BBRI tidak dapat dibandingkan sebelum Tax Amnesty dan setelah Tax Amnesty karena data tidak terdapat efek ACD dilihat dari parameter konstanta saja yang signifikan. ================================================================================Tax Amnesty is a law that is a hot issue in 2016 and ends in March 2017. The Tax Amnesty Policy requires the bank to be the recipient of the repatriation fund. Related to that, based on the issue of financial economy 2015 to 2016 there are some of banks stocks that are always hunted by investors because the stocks is liquid. The most widely considered banking stocks are Bank Central Asia (BBCA), Bank Mandiri (BMRI), Bank Rakyat Indonesia (BBRI), and Bank Negara Indonesia (BBNI) for being included in the LQ45 stock group. The purpose of this research is to know the description of volume data, to know the effect of intervention effect due to Tax Amnesty, and to get conclusion about stock liquidity before and during Tax Amnesty from ACD model. The ACD model is another alternative model outside the intervention. The result of interventions analysis shows that there is an effect of the intervention because of the Tax Amnesty on the volume of shares of BMRI and BBNI companies, but not on BBCA and BBRI. The intervention model has not met the normal distribution. The ACD model results in a more liquid volume of transactions viewed from the high duration of the Tax Amnesty period. Duration indicates a low transaction volume occurrence, so if the duration is high then low transaction volume is rare. However, BBRI shares can not be compared before Tax Amnesty and after Tax Amnesty because there is no ACD effect seen from significant constants parameter only.

Item Type: Thesis (Undergraduate)
Additional Information: RSSt 519.536 Han a
Uncontrolled Keywords: Autoregressive Conditional Duration, Analisis Likuidias, Intervensi, Model Error Multiplikatif
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Faculty of Mathematics and Science > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User: Handayani Luh Putu Shintya
Date Deposited: 13 Feb 2018 07:38
Last Modified: 05 Mar 2019 08:31
URI: http://repository.its.ac.id/id/eprint/47836

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