Analisis Risiko Return Saham Perusahaan Terdampak Tax Amnesty Sub Sektor Konstruksi Dan Bangunan Menggunakan CVaR Dengan Pendekatan ARMAX-GARCHX Dan Duration Test Sebagai Backtesting

Firdauz, Ardhian Bayu (2017) Analisis Risiko Return Saham Perusahaan Terdampak Tax Amnesty Sub Sektor Konstruksi Dan Bangunan Menggunakan CVaR Dengan Pendekatan ARMAX-GARCHX Dan Duration Test Sebagai Backtesting. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Tax Amnesty yang dilakukan pemerintah Indonesia pada 1 Juli 2016 diharapkan memberi dampak positif bagi perekonomian yang lebih luas, seperti pembangunan infrastruktur. Tax amnesty memberikan dampak yang signifikan terhadap kinerja perusahaan sektor konstruksi dan infrastruktur khususnya BUMN, karena dana repatriasi akan digunakan untuk membiayai proyek di sektor konstruksi dan infrastruktur. PT. Waskita Karya Tbk (WSKT), PT. Wijaya Karya Tbk (WIKA), PT. Adhi Karya Tbk (ADHI), dan PT. Pembangunan Perumahan Tbk (PTPP) merupakan Persero dengan nilai kapitalisasi terbesar di Indonesia. Pergerakan saham pada perusahaan memiliki volatilitas tinggi, sebaiknya risiko tersebut di modelkan dengan menggunakan Value at Risk (VaR) dan Conditional Value at Rsik (CVaR) dengan pendekatan ARMA-GARH dan ARMAX-GARCHX karena dapat menangkap pengaruh variabel eksogen, dimana dalam penelitian ini menggunakan kurs IDR/USD dan IHSG. Kebaikan VaR dan CVaR dapat dilihat dengan menggunakan expected shortfall (ES) dan duration test. Perhitungan VaR dan CVaR dengan menggunakan ES test diketahui diantara kedua metode tersebut metode VaR jauh lebih akurat dibandingkan dengan CVaR untuk estimasi risiko ataupun profit apabila menggunakan pendekatan ARMA-GARCH, sedangkan ketika menggunakan ARMAX-GARCHX CVaR dan VaR sama-sama akurat di window tertentu. Pada duration test diketahui bahwa baik VaR dan CVaR dengan pendekatan ARMA-GARCH ataupun ARMAX-GARCHX didapatkan hasil yang sama-sama akurat dengan menunjukkan bahwa tidak ada pengaruh terjadinya risiko saat ke t dengan risiko sebelumnya. Durasi rata-rata terjadinya risiko dan profit perusahaan WIKA menunjukkan bahwa lebih sering terjadi risiko dibandingkan perusahaan lainnya. ==================================================================== Tax amnesty which was conducted by Indonesian government started on July 1st, 2016, was expected to have a positive impact on the broader economy such as infrastructure development. Tax amnesty has a significant impact on the performance of construction and infrastructure enterprises, especially BUMNs, since repatriation funds will be used to fund projects in the construction and infrastructure sectors. PT. Waskita Karya Tbk (WSKT), PT. Wijaya Karya Tbk (WIKA), PT. Adhi Karya Tbk (ADHI), and PT. Housing Development Tbk (PTPP) are perseros with the largest capitalization value in Indonesia. The stocks in those companies has high volatility movement which is risk should be modeled by using Value at Risk (VaR) and Conditional Value at Risk (CVaR) with ARMA-GARCH and ARMAX-GARCHX approach as its capability to capture the effect of exogenous variables, which in this study uses the IDR/USD and IHSG rates. The virtues of VaR and CVaR can be seen using expected shortfall (ES) and duration test, since the duration test considers the duration of the occurred risk itself. VaR and CVaR using ES test, it is known that to estimate the risk or profit value, VaR is much more accurate than CVaR when using ARMA-GARCH approach, whereas if using ARMAX-GARCHX, CVaR and VaR are equally accurate in certain window. In duration test, it is known that both VaR and CVaR with ARMA-GARCH or ARMAX-GARCHX approach give equally accurate results indicating that there is no effect of t-time risk to the previous risk. Based on average of risk and profit duration, WIKA companies shows that risk is more often than the other building and infrastructure companies.

Item Type: Thesis (Undergraduate)
Additional Information: RSSt 519.544 Fir a
Uncontrolled Keywords: ARMAX-GARCHX, CVaR, Duration Test, Saham Sub Sektor Konstruksi dan Bangunan, Tax Amnesty, VaR, Duration Test, Stock of Construction and Building Sub Sector
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions: Faculty of Mathematics and Science > Statistics > (S1) Undergraduate Theses
Depositing User: Ardhian Bayu Firdauz
Date Deposited: 24 Oct 2017 02:34
Last Modified: 11 Dec 2017 01:49
URI: http://repository.its.ac.id/id/eprint/47909

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