Bekti, Indasari (2018) Studi Simulasi Dan Analisis Survival Delisting Time Di Bursa Efek Indonesia Untuk Perusahaan Manufaktur Dengan Metode Multiperiod Generalized Extreme Value Regression. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Sektor manufaktur di Indonesia merupakan salah satu sektor yang menjanjikan bagi para investor. Bagi para investor, kinerja dari setiap perusahaan manufaktur salah satunya dapat dilihat dari laporan keuangan perusahaan yang tercatat di BEI. Selain itu, dapat diketahui pula dari rekam jejak kebangkrutan setiap perusahaan. Salah satu indikator perusahaan bangkrut di BEI adalah perusahaan tersebut mengalami delisting. Peluang delisting perusahaan manufaktur tersebut dapat diketahui dengan menggunakan analisis survival. Data yang digunakan merupakan data panel dengan 17 rasio keuangan dan indikator makro ekonomi sebagai prediktor. Analisis ini menggunakan model multiperiod Generalized Extreme Value Regression (GEVR). Model ini ekuivalen dengan model hazard. Secara deskriptif, perusahaan survive dan delisting memiliki karakteristik yang berbeda di beberapa rasio keuangan. Perbedaan antara sektor tidak menunjukan perbedaan kurva survival yang berarti. Dari hasil pengujian parsial diketahui terdapat lima variabel yang signifikan yaitu CR, DER, ROE, RETA, dan BI rate. Model optimal menghasilkan nilai c-index sebesar 77,78%.
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The manufacturing sector in Indonesia is one of the promising sectors for investors. For investors, performance of each manufacture company can be evaluated from the financial statements of companies listed on the IDX. In addition, it can also be known from the record of default or bankruptcy of each company. One of the indicator of a bankrupt company in IDX is that the company is delisted from IDX. The delisting probality of the manufacturing company can be determined by using survival analysis. The data used are panel data with 17 financial ratios and macroeconomic indicators as predictors. This analysis uses the multiperiod Generalized Extreme Value Regression (GEVR) model. This model is equivalent to hazard model. Descriptively, the survival and delisting companies have different characteristics in several financial ratios. Differences across sector do not show significant differences in survival curves. From the result of partial test, there are five significant variables, namely CR, DER, ROE, RETA, and BI rate. Optimal model produce c-index is 77,78%.
| Item Type: | Thesis (Undergraduate) |
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| Uncontrolled Keywords: | BEI, C-index, Delisting, Multiperiod GEVR, Sektor Manufaktur ============================================================ C-index, Delisting, IDX, Manufacturing Sector, Multiperiod GEVR |
| Subjects: | H Social Sciences > HG Finance > HG4012 Mathematical models |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Bekti Indasari |
| Date Deposited: | 06 Jul 2021 10:48 |
| Last Modified: | 06 Jul 2021 10:48 |
| URI: | http://repository.its.ac.id/id/eprint/57194 |
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