Daristya, Putri Balgis Rika (2018) Analisis Survival dan Seleksi Variabel pada Pemodelan Delisting Time Perusahaan Manufaktur di Bursa Efek Indonesia dengan Metode Multiperiod Generalized Extreme Value Regression. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Industri manufaktur merupakan industri yang mendominasi perusahaan-perusahaan yang terdaftar di Bursa Efek Indonesia (BEI). Sebagai perusahaan yang telah memutuskan untuk go public di Bursa Efek Indonesia, perusahaan terbuka berhak menerima investor dari pihak luar perusahaan. Pada analisis risiko, model statis tidak dapat memprediksi dengan memperhitungkan kondisi perusahaan yang berubah seiring waktu, sehingga dibutuhkan metode yang dapat memprediksi dengan lebih baik dan memperhitungkan perubahan kondisi perusahaan seiring waktu. Multiperiod GEV Regression dapat memperhitungkan perubahan kondisi perusahaan seiring waktu. Oleh karena itu, penelitian ini akan menggunakan metode Multiperiod GEV Regression untuk memprediksi delisting time perusahaan manufaktur di Bursa Efek Indonesia. Sebagai variabel prediktor, digunakan 15 rasio keuangan dan dua indikator ekenomi makro. Penelitian ini menunjukan bahwa secara deskriptif perusahaan survive dan delsting berbeda dalam rasio profitabilitas dan Likuiditas. Model terbaik didapatkan dari seleksi variabel menggunakan eliminasi backward dengan enam variabel yang berpengaruh signifikan yaitu CR, STA, WCLTD, REA, IHSG, dan BI Rate.
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Manufacturing industry dominates companies listed on Indonesia Stock Exchange (BEI) around 25%. As a company that has decided to go public on the Indonesia Stock Exchange, go public company is entitled to receive investors from outside the company. In risk analysis, the static model can not predict the changing corporate conditions over time, so it takes a better predictable method and takes into account changes in the company's condition over time. Multiperiod GEV Regression can take account of changes in company conditions over time. Therefore, this research will use Multiperiod GEV Regression method to predict the delisting time of manufacturing companies in Indonesia Stock Exchange. As predictor variables, we used 15 financial ratios and two macroeconomic indicators. This study showed that descriptively, the survival and delsting companies differ in profitability ratios and Liquidity. The best model is obtained using variable selection with backward elimination with five variables that have significant effect is CR, STA, WCLTD, REA, IHSG, and BI Rate.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | Delisting, Multiperiod GEVR, Rasio keuangan, Seleksi variabel. |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA29 Theory and method of social science statistics H Social Sciences > HA Statistics > HA31.3 Regression. Correlation H Social Sciences > HA Statistics > HA31.7 Estimation H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HJ Public Finance Q Science |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Putri Balgis Rika Daristya |
| Date Deposited: | 06 Jul 2021 10:47 |
| Last Modified: | 06 Jul 2021 10:47 |
| URI: | http://repository.its.ac.id/id/eprint/57265 |
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