Peramalan Harga Saham Jakarta Islamic Index Menggunakan Metode Vector Autoregressive

Hayati, Farida Nur (2016) Peramalan Harga Saham Jakarta Islamic Index Menggunakan Metode Vector Autoregressive. Undergraduate thesis, Institut Teknologi Sepuluh Nopember Surabaya.

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Abstract

Saham merupakan instrumen investasi yang banyak dipilih para investor karena saham mampu memberikan tingkat keuntungan yang menarik. Sejak 12 Mei 2011, Bursa Efek Indonesia (BEI) mempunyai dua indeks harga saham Syariah, yaitu Indeks Saham Syariah Indonesia (ISSI) dan Jakarta Islamic Index (JII). Saham-saham dalam indeks ini mempunyai keistimewaan yaitu memiliki tingkat hutang yang rendah, sehingga risiko dalam berinvestasi semakin terkendali (May, 2013). Terdapat 8 sektor di dalam indeks JII salah satunya adalah sektor properti. Perkembangan industri properti dan real estate menunjukkan pertumbuhan yang sangat pesat. Hal ini ditandai dengan maraknya pembangunan perumahan, apertemen, perkantoran dan perhotelan di kota-kota besar. Penurunan dan kenaikan harga saham sektor properti merupakan salah satu masalah bagi investor dalam menjual atau membeli saham sehingga diperlukan analisis untuk meramalkan harga saham guna meminimalkan risiko yang diperoleh investor. Metode VAR adalah metode yang digunakan untuk meramalkan data dua variabel atau lebih yang memiliki hubungan timbal balik (saling terkait). Berdasarkan analisis peramalan harga saham sub sektor property dan real estate dengan metode VAR maka dapat diketahui model yang terbentuk adalah VARX (1,1) dengan RMSE 3 periode ke depan variabel ASRI sebesar 6,2, BSDE sebesar 22,4, LPKR sebesar 22,7, PWON sebesar 12,8, dan SMRA sebesar 14,2 ==================================================================================================== Stock is an investment instruments that selected by many investors because the stock is able to give an attractive level of profits. Since May 12, 2011, Bursa Efek Indonesia (BEI ) have two syariah index there are Indeks Saham Syariah Indonesia (ISSI) dan Jakarta Islamic Index (JII). Stock in this index has a privilege that has a low debt level, so that the risk in investing controllable (May, 2013). There are eight sectors in the JII one of that sector is the property. The development of the property and real estate industry showed growth. It is characterized by the proliferation of residential development, apartment, office and hospitality in the big cities. The one of the problems for investors in property sector is decline and rising stock prices for selling or buying stock. So, analysis be needed to forecast stock prices for minimize the risk that acquired the investor. VAR method is used to predict the data two or more variables that have a relationship (interrelated). Based on the analysis of stock price forecasting sub-sector property and real estate with VAR method, can be seen that the final model is formed VARX (1,1) with RMSE 3 periods ahead ASRI is 6,2, BSDE is 22,4, LPKR is 22,7, PWON is 12,8, and SMRA is 14,2

Item Type: Thesis (Undergraduate)
Additional Information: RSSt 519.536 Hay p
Uncontrolled Keywords: Investasi, JII, Saham, VAR, VARX
Subjects: H Social Sciences > HA Statistics > HA30.3 Time-series analysis
Divisions: Faculty of Mathematics and Science > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User: EKO BUDI RAHARJO
Date Deposited: 14 Apr 2020 00:14
Last Modified: 14 Apr 2020 00:14
URI: http://repository.its.ac.id/id/eprint/75767

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