Wulansari, Anita Putri (2016) Peramalan Harga Saham Perusahaan Pertambangan Emas Di Indonesia Menggunakan Metode Univariate Dan Multivariate Time Series. Undergraduate thesis, Institut Teknologi Sepuluh Nopember Surabaya.
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Abstract
Investasi emas dibagi menjadi investasi fisik dan non-fisik. Salah satu bentuk investasi emas non-fisik adalah dengan membeli saham perusahaan pertambangan emas. Industri pertambangan emas masuk dalam indeks sektoral BEI sektor pertambangan dengan sub sektor logam dan mineral. Emiten yang termasuk dalam sektor tersebut adalah ANTM, PSAB dan MDKA. Pada umumnya perubahan harga saham pada suatu perusahaan akan berdampak pada perubahan harga saham dari perusahaan yang lain. Gambaran tentang harga saham untuk periode kedepan dapat diperoleh apabila terdapat suatu model yang mampu menjelaskan keterkaitan harga saham antar perusahaan. Salah satu metode yang bisa digunakan untuk mendapatkan model tersebut adalah Vector Autoregressive (VAR). Harga saham ANTM dan PSAB dianalisis menggunakan metode VAR karena saling berkorelasi sehingga dapat dilihat keterkaitan antara keduanya, sementara harga saham MDKA akan dianalisis secara univariate menggunakan metode ARIMA. Data yang digunakan dalam penelitian ini adalah data harga penutupan yang diambil dari http://finance.yahoo.com/. Berdasarkan hasil analisis diperoleh kesimpulan bahwa pergerakan harga saham MDKA cenderung konstan, sementara pergerakan harga saham ANTM dan PSAB sangat berfluktuatif. Model terpilih yang dapat digunakan untuk meramalkan harga saham MDKA adalah ARIMAX(1,0,0) sedangkan ramalan untuk harga saham ANTM dan PSAB dapat diperoleh dari model VARX(2,1,0)
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Gold is the most popular as an investment. Investors generally buy gold as a way of diversifying risk. Compared to other precious metals used for investment, gold has the most effective safe haven. Investors can invest through physical gold or gold stocks. All gold stocks traded on Indonesia Stock Exchange are listed in metals and minerals sub sector. These stocks are ANTM, PSAB and MDKA. Generally, stock price movement of a company would impact the other. Characteristics of stock price for next period can be obtained from a model which capable to explain the relations between companies. One of time series method frequently used to obtain such model is Vector Autoregressive (VAR). Stock price of ANTM and PSAB will be analyzed using VAR because both are correlated, whereas MDKA considered to be analyzed using ARIMA. This research analyzing daily close price of these three stocks which available free on http://finance.yahoo.com/. The conclusions of this research are MDKA seems has constant price movement along 19 June 2015 – March 2016, whereas ANTM and PSAB have very fluctuating price movement along January 2013 – March 2016. The best model for MDKA is ARIMAX(1,0,0) and the best one for ANTM and PSAB is VARX(2,1,0), but unfortunately both of these models are not fulfill the assumptions of normality residual
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSSt 519.55 Wul p |
| Uncontrolled Keywords: | Emas, Harga Saham, Vector Autoregressive, ARIMA |
| 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 01:01 |
| Last Modified: | 14 Apr 2020 01:01 |
| URI: | http://repository.its.ac.id/id/eprint/75770 |
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