Peramalan dan Analisa Pola Pergerakan IHSG dengan Memperhatikan Dampak Peristiwa COVID-19

Diani, Kadek Ardya Novi (2021) Peramalan dan Analisa Pola Pergerakan IHSG dengan Memperhatikan Dampak Peristiwa COVID-19. Masters thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Indeks Harga Saham Gabungan (IHSG) yang digunakan sebagai acuan kinerja perdagangan saham dari perushaan yang tercatat di Bursa Efek Indonesia, juga berperan sebagai leading economy indicator. Sehingga seringkali IHSG digunakan sebagai salah satu pertimbangan dalam pengambilan keputusan bisnis suatu perusahaan, Pentingnya peran indeks saham dalam perekonomian dan perencanaan bisnis, menimbulkan kebutuhan akan prediksi yang akurat terhadap indeks saham tersebut. Berperan sebagai indicator dalam perekonomian, tentunya IHSG tidak lepas dari pengaruh kondisi global, salah satunya adalah peristiwa pandemi COVID-19 yang mempengaruhi kondisi ekonomi di berbagai negara. Dalam penelitian ini dilakukan analisis terkait dampak pandemi COVID-19 terhadap IHSG dan terhadap pola hubungan antara IHSG dengan 3 indeks saham global, yaitu indeks Shanghai Stock Exchange (SSE), Nasdaq, dan Nikkei 225. Analisis dampak COVID-19 juga dilakukan terhadap data sektoral IHSG dengan asumsi besarnya dampak berbeda-beda di setiap sektor industri. Analisis structural changes, intervensi, dan deteksi outlier mampu memberikan gambaran dampak COVID-19 yang komprehensif terhadap IHSG dan indeks sektoralnya. Peramalan terhadap data IHSG dilakukan berdasarkan hasil dari analisis pola data IHSG setelah terdampak pandemi COVID-19, dengan pendekatan univariate dan multivariate. Hasil perbandingan ketepatan ramalan menunjukkan bahwa pemodelan multivariate mampu memberikan hasil peramalan yang lebih akurat untuk peramalan jangka panjang. Sedangkan model univariate menghasilkan akurasi ramalan yang lebih baik dalam peramalan jangka pendek.
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The Jakarta Composite Index (JCI), which is used as a reference for the stock trading performance of companies listed on the Indonesia Stock Exchange, also acts as a leading economy indicator. So that the JCI is often used as one of the considerations in the company's business decisions making. The importance of the role of the stock index in the economy and business planning, raises the need for accurate predictions of the stock index. Playing a role as an indicator in the economy, of course IHSG cannot be separated from the influence of global conditions, one of which is the COVID-19 pandemic which affects economic conditions in various countries. In this study an analysis is carried out related to the impact of the COVID-19 pandemic on the JCI and on the pattern of relationships between the JCI and 3 global stock indices, namely the index of Shanghai Stock Exchange (SSE), Nasdaq, and Nikkei 225. Analysis of the impact of COVID-19 is also carried out on sectoral indices of JCI, assuming the magnitude of the impact varies in each industrial sector. Analysis of structural changes, intervention, and outlier detection are able to provide a comprehensive picture of the impact of COVID-19 on the JCI and its sectoral indices. Forecasting of the JCI data is carried out based on the results of the analysis of the IHSG data pattern after being affected by the COVID-19 pandemic, using univariate and multivariate approaches. The comparison of forecast accuracy shows that multivariate modeling can provide more accurate forecasting results for long-term forecasting. Meanwhile, the univariate model produces better forecast accuracy in short-term forecasting.

Item Type:	Thesis (Masters)
Uncontrolled Keywords:	IHSG, structural changes, analisis intervensi, deteksi outlier, VAR, time series. JCI, structural changes, intervention analysis, outlier detection, VAR, time series.
Subjects:	H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models.
Divisions:	61101-Magister Management Technology
Depositing User:	Kadek Ardya Novi Diani
Date Deposited:	26 Feb 2021 07:19
Last Modified:	26 Feb 2021 07:20
URI:	http://repository.its.ac.id/id/eprint/82924

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