Peramalan Harga Saham Perbankan Menggunakan Model VAR dan Analisis Teknikal

Zullah, Vies Sata (2021) Peramalan Harga Saham Perbankan Menggunakan Model VAR dan Analisis Teknikal. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Saham perbankan seringkali menjadi rekomendasi para analis saham karena dianggap sebagai cerminan ekonomi tanah air. Kapitalisasi pasarnya yang besar, yaitu mencapai 57,23% dari 10 emiten terbesar di BEI menjadi daya tarik investor saham untuk berinvestasi sesuai dengan tujuannya. Saham perusahaan perbankan yang tercatat pada Bursa Efek Indonesia sebanyak 45 perusahaan, beberapa di antaranya adalah PT Bank Central Asia Tbk, PT Bank Mandiri Tbk, dan Bank Rakyat Indonesia (Persero) Tbk. Ketiga bank tersebut memiliki total aset dengan rentang yang tidak terlalu jauh sehingga dapat dibandingkan untuk dijadikan rekomendasi kepada investor. Pada penelitian ini dilakukan peramalan harga saham tiga perbankan yaitu BBCA, BMRI, dan BBRI dengan menggunakan metode multivariate time series dengan model VAR (Vector Autoregressive), dan dilakukan analisis teknikal untuk mengetahui tren harga saham. Berdasarkan hasil analisis diperoleh bahwa model peramalan untuk ketiga bank yaitu VARI ([1, 3],1) dengan hasil peramalan pada bulan April cenderung konstan. The primary trend ketiga saham cenderung uptrend, sedangkan the secondary trend dan the minor trend cenderung downtrend dan sideways.
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Banking stocks are often recommended by stock analysts because they are considered a reflection of the country's economy. Its large market capitalization, reaching 57.23% of the 10 largest issuers on the IDX, has attracted stock investors to invest in accordance with their goals. There are 45 banking companies listed on the Indonesia Stock Exchange, some of which are PT Bank Central Asia Tbk, PT Bank Mandiri Tbk, and Bank Rakyat Indonesia (Persero) Tbk. The three banks have total assets with a range that is not too far so that they can be compared to be used as recommendations to investors. In this study, stock prices were forecasted by three banks, namely BBCA, BMRI, and BBRI using the multivariate time series method with the VAR (Vector Autoregressive) model, and technical analysis was carried out to determine stock price trends. Based on the results of the analysis, it is found that the forecasting model for the three banks is VARI ([1, 3],1) with forecasting results in April tends to be constant. The primary trend of the three stocks tend uptrend, while the secondary trend and the minor trend tend to be downtrend and sideways.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Analisis Teknikal, Harga Saham, Multivariate Time Series, Saham Perbankan, VAR, Technical Analysis, Stock Price, Multivariate Time Series, Bank Stocks
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Vies Sata Zullah
Date Deposited:	13 Aug 2021 10:02
Last Modified:	13 Aug 2021 10:02
URI:	http://repository.its.ac.id/id/eprint/86171

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