Maftuha, Alisiya Rizka (2021) Peramalan Indeks Harga Saham Hang Seng (HSI) Berdasarkan Down Jones Industrial Average (DJIA) dengan Menggunakan Metode Fungsi Transfer. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Permasalahan yang dihadapi oleh investor dalam dunia industri saham berkaitan dengan pengambilan keputusan yang dikaitkan dengan ketidakpastian faktor - faktor internal, eksternal, dan global. Salah satu indikator yang digunakan sebagai pegangan oleh para investor adalah indeks harga saham salah satunya Indeks Harga Saham Hang Seng. Pergerakan Indeks Harga Saham Hang Seng dipengaruhi oleh Down Jones Industrial Average (DJIA). Pada penelitian ini dapat menggunakan metode fungsi transfer untuk peramalan Indeks Harga Saham Hang Seng. Pola pergerakan pada harga penutupan Indeks Harga Saham Hang Seng pada tanggal 17 Maret 2020 sampai 31 Maret 2021 cenderung fluktuatif. Model fungsi transfer untuk peramalan Indeks Harga Saham Hang Seng (HSI) dengan orde nilai (b,r,s) adalah (1,0,0), sehingga model yang terbentuk adalah dan didapatkan hasil peramalan Indeks Harga Saham Hang Seng waktu ke t sama dengan 0,259 nilai Down Jones Industrial Average (DJIA) waktu (t-1). Nilai ramalan tertinggi sebesar $ 31150,27 terjadi pada tanggal 30 April 2021 dan harga terendah sebesar $ 30180,72 yang terjadi pada tanggal 1 April 2021. Akurasi untuk model fungsi transfer berdasarkan nilai MAPE sebesar 6,74.
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The investor problems in the stock industry are relation to make decision of the uncertainty of internal, external, and global factors. One of the indicators used as a guide by investors is the stock price index, which is the Hang Seng Stock Price Index. The movement of the Hang Seng Stock Price Index can be influenced by the Down Jones Industrial Average (DJIA). In this study, we use the transfer function method for forecasting the Hang Seng Stock Price Index (HSI). The movement pattern on the closing price of the Hang Seng Stock Price Index on March 17, 2020 to March 31, 2021 tends to fluctuate. Forecasting the HSI on DJIA by using transfer function method with the orde value of (b,r,s) is (1,0,0) so that the model is and HSI forecast at time t is 0,259 DJIA at time (t-1). The forecasting results have the highest price of $ 31150,27 in April 30, 2021 and the lowest price of $ 30180,72 on April 1, 2021. The accuracy for the transfer function model using MAPE is 6,7.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | Fungsi Transfer, Indeks Harga Saham Hang Seng (HSI), Dow Jones Industrial Average (DJIA). Transfer Function, Hang Seng Stock Price Index (HSI), Dow Jones Industrial Average (DJIA). |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics |
| Depositing User: | Alisiya Rizka Maftuha |
| Date Deposited: | 14 Aug 2021 07:24 |
| Last Modified: | 14 Aug 2021 07:24 |
| URI: | http://repository.its.ac.id/id/eprint/86366 |
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