Bilqis, Della Jesica (2023) Analisis Intervensi Fungsi Step Terhadap Harga Saham PT. Indofood CBP Sukses Makmur Tbk. Diploma thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Konflik Rusia dengan Ukraina memberikan dampak bagi perekonomian global, tidak terkecuali Indonesia. Konflik ini memberikan pengaruh bagi kinerja perdagangan antara Indonesia dengan kedua negara terutama pada komoditi gandum. Pada rentang pengumuman perang Rusia-Ukraina, harga saham PT. Indofood CBP Sukses Makmur Tbk menurun drastis hingga 25,9%. Akibat penurunan harga saham ini, maka dibutuhkan peramalan harga saham untuk mengantisipasi para investor agar tidak mengalami capital loss menggunakan analisis intervensi fungsi step. Tujuan dari penelitian ini untuk mengetahui karakteristik data, mengkaji model dan efek intervensi yang terbentuk, dan mendapatkan hasil peramalan harga saham PT. Indofood CBP Sukses Makmur Tbk untuk periode berikutnya. Hasil dari penelitian ini adalah rata-rata harga saham preintervensi lebih tinggi dari pada saat intervensi pertama dan kedua. Model terbaik yang terbentuk adalah model ARIMA (1,1,0) orde b,s,r Intervensi pertama (3,0,1) dan orde b,s,r Intervensi kedua (1,1,0) yang artinya efek intervensi pertama terjadi tiga periode sejak terjadinya intervensi menyebabkan penurunan harga saham dengan pengaruh sebesar Rp 417,51. Efek intervensi kedua terjadi satu periode sejak terjadinya intervensi mengalami peningkatan harga saham dengan pengaruh sebesar Rp 501,44,-. Pada periode dua dan tiga, intervensi kedua menyebabkan penurunan harga saham. Hasil ramalan dengan data outsample memiliki nilai persentase error yang kecil sehingga model dapat digunakan untuk meramalkan haga saham dengan baik. Hasil peramalan harga saham PT. Indofood CBP Sukses Makmur Tbk tanggal 20 Juni 2022 – 7 Juli 2022 memiliki nilai yang konstan di harga Rp 8.368,-.
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Russia's conflict with Ukraine has an impact on the global economy, and Indonesia is no exception. This conflict has an impact on the performance of trade between Indonesia and the two countries, especially in the wheat commodity. During the announcement of the Russia-Ukraine war, PT. Indofood CBP Sukses Makmur Tbk drastically decreased to 25.9%. As a result of this decline in stock prices, stock price forecasting is needed to anticipate investors not to experience capital loss using step function intervention analysis. The purpose of this study is to determine the characteristics of the data, examine the model and the effect of the intervention formed, and obtain the results of forecasting the stock price of PT. Indofood CBP Sukses Makmur Tbk for the next period. The results of this study are that the average pre-intervention stock price is higher than during the first and second interventions. The best model formed is the ARIMA model (1,1,0) order b,s,r First intervention (3,0,1) and order b,s,r Second intervention (1,1,0) which means the effect of the first intervention there were three periods since the intervention caused a decrease in share prices with an effect of IDR 417.51. The second intervention effect occurred one period after the intervention experienced an increase in stock prices with an effect of Rp. 501.44, -. In periods two and three, the second intervention causes a decrease in the share price. Forecast results with outsample data have a small percentage error value so that the model can be used to predict stock prices well. The results of forecasting the share price of PT. Indofood CBP Sukses Makmur Tbk on 20 June 2022 – 7 July 2022 has a constant value at Rp. 8,368.-.
| Item Type: | Thesis (Diploma) |
|---|---|
| Uncontrolled Keywords: | ARIMA, Analisis Intervensi, Fungsi Step, Harga Saham, Perang Rusia-Ukraina, Intervention Analysis, Russia-Ukraine’s War, Step Function, Stock Price |
| Subjects: | Q Science > QA Mathematics > QA280 Box-Jenkins forecasting |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Bilqis Della Jesica |
| Date Deposited: | 09 Jun 2023 06:20 |
| Last Modified: | 09 Jun 2023 06:47 |
| URI: | http://repository.its.ac.id/id/eprint/98070 |
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