Pemodelan Ketahanan Emiten Indeks Lq45 Menggunakan Metode Bayesian Cox Proportional Hazard

Fajrin, Nabela Aristya (2022) Pemodelan Ketahanan Emiten Indeks Lq45 Menggunakan Metode Bayesian Cox Proportional Hazard. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pandemi berdampak pada segala aspek kehidupan, salah satunya yaitu perekonomian yang mana mampu mempengaruhi keputusan investor dalam berinvestasi di pasar modal atau Bursa Efek Indonesia (BEI). Terdapat banyak indeks saham dalam BEI, salah satunya yaitu indeks LQ45. Indeks LQ45 merupakan kumpulan 45 emiten terbaik dengan likuiditas tinggi dan kapitalisasi pasar besar serta fundamental perusahaan yang baik. Fundamental ini mengacu pada performa keuangan perusahaan yang ditinjau melalui laporan keuangan. Indikator dalam evaluasi laporan keuangan ialah rasio keuangan, dimana rasio-rasio ini mampu mempengaruhi ketahanan emiten dalam indeks LQ45. Selanjutnya, salah satu analisis yang sesuai ialah analisis survival karena data bergantung pada waktu. Metode yang digunakan pada tugas akhir ini ialah Cox Proportional Hazard Model serta dengan pendekatan bayesian. Cox Proportional Hazard digunakan karena merupakan model semiparametrik sehingga tidak mengharuskan mengikuti distribusi tertentu. Pendekatan Bayesian dapat digunakan untuk memperoleh parameter yang lebih signifikan. Penelitian ini dilakukan untuk menentukan model terbaik yang terbentuk antara Cox roportional Hazard dengan Bayesian Cox Proportional Hazard, serta mengetahui faktor yang mempengaruhi ketahanan emiten untuk tetap tergabung dalam indeks LQ45 berdasarkan rasio keuangan. Penelitian ini menggunakan 13 variabel ksplanatori dari data laporan keuangan perusahaan yang tergabung di indeks LQ45 periode 2016 hingga 2021. Hasil penelitian menunjukkan bahwa pemodelan dengan Bayesian Cox Proportional Hazard lebih baik, dibuktikan dengan nilai Deviance information Criterion (DIC) yang lebih kecil yaitu sebesar 147,31, berbanding dengan Bayesian Information Criterion (BIC) dari Cox Proportional Hazard yang sebesar 149,72. Berdasarkan Bayesian Cox Proportional Hazard, faktor yang mempengaruhi ketahanan emiten pada indeks LQ45 ialah Return on Equity (ROE), Net Profit Margin (NPM), Debt to Equity Ratio (DER), Working Capital Turnover (WCT). Hazard ratio Return on Equity (ROE) adalah sebesar 0,959, Net Profit Margin (NPM) sebesar 1,052, Debt to Equity Ratio (DER) sebesar 1,866, dan Working Capital Turnover (WCT) sebesar 1,972.
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The pandemic has an impact on all aspects of life, one of them is the economy which can influence investors' decisions to invest in the capital market or the Indonesian Stock Exchange. There are many stocks indice on the Bursa Efek Indonesia (BEI), one of them is the LQ45 index. The LQ45 index is a collection of 45 of the best issuers with high liquidity and large market capitalization as well as good company fundamentals. These fundamentals refer to the company's financial performance which is reviewed through the financial reports. Further, indicators in the evaluation of financial reports are financial ratios, which can affect the survival of issuers in the LQ45 index. In this case, the appropriate analysis is survival analysis because the data depend on time. The method used is the Cox Proportional Hazard Model and the Bayesian approach. Cox Proportional Hazard is used because it is a semiparametric model, so it does not require i sue data to follow any specific distributions. Moreover, by using Bayesian approach, the parameter significance level is better. This study was conducted to determine the factors that affect the survival of issuers on the LQ45 index based on financial ratios. This study uses 13 explanatory variables from the financial reports’ data of companies incorporated in the LQ45 index for the period 2016 to 2021. The results show that Bayesian modeling is better, as evidenced by the smaller Deviance Information Criterion (DIC) value is 147.31, compared to Bayesian Information Criterion (BIC) from Cox Proportional Hazard which was 149.72. Based on Bayesian Cox Proportional Hazard, the factors that affect the survival of issuers on the LQ45 index are Return on Equity (ROE), Net Profit Margin (NPM), Debt to Equity Ratio (DER), Working Capital Turnover (WCT). Hazard ratio Return on Equity (ROE) is 0.959, Net Profit Margin (NPM) is 1.052, Debt to Equity Ratio (DER) is 1.866, Working Capital Turnover (WCT) is 1.972.

Item Type:	Thesis (Other)
Additional Information:	RSAk 519.542 Faj p-1 2022
Uncontrolled Keywords:	Indeks LQ45, rasio keuangan, Cox Proportional Hazard, Bayesian Cox Proportional Hazard, hazard ratio, LQ45 index, financial ratio
Subjects:	Q Science > QA Mathematics > QA279.5 Bayesian statistical decision theory.
Divisions:	Faculty of Mathematics, Computation, and Data Science > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Mr. Marsudiyana -
Date Deposited:	22 Nov 2024 04:00
Last Modified:	22 Nov 2024 04:00
URI:	http://repository.its.ac.id/id/eprint/115822

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