Peramalan Harga Saham Terpilih Dari Optimasi Saham Pada Indeks LQ45 Menggunakan Metode Markowitz dan Vector Auotoregressive (VAR)

Setiawan, Muhammad Arsya (2026) Peramalan Harga Saham Terpilih Dari Optimasi Saham Pada Indeks LQ45 Menggunakan Metode Markowitz dan Vector Auotoregressive (VAR). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pertumbuhan investasi di Indonesia mengalami peningkatan yang signifikan dalam beberapa tahun terakhir dan menarik minat investor domestik maupun asing. Salah satu indeks saham acuan di Bursa Efek Indonesia adalah Indeks LQ45 yang berisi saham-saham dengan likuiditas tinggi dan kapitalisasi pasar besar. Investasi saham memiliki potensi keuntungan berupa capital gain dan dividen, namun juga memiliki risiko yang tinggi sehingga diperlukan pembentukan portofolio optimal untuk memaksimalkan tingkat pengembalian dan meminimalkan risiko. Penelitian ini menggunakan metode Markowitz untuk menentukan komposisi bobot saham optimal berdasarkan expected return, risiko, dan hubungan antar saham. Selanjutnya, harga saham penyusun portofolio optimal dimodelkan menggunakan metode Vector Autoregressive Integrated atau VARI(1,1). Metode VARI digunakan karena data harga saham merupakan data deret waktu multivariat yang saling berkaitan antar variabel dan memerlukan proses differencing agar memenuhi kestasioneran. Berdasarkan hasil analisis, pembentukan portofolio optimal menggunakan model Markowitz menghasilkan tingkat risiko portofolio sebesar 7,90% dengan nilai Sharpe Ratio sebesar 13,54. Komposisi portofolio yang terbentuk terdiri dari saham AMRT, ANTM, BBNI, MEDC, DAN PGAS, dengan bobot saham dalam portofolio optimal terdiri atas AMRT sebesar 20,41%, ANTM sebesar 25,83%, BBNI sebesar 15,99%, MEDC sebesar 37,77%. Saham PGAS tidak termasuk dalam portofolio optimal akhir karena memperoleh bobot 0,00%. Selanjutnya, model VARI(1,1) digunakan untuk melakukan peramalan harga saham ANTM, BBNI, AMRT, dan MEDC selama periode Oktober hingga Desember 2025. Hasil peramalan menunjukkan bahwa saham ANTM dan BBNI cenderung mengalami penurunan, sedangkan saham AMRT dan MEDC cenderung mengalami kenaikan.
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Investment growth in Indonesia has increased significantly in recent years and has attracted the interest of both domestic and foreign investors. One of the benchmark stock indices on the Indonesia Stock Exchange is the LQ45 Index, which consists of stocks with high liquidity and large market capitalization. Stock investment offers potential returns in the form of capital gains and dividends; however, it also carries a high level of risk. Therefore, the formation of an optimal portfolio is needed to maximize return and minimize risk. This study uses the Markowitz method to determine the optimal stock weight composition based on expected return, risk, and the relationship among stocks. Furthermore, the stock prices of the optimal portfolio constituents are modeled using the Vector Autoregressive Integrated method, or VARI(1,1). The VARI method is used because stock price data are multivariate time series data that are interrelated among variables and require a differencing process to achieve stationarity. Based on the analysis results, the formation of the optimal portfolio using the Markowitz model produces a portfolio risk level of 7.90% with a Sharpe Ratio value of 13.54. the compotition of optimum portfolio are stock from AMRT,ANTM,BBNI,MEDC, AND PGAS The stock weight composition in the optimal portfolio consists of AMRT at 20.41%, ANTM at 25.83%, BBNI at 15.99%, and MEDC at 37.77%. PGAS is not included in the final optimal portfolio because it has a weight of 0.00%. Furthermore, the VARI(1,1) model is used to forecast the stock prices of ANTM, BBNI, AMRT, and MEDC during the period from October to December 2025. The forecasting results show that ANTM and BBNI tend to decline, while AMRT and MEDC tend to increase.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Capital Gain, Investasi, LQ45, Markowitz, Vector Autoregressive Integrated. Capital Gain,Investment,LQ45, Markowitz, Vector Autoregressive Integrated.
Subjects:	Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Muhammad Arsya Setiawan
Date Deposited:	20 Jul 2026 07:10
Last Modified:	20 Jul 2026 07:10
URI:	http://repository.its.ac.id/id/eprint/135711

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