Handoko, Rayhan Aidifa (2026) Kointegrasi dan Kausalitas Harga Saham PT. Aneka Tambang (ANTM) dengan Harga Komoditas Global dan Indikator Makroekonomi: Pendekatan Vector Error Correction Model (VECM). Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Transisi energi global menuju kendaraan listrik telah menempatkan nikel sebagai komoditas strategis, di mana Indonesia memegang peranan vital melalui kebijakan hilirisasi pertambangan. Penelitian ini bertujuan menganalisis dinamika hubungan jangka pendek, jangka panjang, dan hubungan kausalitas antara harga saham PT Aneka Tambang Tbk (ANTM) dengan harga komoditas global dan indikator makroekonomi. Data yang digunakan adalah data runtut waktu bulanan periode Januari 2015 hingga Desember 2025. Melalui pendekatan Vector Error Correction Model (VECM) lag 2, hasil uji kointegrasi Johansen menunjukkan adanya dua hubungan keseimbangan jangka panjang antarvariabel. Dalam jangka panjang, harga saham ANTM secara signifikan dipengaruhi oleh harga nikel, inflasi, suku bunga, dan faktor tren, dengan kecepatan penyesuaian sebesar -8,7% per periode. Dalam jangka pendek, perubahan harga nikel dunia dan tingkat inflasi berpengaruh positif signifikan terhadap perubahan harga saham ANTM. Lebih lanjut, uji kausalitas Granger mengonfirmasi hubungan searah dari harga nikel ke saham ANTM serta dari Saham ANTM terhadap Harga Emas Berjangka. Temuan ini mengindikasikan bahwa perubahan harga nikel pada periode sebelumnya secara signifikan dapat memprediksi pergerakan saham ANTM, dan sebaliknya. Analisis Impulse Response Function (IRF) menunjukkan saham ANTM merespons positif guncangan harga nikel, harga emas, dan suku bunga, namun merespons negatif guncangan inflasi dalam jangka panjang. Hasil Forecast Error Variance Decomposition (FEVD) mengindikasikan bahwa variasi harga saham ANTM dalam jangka panjang tetap didominasi faktor internalnya (89,41%), dengan kontribusi eksternal terbesar berasal dari harga nikel (4,10%) dan suku bunga (4,88%). Penelitian ini memberikan wawasan empiris penting bagi investor dalam memitigasi risiko pasar sistemik pada sektor mineral strategis.
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The global energy transition toward electric vehicles has positioned nickel as a strategic commodity, with Indonesia playing a vital role through its mining downstreaming policy. This study aims to analyze the dynamics of short-term, long-term, and causal relationships between the stock price of PT Aneka Tambang Tbk (ANTM), global commodity prices, and macroeconomic indicators. The study utilizes monthly time-series data spanning from January 2015 to December 2025. Employing a Vector Error Correction Model (VECM) with a lag length of 2, the Johansen cointegration test indicates the presence of two long-run equilibrium relationships among the variables. In the long run, ANTM's stock price is significantly influenced by nickel prices, inflation, interest rates, and a deterministic trend, with an Error Correction Term (ECT) adjustment speed of -8.7% per period. In the short run, changes in world nickel prices and the inflation rate have a significant positive effect on changes in ANTM's stock price. Furthermore, the Granger causality test confirms a unidirectional causality running from nickel prices to ANTM stock prices, as well as from ANTM stock prices to gold futures prices. These findings indicate that past changes in nickel prices can significantly predict ANTM stock movements, and conversely, ANTM stock prices can predict gold futures prices. Impulse Response Function (IRF) analysis reveals that ANTM's stock price responds positively to shocks in nickel prices, gold prices, and interest rates, but negatively to inflation shocks in the long run. The Forecast Error Variance Decomposition (FEVD) results indicate that ANTM's stock price variation over the long run remains predominantly driven by its own internal dynamics (89.41%), with the largest external contributions originating from interest rates (4.88%) and nickel prices (4.10%). This study offers crucial empirical insights for investors in mitigating systemic market risk within the strategic mineral sector.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | ANTM, Harga Emas, Harga Nikel, Makroekonomi, VECM, ANTM, Gold Price, Macroeconomics, Nickel Price, VECM. |
| Subjects: | Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA278 Cluster Analysis. Multivariate analysis. Correspondence analysis (Statistics) |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Rayhan Aidifa Handoko |
| Date Deposited: | 04 Aug 2026 03:03 |
| Last Modified: | 04 Aug 2026 03:03 |
| URI: | http://repository.its.ac.id/id/eprint/142439 |
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