Putri, Dora Isnaini (2020) Analisis Intervensi pada Pemodelan Beberapa Peristiwa yang Berkaitan dengan Fluktuasi Harga Saham. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Fluktuasi harga saham seringkali dipengaruhi oleh peristiwa-peristiwa yang terjadi. Analisis intervensi dan deteksi outlier digunakan pada penelitian ini untuk mengevaluasi dampak peristiwa terhadap fluktuasi harga saham. Data yang digunakan merupakan data harian harga saham gabungan dan harga saham emiten likuid dan non-likuid. Terdapat lima peristiwa intervensi yang diduga mempengaruhi fluktuasi harga saham gabungan dan harga saham emiten likuid dan non-likuid, yaitu debat capres-cawapres pada pemilu 2019, peristiwa pelaksanaan pemilu 2019, pengumuman hasil pemilu 2019, kebakaran hutan dan lahan di Kalimantan dan Sumatera, serta peristiwa pelantikan kabinet kerja periode 2019-2024. Hasil analisis intervensi dari kelima peristiwa tersebut tidak berpengaruh signifikan terhadap harga saham gabungan dan harga saham individu emiten likuid dan non-likuid. Hasil deteksi outlier pada harga saham gabungan didapatkan bahwa peristiwa yang berpengaruh signifikan adalah perang dagang AS-China, krisis ekonomi di Turki, dan peristiwa mati listrik di Jawa Barat dan DKI Jakarta. Peristiwa intervensi lainnya yang mempengaruhi harga saham emiten likuid adalah krisis ekonomi di Turki dan menjelang cuti bersama hari raya Idul Fitri. Peristiwa intervensi yang mempengaruhi harga saham emiten non-likuid yaitu menurunnya jumlah dana pinjaman yang disalurkan kepada nasabah serta pengumuman peringkat atas kinerja perusahaan.
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Fluctuations in stock prices are often influenced by events that occur. Intervention analysis and outlier detection are used in this study to evaluate the impact of events on stock price fluctuations. The data used is daily data on joint stock prices and stock prices of liquid and non-liquid issuers. There are five intervening events that are suspected to influence fluctuations in joint stock prices and stock prices of liquid and non-liquid issuers, namely the presidential and vice presidential debates in the 2019 elections, the events of the 2019 elections, the announcement of 2019 election results, forest and land fires in Kalimantan and Sumatra, and the inauguration of the work cabinet for the period 2019-2024. The results of the intervention analysis of the five events had no significant effect on the combined share price and individual stock prices of liquid and non-liquid issuers. Outlier detection results on the combined stock price found that events that had a significant effect were the US-China trade war, the economic crisis in Turkey, and the power outage in West Java and DKI Jakarta. Another intervention event that affected the issuer's liquidity stock prices was the economic crisis in Turkey and the eve of Eid al-Fitr holidays. Intervention events that affect the share price of non-liquid issuers include a decrease in the amount of loanable funds distributed to customers and a ranking announcement on the company's performance.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSSt 519.55 Put a-1 2020 |
| Uncontrolled Keywords: | Analisis Intervensi, Deteksi Outlier, Fluktuasi Saham |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Dora Isnaini Putri |
| Date Deposited: | 13 Mar 2025 06:43 |
| Last Modified: | 13 Mar 2025 06:43 |
| URI: | http://repository.its.ac.id/id/eprint/73768 |
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