Krestianti, Valiana Gamma (2021) Analisis Faktor-Faktor yang Mempengaruhi IHSG IDX30 Menggunakan Regresi Data Panel. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
IDX30 menjadi acuan bagi para investor dalam berinvestasi pada saham dengan likuiditas tinggi, kapitalisasi besar, dan fundamental perusahaan yang baik sehingga memudahkan investor dalam memilih saham yang termasuk kategori unggulan, karena IDX30 adalah indeks dalam pasar modal yang mengukur kinerja harga 30 saham perusahaan yang memiliki tingkat likuditas tinggi, kapitalisasi pasar besar, dan fundamental perusahan yang baik. Naik turunnya harga saham dipengaruhi oleh beberapa hal, antara lain isu ekonomi, korporasi, hingga isu dunia sehingga, penting bagi investor untuk mengetahui faktor-faktor apa saja yang mempengaruhi harga saham dan mengantisipasi seberapa besar pengaruh perubahan faktor tersebut dalam pergerakan harga saham di Indonesia. Penelitian bertujuan untuk menganalisis faktor-faktor yang diduga mempengaruhi IHSG IDX30 dengan menggunakan metode regresi data panel. Hasil yang didapatkan adalah model FEM (Fixed Effect Model) antar individu dengan data ditransformasi menggunakan ln, dimana variabel yang berpengaruh signifikan terhadap harga saham IHSG IDX30 adalah variabel volume perdagangan saham dan PBV, yang menunjukkan ketika volume perdagangan saham naik sebesar 1%, maka harga saham IHSG IDX 30 akan meningkat sebesar 0,086%, dengan syarat PBV konstan. Ketika PBV meningkat sebesar 1%, maka harga saham IHSG IDX 30 akan meningkat sebesar 0,894%, dengan syarat volume perdagangan konstan. Koefisien determinasi didapatkan pada model tersebut sebesar 99.0% yang berarti variabel independen mampu menjelaskan model sebesar 99% dan sisanya dijelaskan oleh variabel lain diluar model.
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IDX30 is a reference for investors to investing stocks with high liquidity, large capitalization, and good company fundamentals so that investors can choose the stocks that are included in the superior category easily because IDX30 is an index in the Indonesian capital market that measures the price performance of 30 shares of companies that have high liquidity, large market capitalization, and good fundamentals company. The ups and downs of stock prices are influenced by several things, including economic, corporate, and world issues. So, investors need to know what factors that affecting stock prices and anticipating how big the impact of the factors changes in Indonesian stock prices movement. Therefore, research was conducted about the analysis of the factors that affect the IHSG IDX30 stock price using the panel data regression method. The estimation result shows that the selected model is a fixed-effect model with transformation variables using ln. The model shows that stock trading volume and PBV have a significant effect on the IHSG IDX30 stock price, that shows every 1% increase of stock trading volume, the IHSG IDX30 stock price will increase 0,086% by a term that PBV ratio in the model is constant, and every 1% increase of PBV ratio, the IHSG IDX30 stock price will increase 0,894% by a term that stock trading volume in the model is constant. The coefficient of determination obtained is 99.0%, which means that the independent variables can explain the model about 99%, and the rest explained by other variables outside the model.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | IDX30, IHSG, Regresi Data Panel, Panel Data Regression. |
| Subjects: | H Social Sciences > HA Statistics > HA29 Theory and method of social science statistics H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. 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: | Valiana Gamma Krestianti |
| Date Deposited: | 09 Aug 2021 02:21 |
| Last Modified: | 19 Jul 2024 04:02 |
| URI: | http://repository.its.ac.id/id/eprint/85179 |
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