Nugroho, Alfiansyah Prasetyo (2023) Peramalan Harga Saham Bank Badan Usaha Milik Negara (BUMN) Berdasarkan Tingkat Inflasi Menggunakan Model Fungsi Transfer. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Badan Usaha Milik Negara (BUMN) merupakan pelaku kegiatan ekonomi yang penting di dalam perekonomian nasional, salah satunya dalam sektor perbankan. Bank BUMN yang terdaftar di Bursa Efek Indonesia (BEI) dan akan diramalkan nilainya pada penelitian ini terdiri atas PT Bank Bank Rakyat Indonesia (Persero) Tbk. (BBRI), PT Bank Mandiri (Persero) Tbk. (BMRI), PT Bank Negara Indonesia (Persero) Tbk. (BBNI), dan PT Bank Tabungan Negara (Persero) Tbk. (BBTN). Terjadinya ketidakstabilan tingkat inflasi dalam dua tahun terakhir, yaitu penurunan secara ekstrim pada Bulan Februari 2020 – April 2020 serta kenaikan ekstrim pada Bulan Juli 2022 – September 2022 menimbulkan efek berantai pada harga saham, khususnya pada perusahaan sektor perbankan. Pada penelitian ini akan diramalkan harga penutupan saham bulanan Bank BUMN pada periode mendatang berdasarkan tingkat inflasi dengan menggunakan model fungsi transfer. Peramalan menggunakan model fungsi transfer diawali dengan membangun model ARIMA pada data tingkat inflasi sebagai deret input, dimana kemudian model terbaik hasil analisis time series digunakan untuk meramalkan harga penutupan saham bulanan sebagai deret output. Hasil analisis model ARIMA terbaik untuk meramalkan tingkat inflasi yaitu ARIMA (1,0,0) yang kemudian menghasilkan model fungsi transfer terbaik untuk meramalkan harga penutupan saham Bank BUMN yaitu model b,r,s (0,0,0) dengan deret noise ARIMA (1,0,0) dimana hasil ramalan masing-masing saham Bank BUMN membentuk pola trend menurun pada periode November 2022 – Oktober 2023
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Badan Usaha Milik Negara (BUMN) is one of the most important national economic agent in Indonesia, which also has a role in banking sector. Banking sector industries of BUMN that has been registered in Bursa Efek Indonesia (BEI) and wich its stock price will be forecasted in this research is PT Bank Bank Rakyat Indonesia (Persero) Tbk. (BBRI), PT Bank Mandiri (Persero) Tbk. (BMRI), PT Bank Negara Indonesia (Persero) Tbk. (BBNI), and PT Bank Tabungan Negara (Persero) Tbk. (BBTN). The instability of inflation rate that happened in the last two years because of covid-19, which consisted with extreme reduction in February 2020 – April 2020 and extreme increase in July 2022 – September 2022 was giving some chain effects to stock prices, especially in banking sector industries. This research will forecast the monthly closing price for banking sector industries’ stock of BUMN for the next period based on inflation rate using transfer function model. Forecasting using transfer model is started with build an ARIMA model for inflation rate as the input series, the best model of time series ARIMA will be used to forecast the monthly stock closing price as the output series. The result is inidicates that the best ARIMA model to foorecast inflation rate is ARIMA (1,0,0) which produce the best transfer function model to forecast the stock’s closing price of BUMN’s bank is transfer function model b,r,s (0,0,0) with noise ARIMA (1,0,0) where each of BUMN’s Bank forecast price has decreasing trend at November 2022 – October 2023.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | ARIMA, Bank BUMN, Fungsi Transfer, Inflasi |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HC Economic History and Conditions > HC108 Market surveys. H Social Sciences > HF Commerce > HF5658.5 Price fluctuations H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Alfiansyah Prasetyo Nugroho |
| Date Deposited: | 27 Feb 2023 01:42 |
| Last Modified: | 27 Feb 2023 01:42 |
| URI: | http://repository.its.ac.id/id/eprint/96212 |
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