Peramalan Indeks Harga Saham Gabungan (IHSG) Akibat Kenaikan Suku Bunga Bank Sentral Amerika Serikat (The Fed) Menggunakan Model Intervensi

Rodhiyah, Dzauqiyah Khijar (2023) Peramalan Indeks Harga Saham Gabungan (IHSG) Akibat Kenaikan Suku Bunga Bank Sentral Amerika Serikat (The Fed) Menggunakan Model Intervensi. Diploma thesis, Institut Teknologi Sepuluh Nopember.

Text 10611910000004-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 October 2025. Download (1MB) | Request a copy

Abstract

Indeks Harga Saham Gabungan (IHSG) merupakan salah satu indeks pasar saham yang digunakan oleh Bursa Efek Indonesia. Setiap hari IHSG mengalami fluktuasi secara tidak pasti dan menjadikan kegiatan perdagangan saham beresiko tinggi. Adanya fluktuasi pada IHSG salah satunya dipengaruhi faktor luar negeri yaitu kenaikan suku bunga Bank Sentral Amerika Serikat (The Fed). Sehingga, dibutuhkan suatu metode untuk meramalkan IHSG di masa mendatang serta mengetahui besar dan lamanya efek dari dampak kenaikan suku bunga The Fed terhadap IHSG yang berguna bagi investor untuk meminimalisir risiko yang akan dihadapi. Tujuan penelitian ini yaitu untuk mendapatkan model dan hasil ramalan nilai IHSG akibat adanya intervensi kenaikan suku bunga The Fed. Metode peramalan yang digunakan dalam penelitian ini adalah model intervensi karena terdapat suatu kejadian eksternal (intervensi) dan akan mengakibatkan perubahan pola data pada suatu waktu T. Analisis intervensi digunakan untuk mengukur besar dan lamanya efek intervensi yang terjadi pada waktu T. Hasil penelitian ini menunjukkan bahwa model yang terbentuk adalah ARIMA (0, 0, 1)(0, 1, 0)2 dengan orde intervensi pertama (16, 0, 0), orde intervensi kedua adalah (1, 5, 0), dan orde intervensi ketiga adalah (12, 0, 0). Kenaikan suku bunga The Fed sebesar 25 basis poin dan 50 basis poin tidak memberikan dampak yang signifikan pada IHSG, sedangkan kenaikan suku bunga The Fed sebesar 75 basis poin memberikan dampak yang signifikan terhadap IHSG. Hasil peramalan nilai IHSG hampir mendekati nilai sebenarnya. Hal tersebut dikarenakan akurasi model cukup baik dengan RMSE sebesar 40,26, MAD sebesar 32,26, dan MAPE sebesar 0,45% sehingga model yang didapatkan cukup sesuai dalam melakukan peramalan.
================================================================================================================================
The Composite Stock Price Index (IHSG) is one of the stock market indices used by the Indonesia Stock Exchange. IHSG fluctuates uncertainly every day and makes stock trading activities high risk. The fluctuations in the IHSG were influenced by foreign factors, namely the increasing interest rate of the Central Bank of United States (The Fed). Thus, a method is needed to predict the IHSG in the future and to know the magnitude and duration of the effect of The Fed's interest rate increase on the IHSG which can be useful for investors to minimize the risks that will be faced. This study aims to get a model and forecast results for the IHSG due to The Fed's interest rate hike intervention. The forecasting method used in this study is intervention model because there is an external event (intervention) that will result in a change in the data pattern at time T. Intervention analysis is used to measure the magnitude and duration of the effect of the intervention that occurs at time T. This study's results indicate that the model formed is ARIMA (0, 0, 1)(0, 1, 0)2 with the first intervention order (16, 0, 0), the second intervention order is (1, 5, 0), and the third intervention order is (12 , 0, 0). The increase in The Fed's interest rate by 25 basis points and 50 basis points did not have a significant impact on IHSG, in comparison the increase in The Fed's interest rate by 75 basis points had a significant impact on IHSG. The forecasting results for the IHSG value are close to the actual value. This is because the model accuracy is quite good with RMSE is 40.26, MAD is 32.26, and MAPE is 0.45% so that the model obtained is quite suitable for forecasting.

Item Type:	Thesis (Diploma)
Uncontrolled Keywords:	IHSG, Model Intervensi, Suku Bunga, The Fed, Intervention Model, Interest Rate
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics > QA280 Box-Jenkins forecasting
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Dzauqiyah Khijar Rodhiyah
Date Deposited:	14 Jun 2023 04:42
Last Modified:	14 Jun 2023 04:42
URI:	http://repository.its.ac.id/id/eprint/98111

Actions (login required)

View Item