Konsumsi energi listrik sebagai prediktor return saham sektor manufaktur di bei

Nasution, Arsya Husin Saputra (2018) Konsumsi energi listrik sebagai prediktor return saham sektor manufaktur di bei. Masters thesis, Universitas Pelita Harapan.

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Abstract

Electrical energy holds a key role in running the economy of a country. The influence of electric energy consumption towards the economy is very intriguing to investigate further on its casualty relationship upon stock return as a macroeconomic factor. Its strength factor on predicting stock returns has created a hole where research continues to grow within the fundamental factors of a company in recent industrialization era. The purpose of this study is to determine the relation and predictive of electrical energy on stock returns and investigate significant influence between other variabels (GDP, inflation and bond) and energy consumption, as well as the comparison among them. The research model is a non-structural form, because the characteristic of macroeconomic variable which can not be distinguished in a priori and not stationary at level. So this study gives the portion of all variables as endogenous variables in monthly time series data sample within the period of 2011 - 2017. By looking at the requirements, Vector Error Correction Model (VECM) is expected to accommodate dynamic and fluctuating macroeconomic variable problems. Based on the initial hypotheses, the results of this research will show that electrical energy consumption has a significant negative impact on stock return manufacturing sector in the Indonesia Stock Exchange (BEI) with an R2 of 45.6%. And its prediction of electrical energy consumption on stock return of manufacturing sector in one year is more accurate than any other macroeconomic variabels with RMSE 0.00684. The effect is countercyclical, whereas the higher the electrical energy consumption the lower the stock return of the manufacturing sector will be. / Energi listrik merupakan salah satu bahan baku pokok dalam menjalankan roda perekonomian suatu negara. Pengaruh konsumsi energi listrik bagi perekonomian menimbulkan hal yang patut untuk diteliti lebih jauh hubungan kausalitas terhadap return saham sebagai faktor makroekonomi. Kekuatan prediksinya terhadap return saham menjadi celah penelitian yang masih dieksplorasi dari faktor fundamental perusahaan di era industrialisasi sekarang. Tujuan penelitian ini adalah mengetahui hubungan dan prediksi konsumsi energi listrik terhadap return saham serta perbandingan pengaruh signifikan terhadap variabel lain seperti Produk Domestik Bruto (PDB), inflasi dan obligasi. Model penelitian yang dikembangkan merupakan non-struktural karena karakteristik variabel makroekonomi belum dapat dibedakan secara apriori dan tidak stasioner pada tingkat level. Sehingga penelitian ini memberikan porsi semua variabel sebagai variabel endogen pada sampel data time series bulanan periode tahun 2011 - 2017. Dengan melihat kebutuhan tersebut Vector Error Correction Model (VECM) diharapkan mengakomodasi permasalahan variabel makroekonomi yang bersifat dinamis dan fluktuatif. Berdasarkan hipotesa yang telah dikembangkan, maka hasil penelitiannya sebagai berikut konsumsi energi listrik berpengaruh signifikan negatif terhadap return saham sektor manufaktur di Bursa Efek Indonesia (BEI) dengan nilai R2 sebesar 45,6%. Dan kekuatan prediksi konsumsi energi listrik terhadap return saham sektor manufaktur dalam satu tahun lebih baik dibanding variabel makroekonomi lainnya dengan nilai RMSE 0.02123. Semakin besar konsumsi energi listrik akan mengurangi return saham sektor manufaktur yang bersifat countercyclical

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Nasution, Arsya Husin SaputraNIM00000026552UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorSitorus, TarmidenUNSPECIFIEDUNSPECIFIED
Additional Information: T 19-16 NAS k
Uncontrolled Keywords: stock return ; electrical energy consumption ; Vector Error Correction Model (VECM) ; prediction
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Depositing User: Users 18 not found.
Date Deposited: 20 May 2021 02:24
Last Modified: 21 Jun 2022 04:28
URI: http://repository.uph.edu/id/eprint/27568

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