Penggunaan Model Vector Autoregressive dan Vector Autoregressive Moving Average untuk Menganalisis Pengaruh Indeks Internasional terhadap Indeks Harga Saham Gabungan = The Usage of Vector Autoregressive and Vector Autoregressive Moving Average to Analyze the Effect of International Index on Indonesia Composite Index

Felix, Gautama (2022) Penggunaan Model Vector Autoregressive dan Vector Autoregressive Moving Average untuk Menganalisis Pengaruh Indeks Internasional terhadap Indeks Harga Saham Gabungan = The Usage of Vector Autoregressive and Vector Autoregressive Moving Average to Analyze the Effect of International Index on Indonesia Composite Index. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Pengaruh ekonomi dari suatu negara terutama negara yang memiliki kekuatan ekonomi besar dapat mempengaruhi ekonomi negara lainnya. Dapat dilihat dengan jelas fenomena ini dari salah satu krisis yang terjadi pada tahun 1997, secara cepat dampaknya dirasakan hingga negara-negara di Asia termasuk Indonesia. Salah satu cermin dari pergerakan ekonomi sebuah negara adalah pasar modal. Pasar modal memiliki peran penting dalam ekonomi terutama dalam investasi. Harga saham pada pasar modal menjadi salah satu tolak ukur dalam melakukan investasi. Kinerja dari saham setiap negara direfleksikan melalui indeks-indeks yang ada dalam negara tersebut. Tujuan dari tugas akhir ini adalah menganalisis bagaimana indeks saham dunia yaitu indeks Dow Jones, S&P 500, Hang Seng dan Nikkei 225 mempengaruhi nilai Indeks Harga Saham Gabungan Indonesia. Penelitian dilakukan dengan menggunakan data penutupan bulanan dari tahun 2000 hingga 2021. Metode yang digunakan adalah metode vector autoregressive dan vector autoregressive moving average. Metode ini digunakan untuk melihat adanya dampak yang dihasilkan oleh indeks asing terhadap IHSG. Dari penelitian didapatkan bahwa keempat indeks internasional memiliki hubungan kausalitas searah dengan IHSG sebagai variabel dependen. Hasil penelitian menunjukkan bahwa metode VARMA secara umum dapat lebih akurat memprediksi nilai IHSG jika dibandingkan dengan metode VAR. Variabel Hang Seng memberikan nilai residu terkecil. Hal ini menunjukkan model yang dihasilkan akan semakin akurat./The economic influence of a country, especially a country that has great economic power could affect the economy of other countries. This phenomenon can be clearly seen from one of the crises that occurred in 1997, the impact was quickly felt by countries in Asia including Indonesia. The economic movement of a country could be reflected form the capital market. The capital market has an important role in the economy, especially in investment. Stock prices on the capital market become one of the benchmarks in making investments. Performance of stocks in each country are reflected by the indices in the the country. The purpose of this final project is to analyze how the world stock index especially Dow Jones, S&P 500, Hang Seng and Nikkei 225 indices affect the value of the Indonesian Composite Stock Price Index (JCI). This final project is conducted using monthly closing data from 2000 to 2021. The method used is the vector autoregressive and vector method autoregressive moving average. This method is used to see if the impact generated by foreign indices on the JCI. From the research, it was found that the four international indices had a direct causal relationship with the JCI as the dependent variable. Results showed that the VARMA method in general can be more accurate in predicting the value of JCI when compared with the VAR method. The smallest residuals is shown by the model with variable Hang Seng. This means Hang Seng model has the best accuracy compared to other variable.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Felix, GautamaNIM01112180020felixgautama7@gmail.com
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorMargaretha, HelenaNIDN0312057504helena.margaretha@uph.edu
Thesis advisorFerdinand, Ferry VincettiusNIDN0323059001ferry.vincenttius@uph.edu
Uncontrolled Keywords: Vector autoregressive; Vector autoregressive moving average; Indonesia composite index; Multivariate time series; Forecasting
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Users 6040 not found.
Date Deposited: 21 Feb 2022 10:43
Last Modified: 21 Feb 2022 10:43
URI: http://repository.uph.edu/id/eprint/46533

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