PREDIKSI HARGA SAHAM MENGGUNAKAN MODEL AUTOREGRESSIVE DISTRIBUTED LAG (studi kasus harga saham PT Bank Central Asia Tbk.)

Isfi Khoirun Nisa, - (2019) PREDIKSI HARGA SAHAM MENGGUNAKAN MODEL AUTOREGRESSIVE DISTRIBUTED LAG (studi kasus harga saham PT Bank Central Asia Tbk.). S1 thesis, Universitas Pendidikan Indonesia.

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Abstract

Investasi merupakan salah satu cara yang dapat dilakukan oleh masyarakat untuk memenuhi kebutuhan di masa mendatang. Salah satu jenis instrumen investasi yang paling banyak dipilih oleh investor adalah investasi saham, saham merupakan investasi jangka pendek. Pergerakan harga saham tidak dapat diprediksi secara pasti dan dapat berubah seiring waktu. Berbagai faktor makroekonomi dapat mempengaruhi pergerakan harga saham. Tujuan penelitian adalah untuk memprediksi harga saham PT Bank Central Asia Tbk beberapa periode mendatang menggunakan model Autoregressive Distributed Lag (ARDL). Berdasarkan hasil penelitian, tidak terdapat kointegrasi antar variabel dependen dengan independen. Hasil dari model ARDL menunjukkan bahwa variabel harga saham PT Bank Central Asia Tbk. periode saat ini dipengaruhi oleh harga saham itu sendiri pada periode satu bulan sebelumnya, inflasi periode saat ini, nilai tukar periode saat ini, IHSG periode saat ini dan periode satu bulan sebelumnya, dan harga minyak dunia periode satu bulan dan dua bulan sebelumnya. Dengan nilai MAPE sebesar 0,146%, hasil prediksi harga saham PT. Bank Central Asia Tbk. dengan menggunakan model ARDL dikatakan sangat baik. Kata Kunci: Model Autoregressive Distributed Lag (ARDL), Kointegrasi, Saham, Faktor Makroekonomi, MAPE. Investment is one of many ways for people to meet their future needs. One of the most selected investment instruments by investors is stock investment, stock is investment with short-term effects. The movement of the stock price cannot be predicted certainly because it can change over time. A variety of macroeconomic factors can affect the movement of the stock price. This study aims to predict the future stock price of PT Bank Central Asia Tbk. using Autoregressive Distributed Lag Model. Based on the results of the study, there are no cointegrations between dependent and independent variables. The results of Autoregressive Distributed Lag Model show that the current stock price of PT Bank Central Asia Tbk. is affected by the one month ago stock price, inflation in the current period, exchange rate in the current period, the IDX composite in the current and one month ago period, and world oil prices one month and two months ago. With the MAPE value of 0.146%, so the prediction results of stock price using Autoregressive Distributed Lag Model is considered as a good category as it approaches actual data value of the PT Bank Central Asia Tbk. stock price. Keywords: Autoregressive Distributed Lag Model (ARDL), Cointegration, Stocks, Macroeconomic Factors, MAPE.

Item Type:	Thesis (S1)
Uncontrolled Keywords:	Model Autoregressive Distributed Lag (ARDL), Kointegrasi, Saham, Faktor Makroekonomi, MAPE.
Subjects:	L Education > L Education (General) Q Science > QA Mathematics
Divisions:	Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Jurusan Pendidikan Matematika > Program Studi Matematika (non kependidikan)
Depositing User:	Isfi Khoirun Nisa
Date Deposited:	09 Mar 2020 09:28
Last Modified:	09 Mar 2020 09:28
URI:	http://repository.upi.edu/id/eprint/38875

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