ANALISA PENURUNAN HARGA SAHAM PADA KONDISI JENUH JUAL DENGAN PENDEKATAN WIENER PROSES DAN TIME SERIES

Haerudin, Haerudin (2013) ANALISA PENURUNAN HARGA SAHAM PADA KONDISI JENUH JUAL DENGAN PENDEKATAN WIENER PROSES DAN TIME SERIES. S2 thesis, Universitas Mercu Buana Jakarta - Menteng.

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Abstract

Relative Strength Index (RSI) is an indicator commonly used to determine the condition of oversold and overbought. When the oversold condition is reached, investors have not been able to determine at what stock price reversal will occur. With Generalized Wiener Process (GWP) and Time Series Analysis (TSA) or ARIMA, investors are expected to be able to predict how long and how much the decline in stock prices in the oversold condition. The purpose of this study to determine the accuracy of timing and accuracy of the price estimation method of GWP and TSA. Analysis done on the LQ45 group shares listed on the Stock Exchange in 2012 and had oversold conditions. Analysis period is the period of action net sell newswatcher and occurred in 68 oversold conditions of 37 shares. The results concluded that the estimated time of attainment of a minimum RSI GWP models are more accurate than the model TSA because of the time difference between the actual minimum RSI with RSI minimal estimate of GWP is shorter than the time difference between the actual minimum RSI with RSI minimal TSA estimates, the actual price of the stock on the RSI minimal model of GWP relative to the actual price of the stock on the RSI 30 is more accurate than the actual price of the stock at a minimum RSI TSA models relative to the actual stock price on the RSI 30. Key word: Relative Strength Index, Generalized Wiener Process, Time Series Analysis, ARIMA, Newswatcher Relative Strength Index (RSI) adalah indikator yang biasa dipakai untuk mengetahui kondisi jenuh jual dan jenuh beli. Ketika kondisi jenuh jual tercapai, investor belum dapat menentukan pada harga saham berapa akan terjadi pembalikan arah. Dengan Generalized Wiener Process (GWP) dan Time Series Analysis (TSA) atau ARIMA, diharapkan investor dapat memprediksi berapa lama dan berapa besar terjadinya penurunan harga saham pada kondisi jenuh jual tersebut. Tujuan penelitian ini untuk mengetahui tingkat akurasi waktu dan tingkat akurasi harga hasil estimasi metode GWP dan TSA. Analisa dilakukan pada saham kelompok LQ45 yang terdaftar di BEI pada tahun 2012 dan mengalami kondisi jenuh jual. Periode analisa harga saham adalah periode aksi penjualan net sell newswatcher dan terjadi pada 68 kondisi jenuh jual 37 saham. Hasil penelitian disimpulkan bahwa estimasi waktu pencapaian RSI minimal model GWP lebih akurat dibandingkan dengan model TSA karena perbedaan waktu antara RSI minimal aktual dengan RSI minimal estimasi GWP lebih pendek dibandingkan dengan perbedaan waktu antara RSI minimal aktual dengan RSI minimal estimasi TSA, harga aktual saham pada RSI minimal model GWP relatif terhadap harga aktual saham pada RSI 30 lebih akurat dibandingkan dengan harga aktual saham pada RSI minimal model TSA relative terhadap harga saham aktual pada RSI 30. Kata kunci: Relative Strength Index, Generalized Wiener Process, Time Series Analysis, ARIMA, Newswatcher

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