ANALISIS IMBAL HASIL DAN RISIKO SAHAM PERBANKAN BUKU III TERDAFTAR DI BURSA EFEK INDONESIA

ARTANTO, NOVIESAG (2021) ANALISIS IMBAL HASIL DAN RISIKO SAHAM PERBANKAN BUKU III TERDAFTAR DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

Stock is one of the investment instruments that many investors choose. One of the industrial sectors on the Indonesia Stock Exchange is the financial sector. Banking is one of the financial sub-sectors. BUKU III banking stocks are included in the top 50 market capitalization category on the IDX in 2019. BUKU III bank stock returns fluctuate, indicating a high risk. This study analyzes the return and risk of shares in BUKU III using the ARCH / GRACH approach. The research also aims to find the best ARCH / GARCH model to estimate BUKU III stock returns, calculate the possible losses faced by investors using the VaR approach, and analyze the probability of winning from the stock returns of BUKU III banks. The results showed that the highest average return was generated by MAYA shares. For the ARCH / GARCH approach, the best model in the volatility of return of banking stocks in BUKU III, the majority use the GARCH model (1,1). The smallest risk that investors will accept is generated by the VaR of MEGA shares, which is 10.17%. The shares with the highest winning probability are produced by MEGA shares, which is 61%. Keywords: Stock Return, Banking Stock, ARCH / GARCH, VaR Saham merupakan salah satu instrumen investasi yang banyak dipilih investor. Salah satu sektor industri di Bursa Efek Indonesia adalah sektor keuangan. Perbankan merupakan salah satu sub-sektor keuangan. Saham perbankan BUKU III masuk dalam kategori 50 besar kapitalisasi pasar di BEI tahun 2019. Return saham bank BUKU III berfluktuasi yang menunjukkan risikonya tinggi. Penelitian ini menganalisis return dan risiko saham BUKU III menggunakan pendekatan ARCH/GRACH. Penelitian juga bertujuan menemukan model ARCH/GARCH terbaik untuk mengestimasi return saham BUKU III, menghitung kemungkinan kerugian yang dihadapi investor menggunakan pendekatan VaR, dan menganalisis probabilitas menang dari return saham bank BUKU III. Hasil penelitian menunjukkan rata-rata return tertinggi dihasilkan oleh saham MAYA. Untuk pendekatan ARCH/GARCH model terbaik dalam volatilitas return saham perbankan BUKU III mayoritas menggunakan model GARCH (1,1). Risiko terkecil yang akan diterima investor dihasilkan oleh VaR saham MEGA yaitu sebesar 10,17%. Saham dengan probabilitas menang tertinggi dihasilkan oleh saham MEGA yaitu sebesar 61%. Kata Kunci : Return Saham, Saham Perbankan, ARCH/GARCH, VaR

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