DHARMADINATA, YENDRA (2021) ANALISIS RISIKO DAN IMBAL HASIL SAHAM PERBANKAN BUKU IV DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Banking shares Book IV are 6 (six) banks that have the largest capitalization in Indonesia. The volatility of these banking shares, is estimated to have a strong risk of turmoil in the Indonesian domestic economy, also has an impact on the international economy, so it is necessary to conduct research related to the price and return of its shares. This study aims to obtain the optimum model as a basis for calculating VaR (Value at Risk), which is to measure the maximum risk of each banking stock book iv. This research data is secondary time series data in the form of monthly return value of Bank Mandiri shares (BMRI), Bank BRI (BBRI), Bank BNI (BBNI), Bank BCA (BBCA), Bank CIMB-Niaga (BNGA) and Bank Pan Indonesia (PNBN). The range of research data starts from June 2004 to September 2019, which was obtained from www.investing.com without including the share dividend factor. The ARCH / GARCH model is used to estimate the value of VaR as a maximum loss over a certain period of time at a certain level of confidence. The results of the study are useful for policy makers as a basis for consideration in making macroeconomic risk mitigation policies due to shocks that occur in banking stocks Book IV. It also can be used as a basis for consideration of risk mitigation that occurs in this sector due to shocks in macroeconomic indicators. Keywords: Banking shares Book IV, Stock, Returns, ARCH / GARCH, Value at- Risk., Saham perbankan buku IV, merupakan 6 (enam) bank yang memiliki kapitalisasi terbesar di Indonesia. Volatilitas saham perbankan ini, diperkirakan memiliki risiko yang kuat terhadap gejolak ekonomi domestik Indonesia, juga berdampak pada ekonomi internasional, sehingga perlu dilakukan penelitian terkait dengan harga dan return sahamnya. Penelitian ini bertujuan untuk mendapatkan model optimum sebagai dasar perhitungan VaR (Value at Risk) yaitu mengukur risiko maksimum dari setiap saham perbankan buku iv. Data penelitian ini merupakan data sekunder time series berupa nilai imbal hasil bulanan saham Bank Mandiri (BMRI), Bank BRI (BBRI), Bank BNI (BBNI), Bank BCA (BBCA), Bank CIMB-Niaga (BNGA) dan Bank Pan Indonesia (PNBN). Rentang data penelitian dimulai dari Juni 2004 sampai dengan September 2019, yang diperoleh dari www.investing.com tanpa memasukan faktor Dividen saham tersebut. Model ARCH/GARCH digunakan untuk mengestimasi nilai VaR sebagai kerugian maksimum selama periode waktu tertentu pada tingkat kepercayaan tertentu. Hasil penelitian bermanfaat bagi para pemangku kebijakan sebagai dasar pertimbangan dalam pengambilan kebijakan mitigasi risiko makro ekonomi akibat guncangan yang terjadi pada saham perbankan Buku IV. Selain itu juga dapat dijadikan dasar pertimbangan mitigasi risiko yang terjadi pada sektor ini akibat guncangan indikator makro ekonomi. Kata kunci: Saham Perbankan Buku IV, Saham, Imbal hasil, ARCH/GARCH, Value at Risk
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