ANALISIS VALUE AT RISK SAHAM SUB SEKTOR OTOMOTIF DAN KOMPONEN DI BURSA EFEK INDONESIA

MULYANAH, SRI NURUL (2020) ANALISIS VALUE AT RISK SAHAM SUB SEKTOR OTOMOTIF DAN KOMPONEN DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

Investasi di pasar modal bertujuan untuk memperoleh return sebesar-besarnya dengan risiko tertentu. Volatilitas saham sektor Otomotif dirasa memiliki risiko kuat terhadap kestabilan ekonomi domestik Indonesia, sehingga perlu dilakukan penelitian tentang analisis Value at Risk (VaR) saham sektor Otomotif. Penelitian ini menjadi salah satu topik menarik untuk disampaikan di forum manajemen ekonomi keuangan tingkat global. Penelitian ini bertujuan untuk menganalisis model optimum dengan metode Autoregressive Conditional Heteroscsedasticity- Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) saham sektor otomotif dan diperkirakan analisis perhitungan risiko investasi pada pendekatan metode Value at Risk menggunakan tingkat kepercayaan 95% serta holding period yang memberikan informasi dari potensi maksimum kerugian pada nilai return saham. Data penelitian bersifat data sekunder time series berupa nilai return bulanan saham PT Astra Internasional Tbk. (ASII), PT Astra Otoparts Tbk. (AUTO), PT Goodyear Indonesia Tbk. (GDYR), PT Gajah Tunggal Tbk. (GJTL), Indomobil Sukses Internasional Tbk. (IMAS), PT. Prima Alloy Steel Universal Tbk. (PRAS). Data diperoleh dari www.idx.co.id, yahoo.finance.com dan sumber lainnya dimulai dari Desember 2013 sampai Agustus 2019. Alat Analisis risiko perhitungan Value at Risk dengan jenis Variance-covariance. Kesimpulan dari hasil penelitian ini bahwa data stasioner yang tidak memiliki distribusi normal, dan semakin lama menanamkan dana semakin tinggi tingkat kerugiannya. Diharapkan penelitian ini bermanfaat bagi para pemangku kebijakan dalam mempertimbangkan pengambilan keputusan investasi sektor otomotif maupun perusahaan terkait untuk mengembangkan perekonomian Indonesia, dan penelitian ini diharapkan menambah wawasan pengetahuan, pandangan maupun informasi dan dapat memberikan bukti empiris mengenai analisis Value At risk dengan model ARCH –GARCH. Kata kunci: Return Saham, Saham Sektor Otomotif, ARCH-GARCH, VaR. The purpose from this research was to analyzed those optimum model with Autoregressive Conditional Heteroscsedasticity-Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) from automotive sector shares and estimated the calculation investment risk analysis the Value at Risk method approach used 95% confidence level and holding period which provides information on maximum potential loss towards stock return value. Data From these research was secondary data for time series in form of monthly Shares return value from Astra Internasional, Astra Otoparts, Goodyear Indonesia, Gajah Tunggal, Indomobil Sukses Internasional, and Prima Alloy Steel Universal. Data was obtained from www.idx.co.id, yahoo.finance.com and other sources from December 2013 to August 2019. The risk analysis tool for calculating Value at Risk with Variance-covariance type. The Conclusion from these research results Was the data was stationary which does not had normal distribution and the longer the investment takes, the higher the loss rate. This research was expected to be useful for policy makers to consider decisions regarding investment decisions in automotive sector or related companies to develop Indonesian economy and this research was expected to broaden knowledge, views and information and could provide empirical evidence about Value At risk analysis Through ARCH–GARCH model. Keywords: Shares Return, Automotive Sector Shares, ARCH-GARCH, VaR.

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