FAUZAN, ACHMAD ILHAM (2026) ANALISIS PERGERAKAN INDEX IDX-30 MENGGUNAKAN METODE AUTO REGRESIVE INTEGRATED MOVING AVERAGE (ARIMA) SAAT DAN SETELAH PANDEMI COVID 19. S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to analyze the movement of the IDX30 index during two different periods, namely during the COVID-19 pandemic (2020–2022) and after the pandemic (2023–2025), using the Autoregressive Integrated Moving Average (ARIMA) method. IDX30 was selected as the research object because it represents blue-chip stocks in the Indonesia Stock Exchange with high liquidity and large market capitalization. ARIMA was chosen due to its effectiveness in modeling non- stationary time series data and its proven performance in various financial studies. The data used consists of daily closing prices obtained from Investing.com. This study is expected to provide a comprehensive understanding of the reliability of the ARIMA model in forecasting stock price movements under different economic conditions, as well as offer valuable insights for investors and policymakers in developing responsive investment strategies. Keywords: ARIMA, IDX30, COVID-19, Stock Forecasting, Time Series Penelitian ini bertujuan untuk menganalisis pergerakan indeks IDX30 selama dua periode berbeda, yaitu saat pandemi COVID-19 (2020–2022) dan setelah pandemi (2023–2025), menggunakan metode Autoregressive Integrated Moving Average (ARIMA). IDX30 dipilih karena mencerminkan saham-saham unggulan di Bursa Efek Indonesia yang memiliki likuiditas tinggi dan kapitalisasi pasar besar. Metode ARIMA dipilih karena kemampuannya dalam menangani data deret waktu non�stasioner dan telah terbukti efektif dalam berbagai studi keuangan. Data yang digunakan merupakan data harga penutupan harian yang diperoleh dari situs Investing.com. Analisis dilakukan dengan membagi data menjadi dua periode, mengestimasi model ARIMA untuk masing-masing periode.Hasil penelitian ini diharapkan dapat memberikan pemahaman mendalam tentang keandalan model ARIMA dalam memprediksi pergerakan harga saham dalam kondisi ekonomi yang berbeda, serta memberikan referensi bagi investor dan pengambil kebijakan dalam menyusun strategi investasi yang responsif terhadap dinamika pasar. Kata kunci: ARIMA, IDX30, COVID-19, Peramalan Saham, Time Series.
| Item Type: | Thesis (S1) |
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| NIM/NIDN Creators: | 43122010336 |
| Uncontrolled Keywords: | ARIMA, IDX30, COVID-19, Peramalan Saham, Time Series. |
| Subjects: | 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan > 025.1 Administration and Library Management/Administrasi dan Manajemen Perpustakaan > 025.11 Finance/Keuangan 500 Natural Science and Mathematics/Ilmu-ilmu Alam dan Matematika > 510 Mathematics/Matematika > 518 Numerical Analysis/Analisis Numerik, Analisa Numerik > 518.1 Algorithms/Algoritma |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | khalimah |
| Date Deposited: | 28 Aug 2026 05:53 |
| Last Modified: | 28 Aug 2026 05:53 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/103470 |
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