ANALISIS PERANAN EMAS DAN OBLIGASI PEMERINTAH INDONESIA SEBAGAI SAFE HAVEN PADA PERIODE 2018 – 2020

This research was conducted to determined the role of gold and Indonesian government bonds as safe havens in Indonesia for 2018 – 2020. The tests in this study used the quantile regression method based on the results of the correlation between gold returns and government bond returns with returns stocks with index LQ45. The two instruments in this study will be tested in unfavorable market conditions or a bear market. . The data used in this study uses monthly data for the period 2018 to 2020. The results of this study indicate that gold acts as a safe haven in 2019. Meanwhile, government bonds do not act as a safe haven during the 2018 – 2020

PERBANDINGAN EFISIENSI PASAR SAHAM SYARIAH DAN PASAR SAHAM KONVENSIONAL DI BEI (2016-2020)

Penelitian ini bertujuan untuk menganalisa perbandingan efisiensi pasar saham syariah dan pasar saham konvensional di BEI dalam hal efisiensi informasi selama periode 2016-2020. Data yang digunakan dalam penelitian ini adalah data historis adjusted closed price harian (5 hari per minggu) dari indeks JII dan IDX30 pada periode 2016-2020. Teknik analisis yang digunakan pemodelan GARCH dengan spesifikasi model GARCH (1,1) untuk syariah dan GARCH (2,1) untuk konvensional yang mampu mengakomodasi masalah pemodelan data keuangan yang memiliki volatilitas yang tinggi. Hasil penelitian menunjukkan indeks saham syariah lebih fluktuatif daripada indeks saham konvensional. Dari segi efisiensi informasi, hasil penelitian menunjukkan bahwa indeks saham syariah lebih efisien dibandingkan dengan indeks saham konvensional

PENGGUNAAN METODE TRESHOLD GARCH DALAM MEMPREDIKSI HARGA SAHAM PT. GUDANG GARAM, Tbk.

The cigarette industry in Indonesia continues to advance and evolve, it is supported by high demand by the public. PT. Gudang Garam, Tbk. is one of the companies that are already publicly traded in IDX (Indonesia Stock Exchange). The cigarette company’s stock price tends to go up and make the tobacco companies have good potential in investing. This study uses time series analysis to forecast the stock price of PT. Gudang Garam, Tbk. Historical data is obtained from the stock price www. fi nanceyahoo.com published by the Jakarta Stock Exchange. The results of this study indicate that the daily stock price data of PT. Gudang Garam, Tbk. during the period of 2010-2015 is the data that is contained heteroscedasticity and asymmetric shocks, so that we need the necessary variation model of ARCH / GARCH, Threshold GARCH (TGARCH) to produce accurate forecasting results. Results forecasting models indicate that the model TGARCH (1.1) is quite accurate in forecasting with a mean absolute percentage error of 4%

THE EFFECTS OF RUPIAH CURRENCY, WORLD OIL PRICES, AND WORLD GOLD PRICE ON COMPOSITED STOCK PRICE INDEX (IHSG) IN 2016

This study aims to determine and analyze the effects ofIndonesian Rupiah exchange rate, world oil prices, and world gold priceson IDX Composite in 2016. This research utilizedGeneralized Auto-Regressive Conditional Heteroscedasticity (GARCH) method on 234 daily observations throughout the whole year. This study results demonstrated that the Indonesian Rupiah exchange rate has a significant and negative impact, while the world gold and oil prices have a significant and positive impact on the IDX Composite in 2016. In addition to these results, the discovery and usage of GARCH method as the optimum econometric model found the variance of residuals of IDX Composite in 2016, which is also affected by the previous day residuals, but it is not affected by the variance of previous days residuals

PENGUKURAN RETURN SAHAM & LIKUIDITAS SAHAM SEKTOR INDUSTRI CONSUMER GOODS DI INDONESIA PADA MASA PANDEMI COVID-19

The Covid-19 pandemic that has spread globally until today had a huge impact on citizens’ productivity and of course on economic conditions. Indonesian government currently implementing Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM). This research aims to identify the impact of the implementation of Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM) on stock return, Amihud illiquidity, market capitalization, and Closing Percent Quoted Spread (CPQS) in the consumer goods industry sector in Indonesia. This research applies descriptive statistical tests, classic assumption tests, paired-samples t tests, and nonparametric statistical tests with SPSS 26 program to know the differences between these variables before and after Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM). The researcher involves 30 Indonesian companies which engage in the consumer goods industry sectors from March 24th, 2021 until October 8th, 2021. The results from this research are after Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM), the stock return doesn’t significantly decrease, Amihud illiquidity does significantly decrease, market capitalization does increase but insignificantly, and Closing Percent Quoted Spread (CPQS) doesn’t significantly decrease

ANALISIS PENGARUH NILAI TUKAR TERHADAP HARGA SAHAM LQ45 DENGAN METODE EGARCH (2012-2015)

This study aims to investigate the effect of exchange rate and previous period index price of LQ45 towards LQ45 index. This study is done by utilizing ARCH/GARCH model with the specification EGARCH using the daily historical data during the 2010-2015 periods. The result of this study shows indicates that exchange rate and the index price of previous period significantly affect LQ45 index. Furthermore, there is only one company listed in LQ45, PT. Jasa Marga which transactions and financing did not using any foreign currency.Keywords: EGARCH, Exchange Rate, LQ45

ANALISIS PENGARUH NILAI TUKAR TERHADAP HARGA SAHAM LQ45 DENGAN METODE EGARCH (2012-2015)

This study aims to investigate the effect of exchange rate and previous period index price of LQ45 towards LQ45 index. This study is done by utilizing ARCH/GARCH model with the specification EGARCH using the daily historical data during the 2010-2015 periods. The result of this study shows indicates that exchange rate and the index price of previous period significantly affect LQ45 index. Furthermore, there is only one company listed in LQ45, PT. Jasa Marga which transactions and financing did not using any foreign currency.Keywords: EGARCH, Exchange Rate, LQ45

Analisis Pembentukan Portofolio Optimal dengan Menggunakan Model Markowitz untuk Saham LQ 45 Periode 2008-2012

The shares which are included in the LQ45 list attract investors., Make a portfolio diversification is necessary to minimize unsystematic risk. In this paper the authors wanted to construct an optimal portfolio in accordance with the theory of Markowitz.The data are taken from the yahoo.finance monthly data for stocks that are respectively included in LQ45 consistently in the period 2008 to 2012.. In establishing the optimal portfolio, the author uses the Linear Solver Microsoft Programming in Excel.Program. To determine the optimal portfolio,  17 shares which consistent listed in LQ45 in the period 2008 to 2012quired.. The Author formed 14 portfolios from the 14 stocks which have  positive return. Portfolio  Ewhich has the highest risk adjusted return (RAR) is selecte

ANALISIS PENGARUH STRUKTUR MODAL DAN PROFITABILITAS TERHADAP NILAI PERUSAHAAN CONSUMER GOODS YANG TERDAFTAR DI BEI PERIODE 2014-2017

Maximizing the wealth of investors is the company’s main goal. This study will examine the effect of capital structure as measured by DER and profitability as measured by ROA to firm value as measured by PBV. Sample of this study are the consumer goods companies listed on IDX for period 2014-2017. Total sample used is 24 companies. The result of this study indicates that the capital structure (DER) and profitability (ROA) have a significant positive effect on firm value (PBV).Keywords: firm value, PBV, capital structure, DER, profitability, ROA