ANALISIS VOLATILITAS DAN FORECAST SAHAM PERUSAHAAN SEKTOR INDUSTRI OTOMOTIF DAN KOMPONEN PADA KOMPAS 100 YANG LISTING DI BURSA EFEK INDONESIA

2019 ◽  
Vol 2 (2) ◽  
Author(s):  
Yasir Maulana
Keyword(s):  
Confidence Interval ◽  
Stock Exchange ◽  
Information Criteria ◽  
Leverage Effect ◽  
Optimal Model ◽  
Effect Data ◽  
Industrial Sectors ◽  
Forecast Data ◽  
Gjr Model ◽  
The Garch Model

ABSTRACTThe purpose of this study is to analyze volatility, choose the most optimal model andforecast of stock data on companies in various industrial sectors with the automotiveindustry and components sub-sector listed on the Stock Exchange during the period2011-2015. The return of stock data in the automotive sub-sector is modeled by theGARCH model. To see the effect of leverage, the data is re-modeled with the EGARCHand GJR models. Based on the information and probability criteria, it appears that themore optimal models are the GARCH model for AUTO, and GJR for ASII and GJTL.After the leverage effect is seen in the GJR model, then forecasting is done. Forecastingresults are in accordance with their respective optimal models in a 5% confidenceinterval, so it is expected that this model can forecast the price of future stock data.Keywords : Volatiliy, Forecast, GARCH, EGARCH, GJR�ABSTRAKTujuan penelitian ini adalah menganalisis volatilitas, memilih model yang palingoptimal dan melakukan forecast data saham pada perusahaan dalam sektor anekaindustri dengan sub sektor industri otomotif dan komponen yang listing di BEI selamaperiode 2011-2015. Data return saham sub sektor otomotif dimodelkan dengan modelGARCH. Untuk melihat adanya leverage effect, data dimodelkan kembali dengan modelEGARCH dan GJR. Berdasarkan information criteria dan likelihood, terlihat bahwamodel yang lebih optimal adalah model GARCH untuk AUTO, dan GJR untuk ASIIdan GJTL. Setelah leverage effect terlihat pada model GJR, kemudian dilakukanforecasting. Hasil forecasting sesuai dengan model optimalnya masing-masing beradadalam confidence interval 5%, sehingga diharapkan model tersebut dapatmenggambarkan harga data saham di masa yang akan datang.Kata Kunci : Volatilitas, Forecast, GARCH, EGARCH, GJR

scholarly journals Analisis Volatilitas Return Saham PT Antam (Persero) Tbk dan PT Adaro Energy Tbk Dengan Garch, Egarch Dan GJR

2020 ◽  
Vol 20 (2) ◽  
Author(s):  
Yasir Maulana
Keyword(s):  
Stock Returns ◽  
Large Percentage ◽  
Leverage Effect ◽  
Optimal Model ◽  
Shock Effect ◽  
Research Results ◽  
Gjr Model

An extraordinary event that causes shock can affect volatility which causes asymmetric variance and error or commonly called asimetric shock / effect. This paper aims to analyze the volatility of stock returns of PT ANTAM (Persero) Tbk and PT Adaro Energy Tbk in the period of 2008 to 2016. The research results show that ANTM and ADRO have a GARCH effect and also have a leverage effect where the optimal model is found in the GJR model (0,1,1) for ANTM and GJR (1,1,1) for ADRO. Forecasting results shows that ADRO has higher volatility but in a relatively low percentage of volatility about 0.001 while ANTM have a tendency to decrease volatility with a fairly large percentage of volatility about 0.0025. Keywords: Volatility, GARCH, EGARCH, GJR

scholarly journals ANALISIS VOLATILITAS DAN FORECAST SAHAM PT ANTAM (PERSERO) Tbk. DAN PT ADARO ENERGY Tbk. DENGAN GARCH, EGARCH DAN GJR

2020 ◽  
Vol 2 (1) ◽  
pp. 37-42
Author(s):  
Yasir Maulana
Keyword(s):  
Stock Returns ◽  
Large Percentage ◽  
Leverage Effect ◽  
Optimal Model ◽  
Shock Effect ◽  
Research Results ◽  
Gjr Model

An extraordinary event that causes shock can affect volatility which causes asymmetric variance and error or commonly called asimetric shock / effect. This paper aims to analyze the volatility of stock returns of PT ANTAM (Persero) Tbk and PT Adaro Energy Tbk in the period of 2008 to 2016. The research results show that ANTM and ADRO have a GARCH effect and also have a leverage effect where the optimal model is found in the GJR model (0,1,1) for ANTM and GJR (1,1,1) for ADRO. Forecasting results shows that ADRO has higher volatility but in a relatively low percentage of volatility about 0.001 while ANTM have a tendency to decrease volatility with a fairly large percentage of volatility about 0.0025.

The Effect of Underreaction and Overreaction of Firm Stocks to Firm Valuation: Data from the Indonesian Stock Exchange

2019 ◽  
Author(s):  
Yohanes Indrayono
Keyword(s):  
Behavioral Finance ◽  
Firm Value ◽  
Intangible Assets ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Firm Valuation ◽  
Good News ◽  
Industrial Sectors ◽  
Tangible Assets ◽  
Firm Profitability

<p>This study contributes to the on-going studies on behavioral finance by providing a case study on underreaction and overreaction of firm stocks to firm valuation. We use the Model of Investor Sentiment (Barberis et al., 2005) to evaluate underreaction and overreaction behavior and reflect on specific findings in the Indonesian market. The result of the study is most of the stocks in the Indonesian Stock Exchange are more overreaction to the news of firm financial statements. Firms on the industry with more intangible assets measure more overreaction than firms on industries with more tangible assets. For stocks with overreaction, the stock firm value is positively affected by a change in the total assets and profitability, but not by change of book value. The result concretized no evidence that firm stocks overreacted to the news more than underreacting. In stock industrial sectors, the financial institutions and wholesale industry stocks demonstrated remarkable overreactions. Nonetheless, automotive, building construction, food and beverage as well as cement evidenced more underreaction. For better return in financial markets, investors may buy stocks of the firm on industry with more tangible assets when there is no good news about the increasing firm profitability and sales; nonetheless, they should buy stocks of the firm on industry with more intangible assets when there is no lousy news about the increasing firm profitability and sales. </p>

FII, Stock Exchange Return, and the Leverage Effect: Evidence from India

2016 ◽  
Vol 19 (1) ◽  
pp. 103-119 ◽  
Author(s):  
Monica Singhania ◽  
Neha Saini
Keyword(s):  
Stock Exchange ◽  
Leverage Effect

Reporting human resources in annual reports

2015 ◽  
Vol 23 (3) ◽  
pp. 256-274 ◽  
Author(s):  
Monika Kansal ◽  
Mahesh Joshi
Keyword(s):  
Human Resources ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Annual Reports ◽  
Public And Private ◽  
Content Type ◽  
Industrial Sectors ◽  
Significant Difference ◽  
The Difference ◽  
Training Programmes

Purpose – The purpose of this paper is to investigate the extent of corporate disclosure on human resources (HR) in the annual reports of top performing Indian companies. Design/methodology/approach – The paper explores the extent to which top 82 companies from India present information about HR in their annual reports. This study examines the annual reports of each of the top Indian firms listed on the Bombay stock exchange, using the “content analysis” method. Statistical tests have been performed to analyse the difference between the HR disclosure score across public and private sectors and disclosure variations among various industrial sectors. Findings – In-house training programmes has been noticed to be the favourite item of disclosure followed by safety awards/certifications and statements regarding cordial relations with the employees/unions. A majority of the Indian firms have ignored significant HR issues such as employee welfare fund, maternity/paternity leaves, holiday benefits, employee loans and adopting old age homes, etc. Overall, the study reflects low HR related disclosures. No statistically significant difference has been found between the mean HR disclosure from one industry to another and disclosure practices of the private and the public sector companies. Practical implications – The disclosure pattern of the Indian companies suggests that they only a few companies are concerned about employees’ welfare than the rest. This may motivate a change of the disclosure policy of the rest of the firms who may follow the reporting pattern of the most disclosing ones. Originality/value – This is first study on the disclosure of HR by the Indian corporate sector in the CSR domain with a disclosure analysis for a period of nine years . This research provides new directions for the literature in this area and may promote comparative studies on HR-based studies from different perspectives.

scholarly journals Ramadan Effect and Volatility Risk by Garch Model: Evidence in Indonesia Stock Market

2021 ◽  
pp. 73-82
Author(s):  
Dery Westryananda Putra ◽  
Sri Hasnawati ◽  
Muslimin Muslimin
Keyword(s):  
Stock Market ◽  
Sampling Method ◽  
Stock Exchange ◽  
Garch Model ◽  
Analytical Tool ◽  
Volatility Risk ◽  
Purposive Sampling ◽  
Model Evidence ◽  
The Garch Model

This study aims to analyze the effect of the Ramadan effect and volatility risk on the Indonesian stock market using the GARCH model. The population in this study are companies listed on the LQ45 index on the Indonesia Stock Exchange during 2019. There are 42 companies used as samples in this study. The research sample was taken using purposive sampling method. This study uses the GARCH model as an analytical tool. The results of this study indicate that there is no Ramadan effect on the LQ45 index, but the volatility in the month of Ramadan affects the volatility in the LQ45 index. Keywords: Ramadan Effect, Volatility Risk, GARCH Model Abstrak Penelitian ini bertujuan untuk menganalisis pengaruh Ramadhan effect dan risiko volatilitas terhadap pasar saham Indonesia dengan menggunakan model GARCH. Populasi dalam penelitian ini adalah perusahaan yang terdaftar pada indeks LQ45 di Bursa Efek Indonesia selama tahun 2019. Terdapat 42 perusahaan yang dijadikan sampel dalam penelitian ini. Sampel penelitian diambil dengan menggunakan metode purposive sampling. Penelitian ini menggunakan model GARCH sebagai alat analisis. Hasil penelitian ini menunjukkan bahwa tidak ada pengaruh Ramadhan terhadap indeks LQ45, namun volatilitas pada bulan Ramadhan berpengaruh terhadap volatilitas pada indeks LQ45. Kata Kunci: Ramadhan Effect, Risiko Volatilitas, Model GARCH

scholarly journals FINANCIAL PERFORMANCE: THE ROLE OF GOOD CORPORATE GOVERNANCE (CASE STUDY IN THE MANUFACTURING COMPANIES OF BASIC AND CHEMICAL INDUSTRIAL SECTORS REGISTERED ON THE INDONESIA STOCK EXCHANGE 2016-2018)

2020 ◽  
Vol 18 (2) ◽  
pp. 36
Author(s):  
Ari Susanti ◽  
Sri Lestari
Keyword(s):  
Corporate Governance ◽  
Financial Performance ◽  
Board Of Directors ◽  
Quantitative Research ◽  
Audit Committee ◽  
Stock Exchange ◽  
Manufacturing Companies ◽  
Financial Reports ◽  
Industrial Sectors ◽  
Good Corporate Governance

This study aims to examine the effect of implementing good corporate governance as measured by an independent board of commissioners, board of directors, and audit committee on financial performance measured using Return of Equity (ROE). This research uses quantitative research. The population in this study are manufacturing companies in the basic and chemical industry sectors that consistently publish financial reports on the Indonesia Stock Exchange from 2016 to 2018. Based on the purposive sampling method, a sample of 11 companies is obtained each year to obtain 33 observational data. The data in this study use warpPLS 6.0 software. The results of this study indicate that the independent board of commissioners, the board of directors affect the financial performance, while the audit committee has no effect on financial performance.

scholarly journals Simplified large African carnivore density estimators from track indices

PeerJ ◽  
2016 ◽  
Vol 4 ◽  
pp. e2662 ◽  
Author(s):  
Christiaan W. Winterbach ◽  
Sam M. Ferreira ◽  
Paul J. Funston ◽  
Michael J. Somers
Keyword(s):  
Linear Regression ◽  
Confidence Interval ◽  
Population Size ◽  
Linear Model ◽  
Standard Error ◽  
Linear Models ◽  
Information Criteria ◽  
Large Carnivores ◽  
Simple Linear Regression ◽  
Akaike Information Criteria

BackgroundThe range, population size and trend of large carnivores are important parameters to assess their status globally and to plan conservation strategies. One can use linear models to assess population size and trends of large carnivores from track-based surveys on suitable substrates. The conventional approach of a linear model with intercept may not intercept at zero, but may fit the data better than linear model through the origin. We assess whether a linear regression through the origin is more appropriate than a linear regression with intercept to model large African carnivore densities and track indices.MethodsWe did simple linear regression with intercept analysis and simple linear regression through the origin and used the confidence interval for ß in the linear modely = αx + ß, Standard Error of Estimate, Mean Squares Residual and Akaike Information Criteria to evaluate the models.ResultsThe Lion on Clay and Low Density on Sand models with intercept were not significant (P > 0.05). The other four models with intercept and the six models thorough origin were all significant (P < 0.05). The models using linear regression with intercept all included zero in the confidence interval for ß and the null hypothesis that ß = 0 could not be rejected. All models showed that the linear model through the origin provided a better fit than the linear model with intercept, as indicated by the Standard Error of Estimate and Mean Square Residuals. Akaike Information Criteria showed that linear models through the origin were better and that none of the linear models with intercept had substantial support.DiscussionOur results showed that linear regression through the origin is justified over the more typical linear regression with intercept for all models we tested. A general model can be used to estimate large carnivore densities from track densities across species and study areas. The formulaobserved track density = 3.26 × carnivore densitycan be used to estimate densities of large African carnivores using track counts on sandy substrates in areas where carnivore densities are 0.27 carnivores/100 km2or higher. To improve the current models, we need independent data to validate the models and data to test for non-linear relationship between track indices and true density at low densities.

Does Size Matter for IPO Survival? Empirical Evidence from India

2018 ◽  
Vol 22 (1) ◽  
pp. 88-104
Author(s):  
Garima Baluja
Keyword(s):  
Initial Public Offerings ◽  
Stock Exchange ◽  
Negative Influence ◽  
Positive Influence ◽  
Time Duration ◽  
Public Offerings ◽  
Industrial Sectors ◽  
Kaplan Meier ◽  
Parametric Survival ◽  
Size Matter

This article examines the effect of size of new issues on their survival profile in the aftermarket. The relationship between the probability of delisting and the time duration of initial public offerings (IPOs) on Bombay Stock Exchange (BSE) is tested using logistic regression and parametric survival analysis models. The models take a range of information concerning offering, market and corporate specific characteristics as well to explore the outcome of IPOs on the trading exchange. The analysis of Kaplan–Meier curves provides insight about how size matters in determining the survival and hazard trend of IPO in the aftermarket. Overall, the study reveals that issues with large size exhibits more market confidence as well as ability to withstand the rough market situations in the aftermarket, and hence, they survive longer in the market. The analysis of other variables shows a positive influence of age, lead manager’s reputation and IPO demand, whereas negative influence of risk, list delay, underpricing, market level and IPO activity on the survival probability as well as duration of IPOs in the aftermarket. Further, the survival prospects are analysed across several industrial sectors as well. The present study provides useful insight to several parties associated with IPOs, such as investors, issuers, creditors and regulators, who can utilize this information for taking rational decisions.

scholarly journals Pengaruh Perilaku Follower Investor pada Volatilitas Saham

2017 ◽  
pp. 44
Author(s):  
Made Dewi Ayu Untari
Keyword(s):  
Service Sector ◽  
Raw Materials ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Total Sample ◽  
Absolute Deviation ◽  
Population Number ◽  
Cross Sectional ◽  
Industrial Sectors ◽  
Significant Difference

The purposes of this study are to obtain emperical evidence about the influence of followers investor’s behaviour to the stock volatility and analyze the difference offollowers investor’s betweenindustry sectors producing raw materials,manufacture industry and service industry in the Indonesia Stock Exchange (BEI), during the market crash happened in Indonesia. The population number are 507 companies, while the total sample of 247 companies. Sampling technique used purposive sampling. The analysis technique used was a cross-sectional absolute Deviation (CSADand test One Way ANOVA with Post Hoc Test and Least Significant Difference (LSD. Data shows that the behavior of follower investors has positive effect on the volatility of the current stock market crash occurs. Meanwhile, there was no difference in behavior between the follower investor industrial sectors producing raw materials, the manufacturing sector and the service sector when  the market crash.

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