PERAMALAN VOLATILITAS DAN ESTIMASI VALUE AT RISK (VaR) SAHAM BLUE CHIP PADA SEKTOR PERBANKAN

Investment is an activity to invest an asset to obtain a greater profit. The investment there's in great demand by investors are stock investments. Based on market capitalization, stocks are classified into first-tier, second-tier, and third-tier stocks. Stocks that have the highest market capitalization are first-tier or blue-chip stocks. Blue-chip stocks are stocks that are classified as main shares on the listing board on the IDX. Before investing, it's important to know the level of investment risk in order to make the right investment decisions. The purpose of this study is to determine the risk of investing in blue-chip stocks namely BRI, BCA, and Bank Mandiri through volatility forecasting using the GARCH, EGARCH, or TGARCH models. The data used is the daily closing price of shares for the period of 25 May 2005 to 21 May 2021 which was obtained through the Yahoo Finance website. Based on the research results, it's known that Bank Mandiri has the highest investment risk and BCA has the lowest investment risk. Based on these results, it can be suggested that investors who like risk can choose to invest in Bank Mandiri shares, and those who don't like risk can invest in BCA shares.

Investment environment, stock market perception and stock investments after stock market crash

PurposeThis study examines how the importance of external investment environment factors affect stock market perception, and how stock market perception affects stock investments after stock market crash witnessed by individual investors in one of the emerging stock markets.Design/methodology/approachA cross-sectional survey was administrated among 223 individual investors who experienced stock market crash in 2010–2011 in Bangladesh, and the proposed model was tested by the partial least squares-structural equation modeling PLS-SEM model.FindingsFindings show that the importance of Bangladesh's stock market performance, government policy, economic issues and neighboring country's stock market performance has effects on investors' stock market perception. This perception, in turn, decreases monthly stock trading and short-term investment horizon. The findings further show the mediating effect of stock market perception.Practical implicationsInvestors need to carefully consider the external investment environment when they form their stock market perception, as this perception drives stock investments. Analogously, regulators should ensure releasing timely and updated statistics on external investment factors.Originality/valueAddressing those investors who encountered stock market crash, a set of external investment environment issues, stock market perception and stock investments are new in the literature.

ASSESSMENT OF INDIVIDUAL AND INSTITUTIONAL INVESTOR’S INVESTMENT BEHAVIOR DURING COVID-19. A CASE OF EMERGING ECONOMY

In the study of stock investment in capital market by investors in Pandemic Covid-19, it is always carried out rationally. Indeed, the decisions on stock investments are not always rational.The main purpose of this research is to analyze the behavioral factors that affect the preferences of individual’s investors and fund managers in the emerging stock market, Pakistan Stock Exchange. The data of this research were collected through interviews semi structured with the five investor and five fund managers from the stock exchange from Pakistan. The researchers used thematic analysis for data interpretation. The major findings stress that retail investors are more effected by behavioral biases in comparison with fund managers. Further, the results shows that there are some major biases which are effecting both type of investors such as: Herding, Market, Prospect, Overconfidence- gambling errors and Anchoring-ability bias. This study fills a gap in literature on investor psychological response during pandemic epidemic. According to the report, policymakers should devise a strategy to combat COVID-19. To avoid future catastrophes, government should control the health-care budget.

Analysis of Portfolio Expected Returns as a Material Consideration for Investors in Choosing Investments in the Pandemic Period (Formation of Optimal Portfolios Using the Black Litterman Model on Hang Seng Stocks for the 2017-2019 Period)

. This study attempts to find out how a method of Black Litterman in the formation of stock portfolios. This research was conducted on the basis of increasing the number of investors' funds in the capital market for certain stocks, showing that it increases positive sentiment on stock investments compared to other investments. The Black Litterman Model method is one of the options that can be used in the formation of portfolio. The Black Litterman model method is a method that formulates the existence of an element of return equilibrium and investor views in an investment. By using the Black Litterman Model, investors can take advantage of all available information as the basis for forming a maximum portfolio. The object of this research is Hang Seng (HSI) stock price data for the period 2017 – 2019. The research sample is 35 companies. The results of this study resulted in 10 stocks included in the Black Litterman model portfolio with the expected return on the portfolio (which consisted of 10 stocks with the Black Litterman model) of 0.062387. Where the highest proportion of returns given by Shenzhou International Group Holdings Limited (SEHK: 2313) is 23% and the expected return is 0.017933. While the lowest level is occupied by New World Development Company Limited (SEHK: 17) with a proportion of 1% and an expected return of 0.000687.

Pendampingan Perencanaan Keuangan dan Investasi Saham untuk Organisasi Taruna-Taruni

Pengabdian masyarakat ini bertujuan meningkatkan kemandirian finansial taruna-taruni di Desa Antiga Kelod yang dilakukan dengan memberikan pelatihan dan pendampingan perencanaan keuangan dan investasi saham sehingga mereka menjadi generasi muda yang mandiri secara finansial. Taruna-taruni di Desa Antiga Kelod, merupakan komunitas generasi muda yang mapan secara finansial, namun mereka berperilaku konsumtif/overspending sehingga mereka tidak mandiri secara finansial dan menjadi beban finansial keluarga. Metode pelaksanaan terdiri dari empat tahap yaitu perencanaan, implementasi, monitoring dan evaluasi. Data yang dikumpulkan absensi peserta, daftar nilai peserta, dokumen perencanaan keuangan dan pembuatan akun investasi saham, dengan menggunakan metode dokumentasi, wawancara, test dan wawancara mendalam. Evaluasi dilaksanakan melalui dua aspek yakni aspek proses dengan indikator kehadiran dan partisipasi aktif peserta selama kegiatan dan aspek produk dengan indikator pemahaman materi dan kemampuan membuat kertas kerja perencanaan keuangan dan akun investasi saham. Hasil kegiatan menunjukkan bahwa taruna-taruni di Desa Antiga Kelod mendapat manfaat dari kegiatan pelatihan dan pendampingan karena setelah kegiatan, mereka mampu menyusun kertas kerja perencanaan keuangan dan melakukan investasi saham, sehingga dampak kegiatan adalah generasi muda yang mandiri dan tidak menjadi beban finansial keluarga. Saran ditujukan kepada orang tua taruna-taruni agar berperan mendampingi putra-putrinya dalam memanfaatkan penghasilan dan konsisten dalam mengimplementasikan hasil kegiatan pengabdian masyarakat.Kata Kunci: investasi; pelatihan; pendampingan; saham. Financial Planning and Stock Investment Assistance for Youth OrganizationABSTRACT This community service aims to increase the financial independence of young people in the village of Antiga Kelod by providing training and mentoring in financial planning and stock investment so that they become a financially independent young generation. The young people in the Antiga Kelod Village, were a financially established young generation community, but they were behaving consumptively/overspending, so they were not financially independent and become a financial burden on their family. The implementation method consists of four stages, namely planning, implementation, monitoring and evaluation. Data collected attendance participants, list of participant values, financial planning documents and the creation of a stock investment account, with the method of documentation, interviews, tests and in-depth interviews. Evaluation was carried out through two aspects namely the process aspect with indicators of attendance and active participation of participants during the activity and the product aspect with indicators of understanding material and the ability to make financial planning working paper and create a stock investment account. The results of the activity showed that young people in the Antiga Kelod Village got benefit from training and mentoring activities because after the activity, they were able to prepare financial planning work papers and make stock investments, so that the impact of the activity was to produce independent young people and not become a financial burden on their family. Suggestions were addressed to parents of the young people to play a role in assisting their children in utilizing income and consistent in implementing the result of service society activities.Keywords: investation; training; monitoring; stock.

How Goals Erase Framing Effects in Risky Decision Making

Evidence has shown that goals systematically change risk preferences in repeated decisions under risk. For instance, decision makers could aim to reach goals in a limited time, such as “making at least $1000 with ten stock investments within a year.” We test whether goal-based risky decisions differ when facing gains as compared to losses. More specifically, we examine the impact of outcome framing (gains vs. losses) and state framing (positive vs. negative resource states) on goal-based risky decisions. Our results (N=100) reveal no framing effects; instead, we find a consistently strong effect of the goal on risk preferences independent of framing. Computational modeling showed that a dynamic version of prospect theory, with a goal-dependent reference point, described 87% of participants best. This model treats outcomes as gains and losses depending on the state-goal distance. Our results show how goals can erase standard framing effects observed in risky choices without goals.

A SURVEY ON STOCK PRICE PREDICTION USING MACHINE LEARNING

Stock returns are very fluctuating in nature. They rely upon various factors like previous stock prices, current market trends, financial news, etc. To feature their annual income, people have now started watching stock investments as a remunerative option. There are many tools available to investors using technical analysis to form decisions. With expert guidance and intelligent planning, we will almost double our annual income through stock returns. These days, social media has become a mirror. It reflects people’s thoughts and opinions on any particular event or news. Sentiments of the general public associated with an organization can have an upshot on its stock prices. This paper surveys various machine learning techniques and algorithms employed to boost the accuracy of stock price prediction.

Analysis of dividend payments practice of Russian joint stock companies with state participation

The different indicators that can be used by individual investors considering stocks are analyzed in the article. The joint stock companies with state participation are studied. The dividend payments practice of seven companies are reviewed. The need for an integrated approach with a primary focus on relative indicators is clearly demonstrated. It is concluded that news of record amounts of dividend payments should not always be taken as a convincing signal for stock investments. Special attention is paid to nuances that should be taken into account to maximize profit.

Expediting in Two-Echelon Spare Parts Inventory Systems

Problem definition: We consider dual sourcing in a distribution network for spare parts consisting of one central warehouse and multiple local warehouses. Each warehouse keeps multiple types of repairable parts to maintain several types of capital goods. The repair shop at the central warehouse has two repair options for each repairable part: a regular repair option and an expedited repair option. Irrespective of the repair option, each repairable part uses a certain resource for its repair. In the design of these inventory systems, companies need to decide on stocking levels and expedite thresholds such that total stock investments are minimized while satisfying asset availability and expediting constraints. Academic/practical relevance: Although most companies have the possibility to expedite the repair of parts in short supply, no contributions have been made that incorporate such dynamic expediting policies in repairable investment decisions. Anticipating expediting decisions that will be made later leads to substantial reductions in repairable investments. Methodology: We use queueing theory to determine the performance of the central warehouse and subsequently find the performance of all local warehouses using binomial disaggregation. For the optimization problem, we develop a greedy heuristic and a decomposition and column generation based algorithm. Results: Both solution approaches perform very well with average optimality gaps of 2.38 and 0.27%, respectively, across a large test bed of industrial size. The possibility to expedite the repair of failed parts is effective in reducing stock investments with average reductions of 7.94% and even reductions up to 19.61% relative to the state of the art. Managerial implications: Based on a case study at Netherlands Railways, we show how managers can significantly reduce the investment in repairable spare parts when dynamic repair policies are leveraged to prioritize repair of parts whose inventory is critically low.