PEMODELAN DAN PERAMALAN INDEKS HARGA SAHAM GABUNGAN (IHSG) MENGGUNAKAN ARIMAX-TARCH

The Composite Stock Price Index (IHSG) is a value that describes the combined performance of all shares listed on the Indonesia Stock Exchange. JCI serves as a benchmark for investors in investing. The method used to predict future conditions based on past data is forecasting . Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) is amodel time series that can be used for forecasting. Financial data has high volatility which causes the variance of the residual model which is not constant (heteroscedasticity). ARCH / GARCH model is used to solve the heteroscedasticity problem in the model. If the data is heteroscedastic and asymmetric, then the model can be used Threshold Autoregressive Conditional Heteroskedasticity (TARCH). The data used are the Composite Stock Price Index (IHSG) for the January 2000 - April 2020 period and the dollar exchange rate data for the January 2000 - April 2020 period asvariables independent from the ARIMAX model. The best model used to predict the JCI from the results of this study is the ARIMAX (1,1,0) -TARCH (1,2) model with an AIC value of -0.819074.

The Effects of Inflation, Interest Rates and Exchange Rates on Composite Stock Price Index During the Covid-19 Pandemic

The COVID-19 pandemic that hit Indonesia and even the world, caused changes in various sectors and decline in the Indonesian economy. To improve the economy, it is necessary to increase investment. This research aims to find out how the influence of inflation, bank interest rates and currency rates on Composite Stock Price Index both partially and simultaneously at the time of the covid-19 pandemic. The research method used in this study is quantitative descriptive, which discusses the problems faced that describe the state of a country expressed in numbers. The data used in this study is secondary data. It was taken during the covid-19 period from March 2020 to July 2021. The analytical methods are used multiple linear regression, classical assumption test, hypothesis test, and determination coefficient test. The novelty of this research is to use macroeconomic data during the COVID-19 pandemic. The results showed that simultaneously, inflation, bank interest rates, and currency rates had a significant effect on Composite Stock Price Index. Inflation, bank interest rates, and currency rates exert a 94.9% effect on Composite Stock Price Index. The remaining 5.1% was affected by other factors not used in the study. Partially, inflation is positive and significant to Composite Stock Price Index. Bank interest rates and currency rates negatively and significantly affect Composite Stock Price Index.

Pengaruh Variabel Makro Ekonomi Terhadap Indeks Harga Saham LQ-45 Di Bursa Efek Indonesia

Bursa Efek Indonesia merupakan lembaga yang memfasilitasi perdagangan efek di Indonesia. Saham merupakan salah satu instrumen investasi yang memberikan imbal hasil yang cenderung meningkat setiap tahunnya. Penelitian ini bertujuan untuk menganalisis pengaruh variabel makro ekonomi dari suku bunga, nilai tukar, cadangan devisa, dan harga emas terhadap indeks harga saham LQ-45 di Bursa Efek Indonesia. Metode penelitian yang digunakan adalah metode penelitian kuantitatif dengan teknik analisis regresi linear berganda. Hasil penelitian menunjukkan bahwa secara parsial suku bunga memiliki pengaruh yang negatif signifikan terhadap indeks harga saham LQ-45. Nilai tukar memberikan pengaruh positif serta signifikan terhadap indeks harga saham LQ-45. Cadangan devisa berpengaruh positif signifikan terhadap indeks harga saham LQ-45. Sedangkan harga emas memberikan pengaruh yang negatif namun tidak signifikan terhadap indeks harga saham LQ-45. Hasil pengujian secara simultan, menemukan bahwa suku bunga, nilai tukar, cadangan devisa, dan harga emas berpengaruh signifikan terhadap indeks harga saham LQ-45.The Indonesia Stock Exchange is an institution that fasilitates securities trading in Indonesia. Stocks are an investment instrument that provides returns Which tend to increase every year. This study aims to analyze the effect of macroeconomic variables from interest rates, exchange rates, foreign exchange reserves, and gold prices on the LQ-45 stock price index on the Indonesia Stock Exchange. Quantitative research methods aplied with multiple linear regression analysis techniques. The results showed that partially interest retes have a significant negative effect on the LQ-45 stock price index. The exchange rate has a positive and significant impact on the of LQ-45 stock price index. Foreign exchange reserves have a significant positive effect on the LQ-45 stock price index. Meanwhile, the price of gold has a negative but insignificant effect on the LQ-45 stock price index. The simultaneous test results found that interest rates, exchange rate, foreign exchange, and gold price have a significant effect on the LQ-45 stock price index.

Deep Learning Methods In Predicting Indonesia Composite Stock Price Index (IHSG)

The stock price changes at any time within seconds. The stock price is a time series data. Thus, it is necessary to have the best analysis model in predicting the stock price to make decisions to avoid losses in investing. In this research, the method used two models Deep Learning namely Long Short Term Memory (LSTM) and Gated Recurrent Unit (GRU) in predicting Indonesia Composite Stock Price Index (IHSG). The dataset used is historical data from the Jakarta Composite Index (^JKSE) stock price in 2013-2020 obtained through Yahoo Finance. The results suggest that Deep learning methods with LSTM and GRU models can predict Indonesia Composite Stock Price Index (IHSG). Based on the test results obtained RMSE value of 71.28959454502723 with an accuracy rate of 92.39% for LSTM models and obtained RMSE value of 70.61870739073838 with an accuracy rate of 96.77% on GRU models.

Factors Affecting the Composite Stock Price Index during Covid-19 Pandemic Crisis

This paper aims to analyze factors affecting the Composite Stock Price Index (IHSG) on the Jakarta Stock Exchange (IDX) during the Pademi Corona Crisis. This study uses the multiple linear regression analysis technique where the variable number of confirmed Covid-19 cases in the world, the number of confirmed Covid-19 cases in Indonesia, the Rupiah exchange rate per 1 US dollar, and the world crude oil price are used as independent variables (X) and the IHSG as the dependent variable (Y), the data used in this study are weekly time series data from the period December 2019 to September 2020. Based on the results of variable regression between the IHSG, Exchange Rates, Oil Prices, cases of COVID-19 in Indonesia and COVID-19 World, It is concluded that collectively the independent variables have a significant effect on the IHSG. Partially, Oil Prices, COVID-19 cases in Indonesia and COVID-19 cases in the world have a significant effect on the IHSG. Meanwhile, the exchange rate has no significant effect on the IHSG.

Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI)

This study aims to study both partially and simultaneously, large, Analysis, Analysis, Value, Exchange, Inflation, and the Dow Jones Index Against the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (BEI) and the dominant dominant variable on the Price Index Joint Stock (CSPI)).The method used in this study is a quantitative method and with a population of 10 (ten) years, samples were taken with census sampling techniques of 10 (ten) years per year-end period, research instruments using classical data assumptions - data used using regression linear multiple.The results of this study indicate that (1) Rupiah Exchange Rates, Inflation and the Dow Jones Index influence simultaneously on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (2) the Dow Jones Index is partially related to the Composite Stock Price Index (CSPI) in The Indonesian Stock Exchange, while the Rupiah Exchange Rate and Inflation are not partially on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (3) The dominant dominant variable on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange is the Dow Jones Index..Keywords : Rupiah Exchange Rate, Inflation, Dow Jones Index and Composite Stock Price Index (CSPI) Abstrak: Penelitian ini bertujuan untuk mengetahui baik secara parsial dan simultan seberapa besar Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) serta variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG). Metode yang digunakan dalam penelitian ini adalah metode kuantitatif dan dengan populasi sebanyak 10 (sepuluh) tahun, diambil sampel dengan teknik sampling sensus sebanyak 10 (sepuluh) tahun per periode akhir tahun, instrument penelitian uji asumsi klasik data – data diuji dengan menggunakan regresi linear berganda. Hasil penelitian ini menunjukkan bahwa (1) Nilai Tukar Rupiah, Inflasi dan Indeks Dow Jones berpengaruh secara simultan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (2) Indeks Dow Jones berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia, sedangkan Nilai Tukar Rupiah dan Inflasi tidak berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (3) Variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia adalah Indeks Dow Jones. . Kata kunci : Nilai Tukar Rupiah, Inflasi, Indeks Dow Jones dan Indeks Harga Saham Gabungan (IHSG).

The Effect of Economic Growth, Inflation Rate, and Interest Rates of Bank Indonesia on the Composite Stock Price Index on the Indonesia Stock Exchange for the 2015-2019 Period

Generally, investors use the Composite Stock Price Index (IHSG) as a parameter of stock performance listed on the Indonesian stock exchange. One of the factors that can affect the IHSG is macroeconomic factors such as economic growth, inflation, and interest rates. This study aims to determine the effect of economic growth, inflation rate, and interest rates of Bank Indonesia on the IHSG. The population and sample in this study are quarterly economic growth, inflation, Bank Indonesia interest rates, the monthly Composite Stock Price Index (IHSG) from 2015-2019. Testing the hypothesis of this study using validity and reliability tests with the SmartPLS version 3 application. The results showed that the variables of economic growth and inflation had no significant effect on the Composite Stock Price Index (IHSG). Meanwhile, the interest rate variable of Bank Indonesia has a significant effect on the IHSG.

Pengaruh Inflasi, Suku Bunga Sbi Dan Jumlah Uang Beredar Terhadap Indeks Harga Saham Gabungan (IHSG) Dengan Model Arch-Garch

The purpose of this study was to determine the effect of inflation, interest rates certificates of Bank Indonesia and the money supply on the composite stock price index (CSPI) with the Arch-Garch model. The analytical method used in this study is multiple regression analysis method with the Arch-Garch model which was carried out with Eviews 9.0. One of the requirements for conducting multiple analysis tests is to test the classical assumptions. This is necessary so that the resulting regression equation is good. Then test the hypothesis, test the coefficient of determination and z test. The results of this study indicate that the Inflation variable has an effect on the Jakarta Composite Index (JCI) in the period January 2014 – December 2018. The interest rates certificates of Bank Indonesia an effect on the Jakarta Composite Index (JCI) in the period January 2014 – December 2018. The Money Supply has an effect. against the Composite Stock Price Index (JCI) in the period January 2014 – December 2018.Tujuan dari penelitian ini adalah untuk mengetahui pengaruh inflasi, suku bunga SBI dan jumlah uang beredar teradap indeks harga saham gabungan (IHSG) dengan model Arch-Garch. Metode analisis yang digunakan dalam penelitian ini adalah metode analisis regresi berganda dengan model Arch-Garch yang dilakukan dengan Eviews 9.0. Salah satu syarat untuk melakukan uji analisis berganda perlu dilakukan uji asumsi klasik. Hal ini diperlukan agar persamaan regresi yang dihasilkan baik. Kemudian dilakukan uji hipotesis, uji koefisien determinasi dan uji z. Hasil dari penelitian ini menunjukkan bahwa variable Inflasi berpengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018. Suku Bunga SBI memiliki pengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018. Jumlah Uang Beredar berpengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018.

The Covid -19 Impact on the Capitalization of Indonesian Sharia Capital Market

The purpose of this study is to see whether Covid 19 pandemic affects stocks listed on the Jakarta Islamic Index (JII) in Indonesia. This study uses data time series as seen from the combined Islamic stock price index in JII from July 2019 to July 2020. In testing the hypothesis, the independent sample t-test and Mann Whitney test are applied to prove the effects of the Covid 19 pandemic on the Jakarta Islamic Index. The results showed that there is an impact of the Covid 19 pandemic on JII. A significance value of 0.000 evidence this 0.05 on the independent sample t-test and 0.004 0.05 on the Mann Whitney test. This means that during the covid 19 periods, the JII Index was under pressure compared to conditions before covid 19.