Irwandi, Kalis Rifo (2021) Estimasi Risiko Investasi Saham Perusahaan Sektor Konsumer Menggunakan Value At Risk Dan Expected Shortfall. Sarjana thesis, Universitas Brawijaya.
Abstract
Sejak awal Maret 2020, Indonesia tengah berjuang melawan penyebaran Covid-19. Di awal pandemi, pasar saham Indonesia merespon perkembangan kasus positif Covid-19 dengan guncangan volatilitas yang kuat. Dalam waktu satu bulan, IHSG bahkan tercatat turun hingga 37% dari posisi awal tahun 2020. Di tengah sentimen negatif tersebut, performa sektor konsumer di awal pandemi dan beberapa bulan setelahnya sempat lebih baik dari IHSG serta indeks sektoral lainnya. Penelitian ini bertujuan untuk mengestimasi potensi risiko investasi saham pada enam perusahaan sektor konsumer dengan metode VaR dan ES. Dengan mempertimbangkan karakteristik volatilitas return saham pada kenam perusahaan tersebut, maka estimasi nilai VaR dan ES dilakukan dengan pendekatan model ARMA-GARCH. Hasil penelitian menunjukkan bahwa terdapat karakteristik pengelompokan volatilitas serta leptokurtosis pada keenam return saham tersebut. Sedangkan keberadaan efek asimetris tidak ditemukan pada keenam return saham. Secara keseluruhan, saham HRTA dan WOOD memiliki potensi kerugian maksimum serta potensi kerugian ekstrem yang relatif lebih besar dibanding ICBP, HMSP, dan UNVR
English Abstract
Since early March 2020, Covid-19 has been spreading throughout Indonesia. Indonesian stock market reacted to the emergence of positive Covid-19 cases with severe volatility shocks at the start of the pandemic. Within a month, JCI had dropped by 37% from its beginning position in 2020. Despite this negative sentiment, consumer sector outperformed JCI and other sectoral indexes during the start of the pandemic and for several months afterward. Using VaR and ES methods, this study aims to estimate the potential risk of stock investment in six consumer sector companies. ARMA-GARCH model is used to estimate VaR and ES values based on the volatility characteristics of stock returns in these six companies.The study found that the six stock returns exhibit volatility clustering and leptokurtosis. While asymmetric effect were not detected in any of the six stock returns. Overall, HRTA and WOOD have the highest maximum potential loss as well as the highest possibility for severe losses compared to ICBP, HMSP, and UNVR
Other obstract
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| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 0521020256 |
| Uncontrolled Keywords: | Value at Risk, Expected Shortfall, ARMA-GARCH, Market Risk, Stock Market, Value at Risk, Expected Shortfall, ARMA-GARCH, Risiko Pasar, Pasar Saham |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Nur Cholis |
| Date Deposited: | 20 Jan 2022 06:59 |
| Last Modified: | 25 Feb 2022 03:10 |
| URI: | http://repository.ub.ac.id/id/eprint/188563 |
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Text (DALAM MASA EMBARGO)
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