PENERAPAN MODEL GARCH (GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY) UNTUK MENGUJI PASAR MODAL EFISIEN DI INDONESIA (Studi pada Harga Penutupan (Closing Price) Indeks Saham LQ 45 Periode 2009-2011)
| Main Author: | Eliyawati, Wenty Yolanda |
|---|---|
| Format: | Article application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Fakultas Ilmu Administrasi Universitas Brawijaya
, 2014
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| Online Access: |
http://administrasibisnis.studentjournal.ub.ac.id/index.php/jab/article/view/328 |
Daftar Isi:
- This study focused on the efficiency test in Indonesian capital market, especially on the selected stocks that are LQ 45 Stock Index through the application of GARCH (Generalized Autoregressive Conditional Heteroscedasticity) Model. The analysis showed that the daily closing stock price data LQ 45 index there is an element heteroskedasticity. Application of the model GARCH (1,1) showed that the daily closing price data LQ 45 index stocks in the period 2009-2011, prices in the period of 1 day to 4 days earlier affect the current price and the price of 4 days in advance is the most influential. Efficiency of capital markets in Indonesia, including a weak form of efficiency is also indicated by the return of volatility and random walk stock prices experience. By knowing how security prices have moved in the past can not be translated into accurate predictions of stock prices in the future. Keywords : stock, stock price index, efficiency of capital market, heteroscedasticity, autoregressive Abstrak Penelitian ini memfokuskan pada pengujian pasar modal efisien di Indonesia khususnya pada saham-saham terpilih yaitu Indeks Saham LQ 45 melalui penerapan model GARCH (Generalized Autoregressive Conditional Heteroscedasticity). Hasil analisis menunjukkan bahwa pada data harga penutupan harian saham indeks LQ 45 terdapat unsur heteroskedastisitas. Penerapan model GARCH(1,1) menunjukkan bahwa pada data harga penutupan harian (closing price) saham pada indeks LQ 45 periode 2009-2011, harga pada periode 3 hari dan 4 hari sebelumnya adalah yang paling berpengaruh. Efisiensi pasar modal di Indonesia termasuk efisiensi bentuk yang lemah (weak form efficiency) yang juga ditunjukkan oleh return harga saham yang mengalami volatilitas dan random walk. Dengan mengetahui pergerakan harga sekuritas di masa lalu tidak dapat diterjemahkan ke dalam prediksi yang akurat tentang harga saham di masa yang akan datang. Kata Kunci : saham, indeks harga saham, efisiensi pasar modal, heteroskedastisitas, autoregresi