Maulina Agustin, 1116051050 (2015) PENGGUNAAN MODEL GARCH (Generalized Autoregressive Conditional Heteroskedasticity) UNTUK MENGUJI EFISIENSI PASAR MODAL SYARIAH DI INDONESIA. Fakultas Ilmu Sosial dan Ilmu Politik, Universitas Lampung.
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Abstrak (Berisi Bastraknya saja, Judul dan Nama Tidak Boleh di Masukan)
Abstrak Bahasa Indonesia PENGGUNAAN MODEL GARCH (Generalized Autoregressive Conditional Heteroskedasticity) UNTUK MENGUJI EFISIENSI PASAR MODAL SYARIAH DI INDONESIA OLEH: MAULINA AGUSTIN Penelitian ini bertujuan untuk mengetahui pengaruh harga saham periode sebelumnya, lag periode sebelumnya, nilai residual periode sebelumnya terhadap harga saham periode saat ini pada Indeks Saham JII periode 2011–2013 dan untuk mengetahui bentuk efesiensi pasar modal syariah di Indonesia. Sampel dalam penelitian ini adalah delapan belas perusahaan yang beroperasi selama periode 2011-2013, serta tercatat menjadi anggota di JII (Jakarta Islamic Index) yang ditentukan melalui metode purposive sampling. Teknik analisis data yang digunakan yaitu uji stasioneritas data, identifikasi model, estimasi model, uji diagnosis model, identifikasi efek ARCH-GARCH (Heteroskedastisitas), estimasi model GARCH, dan evaluasi model. Hasil penelitian menunjukkan bahwa harga saham sebelumnya pada saham JII (Jakarta Islamic Index) periode 2011-2013 tidak memiliki pengaruh terhadap harga saham pada periode saat ini, nilai residual harga penutupan dan lag periode sebelumnya saham JII (Jakarta Islamic Index) periode 2011-2013 yang memiliki pengaruh pada harga saham periode saat ini, lebih tepatnya nilai residual satu minggu sebelumnya yang memiliki pengaruh. Harga penutupan mingguan saham JII (Jakarta Islamic Index) periode 2011-2013 memiliki unsur heteroskedastisitas yang berarti bahwa varian residual data memiliki sifat yang tidak konstan atau berubah-ubah. Pasar Modal Syariah di Indonesia tidak termasuk kedalam klasifikasi pasar efesien dalam bentuk lemah (weak form efficiency). Kata Kunci : saham, efisiensi pasar modal, heteroskedastisitas, autoregresif, GARCH (Generalized Autoregressive Conditional Heteroskedasticity) USAGE OF GARCH (Generalized Autoregressive Conditional Heteroskedasticity) MODELS TO TEST THE EFFICIENCY OF ISLAMIC CAPITAL MARKET IN INDONESIA By: MAULINA AGUSTIN This study aims to know about the effect from price stock of previous period, lag of previous period, residual value of the previous period to the current period of stock price on JII Stock Index period 2011-2013 and to know efficiency shape of Islamic Capital Market in Indonesia. The sample in this study are eighteen company which operate during 2011 until 2013 period, as well as recorded in Jakarta Islamic Index (JII) which is decided by purposive sampling. Analysis technique in this research is using stationarity data test, identification of model, estimation of model, diagnosis model, Identification of ARCH-GARCH effects (Heteroskedasticity), estimation of GARCH model, and evaluation model. The result of this research show that price stock of previous period on JII Stock Index period 2011-2013 doesn’t have effect to the current period of stock price, residual value and lag of previous period have effect to the current period of stock price, residual value one week before which have proper effect. Closing price weekly of JII Stock Index (Jakarta Islamic Index) period 2011-2013 have heteroskedasticity element wich mean that residual variance of data have character that not constant. Efficiency shape for Islamic Capital Market in Indonesia, isn’t included in the classification of weak form efficiency. Keywords : stock, efficiency of capital market, heteroscedasticity, autoregressiv, GARCH (Generalized Autoregressive Conditional Heteroskedasticity)
| Jenis Karya Akhir: | Skripsi |
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| Subyek: | |
| Program Studi: | Fakultas ISIP > Prodi Ilmu Administrasi Bisnis |
| Pengguna Deposit: | 2834908 . Digilib |
| Date Deposited: | 16 Feb 2015 03:26 |
| Terakhir diubah: | 16 Feb 2015 03:26 |
| URI: | http://digilib.unila.ac.id/id/eprint/7103 |
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