PENDEKATAN MODEL MARKOV SWITCHING PADA PASAR MODAL INDONESIA

  • Iman Lubis
Keywords: Marov Switching, Stock Market, Stable Investment

Abstract

This research confirms the truth that the Indonesian capital market is the smallest risk market or a stable market. The method approach in this research is the Markov Switching Regime Model approach. The data used are daily data from 1990 to 2018. The amount of data is adjusted to the start of the market index. The result is that almost all indices are not recommended besides the development board index, the miscellaneous industry index, the Indonesian FTSE index, the LQ-45 index, the 30 stock index, and the shariah index.

Abstrak

Penelitian ini memastikan kebenaran bahwa pasar modal Indonesia merupakan pasar saham terkecil resikonya atau pasar yang stabil. Pendekatan metode pada penelitian ini adalah pendekatan Markov Switching Regime Model. Data yang digunakan adalah data harian dari tahun 1990 sampai 2018. Jumlah data disesuaikan dengan dimulainya indeks pasar. Hasilnya adalah hampir semua indeks tidak direkomendasikan selain indeks development board, indeks miscellaneous industry, indeks ftse Indonesia, indeks LQ-45, indeks 30 saham, dan indeks shariah.

Kata Kunci: Markov Switching, Pasa Modal, dan Investasi Stabil

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Published
2018-09-25
How to Cite
Lubis, I. (2018). PENDEKATAN MODEL MARKOV SWITCHING PADA PASAR MODAL INDONESIA. Jurnal Madani: Ilmu Pengetahuan, Teknologi, Dan Humaniora, 1(2), 417-429. https://doi.org/10.33753/madani.v1i2.22
Section
Articles