VOLATILITAS HARGA SAHAM PASAR MODAL INDONESIA (STUDI PADA INDEKS LQ45 PERIODE 30 DESEMBER 2011-30 JUNI 2014)

WINDA, WULANSARI (2015) VOLATILITAS HARGA SAHAM PASAR MODAL INDONESIA (STUDI PADA INDEKS LQ45 PERIODE 30 DESEMBER 2011-30 JUNI 2014). Diploma thesis, Universitas Andalas.

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Abstract

This study aims to study the volatility of stock price in Indonesian capital market particularly in the LQ45 stock index. The samples of this research are closing price of LQ45 stock index in the period December 30th, 2011- June 30th, 2014, by the total of 610 observations. This research uses the ARCH/GARCH model for modeling the volatility and granger causality test for identifying the causality return LQ45 to volatility LQ45. This analysis found that there is phenomenon of volatility clustering in the index LQ45, GARCH (1,1) as good models to describe the volatility of LQ45 stock index and return of LQ45 granger cause volatility of LQ45 index. This finding can be used by investors as one of consideration in the taking of an investment decision. Key word: lag, ARCH, GARCH, volatility, volatility clustering

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