IHSG MOVEMENT PREDICTION MODEL BASED ON SELECTED GLOBAL INDEXES

• Main Author: AUDIANSHA , BRAHMS
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/13334
• Institution: Institut Teknologi Bandung

Globalization makes every country in the world begins to enter the globalization process. The globalization event throughout the world causes a connection within the current event of one country to another countries. Indonesian capital market through IDX is an integral part of the global stock market activity. In addition to usually stock exchanges located nearby, often have the same investors. This phenomenon happens because of globalization and Indonesia as a member of the World Trade Organization has opened the stock market to foreign investor to invest worldwide. Therefore, changes in one stock exchange will also be transmitted to other countries. In this case, usually a larger stock will affect the smaller exchanges. This research is intended to see the impact of stronger economic countries stock market index to the condition of capital markets in Indonesia, which is reflected by IHSG. This paper tried to predict the movement of IHSG based on the historical data of Nikkei, Hang Seng Index, Dow Jones Industrial Average, All Ordinaries Index, and Straits Times Index. The model obtained from this research is an Econometric Model of Autocorrelation Condition Heteroscedasticity (ARCH) / Generalized Autocorrelation Condition Heteroscedasticity (GARCH). Based on the result of this research, the best model is obtained from the ARCH(1) method. The model showed 65.47% of coefficient determination (R-square). This model has approved that the selected foreign indexes gives significant influence to IHSG.