COMOVEMENT ANALYSIS OF 5 STATE-OWNED INFRASTRUCTURE COMPANIES AGAINST RUPIAH’S EXCHANGE RATE DURING 2015-2018 USING WAVELET COHERENCE METHOD

• Main Author: Rizqita Raharja, Ahmad
• Format: Final Project
• Language: Indonesia
• Subjects: Fisika
• Online Access: https://digilib.itb.ac.id/gdl/view/33789
• Institution: Institut Teknologi Bandung

Econophysics is one of physics research division that applied physics theory and laws to study and solve problem and dynamics in economy field. Physics utilize uncertainty , stochastic processes , probability and statistics to solve complex problems , including stock and finance market. Various valuable information from stock movement activity can be analyzed with econophysics approach . Development by five state-owned companies that already went ‘go-public’ influenced company’s performances and give positive sentiment to their stocks in the market. Purchase of the stocks influenced demand of rupiah currency that impact exchange rate strengthening.. This study aims to analyze volatility and comovement pattern between 5 state-owned companies ,i.e PT. Wijaya Karya Tbk , PT. Adhi Karya Tbk ,PT. Waskita Karya Tbk.,PT Jasa Marga Tbk dan PT Pembangunan Perumahan Tbk that listed in ISE during 2015-2017 and rupiah exchange rate using econophysics approach, in this case is wavelet coherence. Research resulted shows that ; First , every reduction dollar exchange rate is happened , stocks price raised in different rate. Second , PT Adhi Karya’s stocks (ADHI) had the highest comovement whilst PT Waskita Karya’s stockst had the lowest comovement. Third , investment strategy that appropriate for aggressive type investor is to invest in PT Adhi Karya’s stocks whilst for the moderate and conservative , the appropriate investment strategy is to invest in PT Pembangunan Perumahan dan PT. Waskita Karya’s stocks . This research suggest , to have more comprehensive analysis result , other factors need to be considered such as infrastructure sectoral stocks index , expand the private-owned companies involvement in infrastructure development and combining investment strategy that did not always rely on wavelet coherence interpretation.