WAVELET COHERENCE METHOD FOR COMOVEMENT ANALYSIS OF SECTORAL STOCK PRICE INDICES AGAINST RUPIAH EXCHANGE RATE IN 2015 AND 2018 DOUBLE CRISIS EVENT

• Main Author: Nadhila Zatudina, Siti
• Format: Final Project
• Language: Indonesia
• Subjects: Fisika
• Online Access: https://digilib.itb.ac.id/gdl/view/38151
• Institution: Institut Teknologi Bandung

Stock investment activities carried out by investors can provide certain advantages and disadvantages, depending on stock market conditions at that time. Econophysics is a field that can provide alternative ways of analyzing the stock market so that investors do not experience significant losses in their investment activities. The analysis includes looking at the effect of the rupiah exchange rate movement on the stock price index, or it can be said the comovement analysis between the rupiah exchange rate and the stock price index. The analysis can be carried out using the wavelet coherence method observed in the time domain and frequency domain. The purpose of this report is to find out the comovement between the rupiah exchange rate and sectoral stock price index in Indonesia by analyzing the volatility of each time series analyzed, namely the rupiah exchange rate and sectoral stock price index in Indonesia, and also observe the comovement between the two time series with wavelet coherence method. The application used in this analysis is MATLAB with sourcecode that has been developed by Grinsted. The results obtained from this report are Wavelet Power Spectrum and Wavelet Coherence plots, where the plots can provide information about volatility and the relationship between the two time series analyzed and the details. With the results of a comovement analysis of the exchange rate, it is known that the Basic Industry Sector and the Trade & Services Sector have the highest comovement, while the Mining and Infrastructure Sector has the lowest comovement. So that investors of the Risk Seeker type can invest their shares in the Basic Industry Sector and the Trade & Services Sector and investors of the Risk Averter type can invest their shares in the Mining and Infrastructure Sector.