PENDEKATAN ANALISIS VECTOR AUTO REGRESSION (VAR) DALAM HUBUNGAN HARGA SAHAM SEKTOR INFRASTRUKTUR DAN MANUFAKTUR

Authors

  • Wahyuni Windasari Program Studi Manajemen STIE Putra Bangsa

DOI:

https://doi.org/10.12928/admathedu.v8i1.11124

Keywords:

VAR, saham, infrastruktur, manufaktur.

Abstract

Penelitian ini bertujuan untuk melihat ada-tidaknya hubungan antara harga saham di sektor infrastruktur dan sektor manufaktur dengan menggunakan model VAR. Adapun data yang digunakan berupa data harga saham harian pada sektor infrastruktur dan manufaktur periode Januari 2015- Juli 2017 sebanyak 661 data dengan olah data menggunakan software Eviews. Dari hasil penelitian menunjukkan bahwa harga saham sektor manufaktur mempengaruhi saham sektor infrastruktur sesuai dengan model VAR(2). Selanjutnya dari uji Portmanteau diperoleh bahwa model VAR(2) merupakan model terbaik untuk menjelaskan hubungan antara harga saham sektor infrastruktur dan harga saham sektor manufaktur.

 

References

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Published

2018-06-30

Issue

Vol. 8 No. 1: Juni 2018

Section

Articles

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