ANALISIS DAMPAK SHOCK VOLUME PERDAGANGAN SAHAM PADA INDEKS HARGA SAHAM CONSUMER GOODS DENGAN STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR)

*Infan Nur Kharismawan  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Rukun Santoso  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Budi Warsito  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Received: 12 Feb 2020; Published: 13 Feb 2020.
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Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

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Abstract

The stock trading in the capital market will result daily volume of trading stock that impact on stock price. One of the indicators that describes the stock price movement is stock index. There are many types of stock index, one of them is consumer goods stock index. Stock index is a sensitive economic variable affected by shock and need a restriction to form its economic model. Based on that, Structural Vector Autoregressive (SVAR) is used to describe its economic model. SVAR is formed by a stable VAR, fulfilled white noise, k-variate normal distribution. The purpose of this study are to forecast data on each variables and analyze the impact of the shock through the descriptions of variance decomposition. VAR used as the basis for SVAR is VAR(8) whose the forming variable stationary at the first different degree. Performances of forecasting SVAR using MAPE (Mean Absolute Percentage Error) for in sample data are 13.87434% (volume of trading stock) and 0.87045% (consumer goods stock index) and for out sample data are 14.22964% (volume of trading stock) and 1.76054% (consumer goods stock index). Response of consumer goods stock index to the impact of the volume of trading stock shock shown by proportion of variance decomposition tends to increase, while the shock by itself has decreased until reach its equilibrium point.

 

Keywords:cosumer goods stock index, SVAR, variance decomposition, volume of trading stock

 

Keywords: cosumer goods stock index, SVAR, variance decomposition, volume of trading stock

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