Article Per Year (5 Year)
p-Index From 2021 - 2026
0.888
P-Index
This Author published in this journals
All Journal Jurnal Ekonomi Pembangunan Media Mahardhika JAST : Jurnal Aplikasi Sains dan Teknologi Jurnal Sains Sosio Humaniora JURNAL MANAJEMEN Inferensi BERNAS: Jurnal Pengabdian Kepada Masyarakat Jurnal Abdimas Berdaya : Jurnal Pembelajaran, Pemberdayaan dan Pengabdian Masyarakat Benchmark
Novitasari, Diah Ayu
Universitas Islam Lamongan
Religion Aerospace Engineering Agriculture, Biological Sciences & Forestry Arts Humanities Astronomy Automotive Engineering Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Dentistry Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Health Professions Immunology & microbiology Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Materials Science & Nanotechnology Mathematics Mechanical Engineering Medicine & Pharmacology Neuroscience Nursing Physics Public Health Social Sciences Transportation Veterinary Other

Published : 11 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 11 Documents
Search

 1   2 
Implementing Markov Switching Regression Using Best Subset Approach For BSI Stock Price Prediction Analysis Nurdiansyah, Denny; Ma'ady, Mochamad Nizar Palefi; Wijayanti, Lulud; Novitasari, Diah Ayu; Rohmawati, Siti
Inferensi Vol 8, No 2 (2025)
Publisher : Department of Statistics ITS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12962/j27213862.v8i2.21030

Abstract

Stocks are evidence of ownership of the capital or funds of a company or institution and are represented by a document that includes the par value, the company name, and the rights and obligations described for each owner. Since so many factors affect the rise and fall of stock prices, investors should pay attention to the factors that influence the rise and fall of stock prices to avoid incurring losses or profits when buying and selling stocks. The rise and fall of stock prices can be analyzed with Markov switching regression by trying all possible placements of factors to get the best subset. Public holdings will continue to increase due to nation-building and Sharia Bank Indonesia (BRIS) stock price appreciation. This study aims to determine the impact of increases and decreases in the closing price of BSI stock. The modeling used in this study is Markov switching regression using the best subset approach. The data used in this study are secondary in the form of daily data for the closing price of Bank Syariah Indonesia shares, Inflation, BI Rate, Selling Exchange Rate, Money Supply, and Gross Domestic Product (GDP). Data are obtained from the official BPS website. The results of this study show that Markov switching regression modeling can identify the feasibility of regimes as "bull" and "bear" periods. State 2 indicates an uptrend or "bullish," and state 1 indicates a downtrend or "bearish." The best subset approach obtains the best model with the lowest SSE value. The study concluded that the statistical modeling results of  BSI stock's closing prices during "bull" and "bear" periods provide significant predictors: BI Rate, Selling Exchange Rate, and Money Supply.
Co-Authors Chodariyanti, Laily Denny Nurdiansyah Erna Hayati Fiqih Akbar Firmansyah Imroatus Sholikhah Indah Kurniawati Luluk Nur Azizah Mochamad Nizar Palefi Ma’ady Mohammad Yaskun Muhammad Rendi Fazrien Aziz Putri Novitasari Ririn Nofita Sari Rivatul Ridho Elvierayani Rohmawati, Siti Rosdiyati Septyan Budy Cahya Shania Dwi Krispriandini Wijayanti, Lulud