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All Journal Jurnal Statistika dan Matematika (Statmat) Journal of Science and Technology
Abdurakhman Abdurakhman
Universitas Gadjah Mada
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Mathematics Other

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EFFECTS OF CALENDAR VARIATIONS ON THE INDONESIA STOCK EXCHANGE: AN EMPIRICAL STUDY OF POTENTIAL STOCKS Putriaji Hendikawati; Subanar Subanar; Abdurakhman Abdurakhman; Tarno Tarno
STATMAT : JURNAL STATISTIKA DAN MATEMATIKA Vol 4, No 1 (2022)
Publisher : Math Program, Math and Science faculty, Pamulang University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32493/sm.v4i1.14921

Abstract

This study examines the effect of calendar variations on potential stocks on the Indonesia Stock Exchange. Calendar variations are observed in telecommunications, retail, food and cigarettes sub-sectors. The observed calendar variations are divided into two: the holiday effect, namely the effect of the month of Ramadan, the effect of the Eid al-Fitr holiday, and the effect of changes in the month of the Eid holidays; and the trading day effect, namely the effect of the day of the week and month of the year effects. ARIMA and ARIMAX model is used to see the effect of previous return data and the calendar variations on predicting stock returns. Descriptively, there is the effect of calendar variations due to Ramadan and Eid holidays and the influence of Monday and January effect. The existence of calendar variations does not apply equally to all types of stocks and to all observation time periods. The calendar variation tends to vary, does not form a clear pattern, does not consistently affect stock returns on the Indonesia Stock Exchange and is not statistically significant. Based on the analysis, it was found that the Monday effect and January effect are the most common phenomena in the Indonesian stock exchange.
Optimasi Portofolio Mean-VaR dengan Fungsi Utilitas Kuadratik pada Lima Saham Perbankan di Indonesia Dina Agustina; Abdurakhman Abdurakhman; Sumardi Sumardi
JOSTECH Journal of Science and Technology Vol 6, No 1: Maret 2026
Publisher : UIN Imam Bonjol Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15548/jostech.v6i1.13570

Abstract

Penelitian ini bertujuan untuk menerapkan model optimasi portofolio Mean–Value at Risk (Mean–VaR) dengan fungsi utilitas kuadratik pada lima saham perbankan di Indonesia, yaitu BBCA, BBNI, BBRI, BMRI, dan BRIS. Data yang digunakan berupa return harian saham. Expected return portofolio dihitung berdasarkan rata-rata return, sedangkan risiko portofolio diukur menggunakan Value at Risk (VaR) pada tingkat kepercayaan 95%. Optimasi portofolio dilakukan dengan memvariasikan parameter preferensi risiko  dan menerapkan kendala tanpa short-selling. Hasil penelitian menunjukkan bahwa peningkatan nilai parameter  menyebabkan penurunan expected return portofolio yang diikuti oleh penurunan nilai VaR, yang mencerminkan adanya trade-off antara return dan risiko. Expected return maksimum diperoleh pada  , sedangkan risiko minimum dicapai pada . Hasil ini menunjukkan bahwa model Mean–VaR memberikan fleksibilitas dalam pengendalian risiko kerugian ekstrem sesuai dengan preferensi risiko investor. Sebagai pembanding, metode klasik mean–variansi Markowitz menghasilkan portofolio dengan risiko yang lebih rendah, namun disertai expected return yang relatif lebih kecil. Dengan demikian, model Mean–VaR lebih adaptif terhadap risiko ekstrem, sementara metode Markowitz lebih stabil dalam mengendalikan risiko berbasis variansi.
Co-Authors Dina Agustina Putriaji Hendikawati Subanar . Sumardi Sumardi Tarno Tarno