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All Journal International Journal of Business, Technology, and Organizational Behavior (IJBTOB) International Journal of Applied Management and Business
Zukhri , Nizwan
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Electrical & Electronics Engineering Environmental Science Industrial & Manufacturing Engineering Library & Information Science Social Sciences

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Value At Risk Analysis Using Historical Method and Monte Carlo Simulation in Banking and Mining Sector Companies Darman Saputra; Zukhri , Nizwan; Altin, Darus; Agung Nugroho, Ari; Daddy Setiawan, Ryand; Fitari, Tiara; Thohari, Mustofa
International Journal of Applied Management and Business Vol. 1 No. 1 (2023)
Publisher : ADPEBI Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54099/ijamb.v1i1.436

Abstract

Purpose – Investments in the capital market must be able to understand the risks that exist, because investments that will be faced in the future contain uncertainty. The growth of trading activity and the increasingly uncertain market makes market participants feel the need to develop more accurate and reliable risk measurement techniques. One of the risk measurement techniques is Value at Risk (VaR). Methodology/approach – Value at Risk (VaR) is a method of calculating market risk to determine the maximum risk of loss that can occur in a portfolio, both single and multi-instrument, especially the level of confidence, during a certain holding period, and under normal conditions. market conditions. This study uses secondary data in the form of stocks listed on the Indonesia Stock Exchange, the samples obtained are 2 companies. Processing data in this study using Microsoft Excel program for measuring Value at Risk in portfolios using Monte Carlo simulation. Findings – The results of the study show that a greater return will provide a greater level of risk, judging from the return and VaR values of each portfolio. Where portfolio one has a greater return than the second portfolio, and portfolio one also has a greater risk level than the second portfolio. Investment in the capital market requires a good risk calculation in buying or selling shares, so the purpose of this study is to help investors take steps or policies that are in accordance with the company's conditions.. Novelty/value – The results in this study illustrate that the purchase of BBRI shares with the banking sub-sector and ANTM's shares in the Mining Company sub-sector has its respective risks and benefits. Therefore, the VaR Monte Carlo simulation method can describe each stock.
The Effect of Covid- 19 on January Effect Events on Index Lq45 as the Basis of Investor Decision Making Julio, Julio; Zukhri , Nizwan; Nugroho, Ari Agung
International Journal of Business, Technology and Organizational Behavior (IJBTOB) Vol. 2 No. 3 (2022): International Journal of Business, Technology, and Organizational Behavior (IJB
Publisher : Garuda Prestasi Nusantara Consulting

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52218/ijbtob.v2i3.194

Abstract

This study aims to determine the differences in stock prices, abnormal returns , and trading volume activity of the LQ45 Index in the January effect before the 2019-2020 COVID- 19 and the January effect during the 2021-2022 covid -19 event. This study uses a quantitative approach. The data collection technique used is the documentation method and the library method. The data source used is secondary data in the form of financial statements of companies listed in the LQ45 index stock on the IDX. The sampling technique used is purposive sampling with a total of 24 companies. The data analysis method used is the analysis of the average difference test with the observation period ( event window ) is 10 days at the beginning of the year opening in January. The results of this study indicate that there is no significant difference in stock prices and abnormal returns in the January effect event during the occurrence of covid -19, while in trading volume activity there is a significant difference in the January effect event and during the occurrence of covid -19. Keywords: January effect , Stock Price, Abnormal Return , Trading Volume Activity , LQ45.
Co-Authors Ari Agung Nugroho, Ari Ari Agung Nugroho, Ari Agung Daddy Setiawan, Ryand Darman Saputra Darus Altin Fitari, Tiara Julio Julio Thohari, Mustofa