LQ45 Stock Research Articles

The Financial Technologies Utilization to Increase the Competitive Advantage of Product Marketing

The purpose of this study is to analyze the formation of an optimal stock portfolio and provide the expected rate of return and minimum portfolio risk. This type of research is descriptive with a quantitative approach. The data used in this study is secondary data, consisting of closing prices, market index (LQ45 index), seven-day repo rate, beta and alpha for the periods June 2019-June 2020 and June 2020-June 2021. The data analysis method uses Microsoft Excel program to calculate LQ45 stock index in optimal portfolio formation. The results of the study show that there are seven stocks that perform well and form an optimal portfolio, which can be sorted by stock performance, namely: MIKA (44%); JPFA (24%); ITMG (12%); INKP (11%); INDF (6%); PGAS (1%), and PTPP (2%). which produces an expected portfolio return of 13.00% and a portfolio risk level of 19.22%. Of the ten sample companies used in the study, there were three issuers that were not optimal, namely:INTP;MNCN;and PTBA, due to the value of ERB C.

Analisis Trend Saham LQ-45 selama Pandemi Covid-19 dengan K-Means Clustering

Stocks are one of the investment instruments that have great risks and benefits. Large profits in a very fast time often make investors forget about the risks that may occur. Dynamic price changes at any time require in-depth analysis to determine the decision to buy, hold or sell. The COVID-19 pandemic has had a major effect on economic growth, investment and culture. This study aims to group stocks that have the same trend during the pandemic so that they can get returns and minimize the risk of loss. The stock price data in this study is sourced from finance.yahoo.com with a time span from 2019 to 2021. The stocks to be analyzed are stocks belonging to the LQ-45 stock category from 2019 to 2021. will be grouped with K-means Clustering. This study groups LQ-45 stocks into 3 clusters which are the right considerations by investors in stock investments during the Covid-19 pandemic.

Implementation of Volatility Model in Modeling Relationship Between Share Trade Variables

This study deals with the comparison of Generalized Autoregressive (GARCH) models and square returns in analyzing the relationships between stock trading variables. Stocks that have a statistically significant relationship between volume and volume return squared (volatility) cannot be grouped based on the average monthly market capitalization. Based on causal and contemporary models, it is indicated that intraday trading of LQ-45 stock samples is following the theory of the sequential information arrival hypothesis (SIAH) when using the quadratic return model. When viewed from a contemporary basis, this research uses the quadratic return volatility model following Valentika et.al (2017) research using the GARCH volatility model. If viewed from a causal basis, this research that uses the quadratic return volatility model conflicts with the Valentika et.al (2017) study using the GARCH volatility model.

Hubungan Dinamis Antara Volume Perdagangan Saham, Nilai Tukar, Jakarta Islamic Indeks dengan Indeks LQ45 Menggunakan Vector Autoregressive (VAR) Di Bursa Efek Indonesia Periode 2017-2020

This study aims to determine the short-term effect of the relationship between Stock Trading Volume, Exchange Rate, Jakarta Islamic Index, and LQ45 Index on the Indonesia Stock Exchange for the 2017-2020 period. The population in this study is 208 time series data by including the entire population into the sample, which is 208 time series data. VECM is one of the econometric models used in analyzing the data in this study. Based on the research the hypothesis is accepted because the variables of Jakarta Islamic Index and LQ45 stock trading volume have an effect, while other variables do not, so the hypothesis is rejected.Keywords : Stock Trading Volume, Exchange Rate, Jakarta Islamic Index, LQ45 Index, VECM

THE INFLUENCE OF LIQUIDITY, PROFITABILITY, SOLVENCY AND STOCK PRICES ON STOCK LIQUIDITY LQ 45

This research to determine the effect of liquidity, profitability, solvency and stock prices on stock liquidity of LQ45 for companies listed at the Indonesia Stock Exchange period 2013-2020. The research method uses a quantitative approach and the population were all LQ45 companies listed at the BEI period 2013-2020. The sampling method using non-probability sampling with purposive sampling technique. This study using secondary data of financial statements and analysis technique using panel data regression model Eviews 10. The results showed that liquidity and solvability not affect on stock liquidity of LQ45 companies. Profitability has a positive and significantly effect on stock liquidity of LQ45 companies and stock prices have negative and significantly effect on stock liquidity of LQ45 companies.

PENGARUH FAKTOR FUNDAMENTAL MAKRO EKONOMI TERHADAP HARGA SAHAM LQ45

Macroeconomics has an influence on stock prices, namely economic growth, inflation, and the exchange rate. Therefore, investors must consider these factors before investing in order to find out how much risk will be borne by the price of shares obtained for investors. This study aims to determine the effect of macroeconomics on LQ45 stock prices. This research uses quantitative methods. The population in this study are all companies listed in the LQ45 index. The sample research technique is using saturated samples. The data analysis technique used is multiple regression analysis. The partial results of the study indicate that the rate of economic growth includes a significant value of 0.446> 0.05, meaning that the rate of economic growth has no effect on stock prices. Significant value of inflation 0.262> 0.05 means that inflation has no effect on stock prices. While the significant exchange rate 0.049 <0.05 means that the exchange rate has a significant effect on stock prices. The results of the simultaneous F test with a significant value <0.05, which means the rate of economic growth, inflation and the exchange rate have a simultaneous effect on stock prices. In conclusion, the t test of economic growth and inflation does not affect the stock price, while the exchange rate has a significant effect on stock prices. The results of the F test namely the rate of economic growth, inflation and the exchange rate have an effect simultaneously on stock prices

Aplikasi Geometric Brownian Motion dengan Jump Diffusion dalam Memprediksi Harga Saham Liquid Quality 45

At the beginning of 2021, stock LQ45 experienced a significant spike in stock prices, making the stock price difficult to predict and the profits obtained by investors uncertain. The purpose of this study is to predict the stock price of LQ45 using the Geometric Brownian Motion model with Jump Diffusion and determine investment by comparing the expected return and return of stock price prediction results. This study uses a Geometric Brownian Motion model with Jump Diffusion to predict stock prices because it can predict when stock prices experience price spikes and fluctuations. Based on the results of the study, of the 45 stocks listed on LQ45 stock, only nine stock companies were selected that had a normally distributed return whose stock price was predicted by applying the Geometric Brownian Motion model with jump-diffusion and each MAPE value obtained was in the very good category. There are six stock companies with investment decisions in the form of buying shares, including Ace Hardware Indonesia Tbk, Bank Central Asia Tbk, Charoen Pokphand Indonesia Tbk, Indofood CBP Sukses Makmur Tbk, Vale Indonesia Tbk and Indah Kiat Pulp Paper Tbk. Three stock companies with investment decisions in the form of selling shares including, Bank Rakyat Indonesia (Persero) Tbk, Jasa Marga (Persero) Tbk and Mitra Keluarga Karyasehat Tbk.

Pengaruh Indeks Saham Asing Dan Variabel Makroekonomi Terhadap Indeks Harga Saham LQ45

Investment is one kind of country’s income. The capital market, including stocks, is a form of the convenience of modern investment. Investors, policy makers, capital market observers, and financial analysts need information in monitoring the movement of traded stock prices. Stock index is the main information in the stock market. One of the stock indexes which have potential and noticed by the people is the LQ45 stock price index. In this study, researchers tried to determine the effect of foreign stock index the Dow Jones Industrial Average (DJIA) and Straits Times Index (STI) and macroeconomic variables such as the USD/IDR exchange rate, interest rates (BI 7-days (Reverse ) Repo Rate), and inflation on the LQ45 stock price index. This study uses the Error Correction Model (ECM) method with 60 observational data from the research period January 2017 to December 2021. The results show that DJIA and STI have a positive and significant effect in the long and short term, the exchange rate has a negative and significant effect in the long and short term, interest rate has a negative and insignificant effect in the short term while in the long term it has a significant positive effect, while inflation has an insignificant negative effect in the long and short term on the LQ45 stock price index.

The Effect of Corporate Governance on Company Value in The Indonesia Stock Exchange and Sharia Stock in Indonesia

This study analyzes the effect of corporate governance on a firm value on the Indonesian stock exchange and Islamic stocks in Indonesia. We conducted this study because it is still very rare to research by adding Islamic stock variables as a moderating variable. Many studies on the influence of corporate governance on firm value have been carried out, but there are inconsistencies in the results. Corporate governance, in this case, the ownership structure is assessed by the ownership structure. This study uses 150 manufacturing companies listed on the Jakarta Stock Exchange during 2002 - 2005 as a sample with 600 observations. The hypothesis is tested using regression analysis. Firm value is measured using Tobin's Q. The results show that institutional ownership has no significant effect on firm value. significant effect on firm value due to the development of the Indonesia Stock Exchange in terms of the development of the LQ45 stock index performance increasing, not proven. However, managerial ownership has a significant and positive effect on firm value. What is known from the analysis of this research is (1) the development of the Indonesia Stock Exchange as seen from the growth in the performance of the LQ45 stock index, (2) the growth of sharia shares, (3) the comparison of the LQ45 stock index performance scheme with the JII stock index performance is known to have a slight difference in the growth of the Stock Exchange. Indonesia is seen from the growth in the performance of the LQ45 stock index. And in terms of the development of the JII stock index performance. Keywords: corporate governance, institutional ownership, managerial ownership, LQ45, sharia shares

Dynamic portfolio formulation using bitcoin and LQ45 stocks

This research aims to evaluate whether dynamic portfolios consisting of bitcoin and LQ45 stocks outperform portfolios composed solely of LQ45 stocks, especially during the Covid-19 pandemic. Accordingly, we use the time-series data of eight stocks and bitcoin from January 1, 2020, to December 31, 2020. We then run the DCC-GARCH method to analyze better the dynamic correlation between assets and the abnormalities of stock return distributions. The findings demonstrate that bitcoin is negatively correlated with LQ45 stocks, and hence, it can be used to hedge against stock assets. Further, we measure the portfolio performance of bitcoin-hedged and unhedged stock portfolios using the Jensen Index, Treynor Index, Sharpe Index, Sortino Ratio, and Omega Ratio. These measures consistently indicate that bitcoin-hedged stocks outperform unhedged stocks. In sum, our study concludes that incorporating bitcoin into portfolio formation improves portfolio performance.

THE ACCURACY TEST OF TECHNICAL ANALYSIS OF MOVING AVERAGE, BOLLINGER BANDS, AND RELATIVE STRENGTH INDEX ON STOCK PRICES OF COMPANIES LISTED IN INDEX LQ45

This study aims to test and provide empirical evidence of the accuracy of the technical analysis indicators Moving Average, Bollinger Bands, and Relative Strength Index in predicting the direction of stock price movements. This research focuses on stocks that represent the Indonesian stock Market, namely the LQ45 stock index for the period February 2021 - July 2021. Data were collected through the tradingview.com platform. To test the research hypothesis, the statistical differences between the predictions and the reality of stock price movement were tested using Mann-Whitney non-parametric test. The results of this study found that there was no difference between the predictions of the direction of stock price movements produced by the three indicators and the actual prices, which means that the three indicators are accurate. From the results of the analysis and comparison of the performance of the three indicators from the number of signals, the average rate of return, and the sample observations, it can be concluded that the Relative Strength Index indicator has a more optimal accuracy performance compared to the other two indicators. indicator. The results of this study can be used as a reference for capital market investors in choosing technical analysis methods that can help make more appropriate investment decisions.

Modeling the returns volatility of Indonesian stock indices: The case of SRI-KEHATI and LQ45

The purpose of this research is to model the volatility of Stock Indices in Indonesian capital market. This research focuses on two stock indices namely SRI-KEHATI and LQ45. SRI_KEHATI is a stock index that consists of companies whose operations are sustainable and environmentally friendly. This stock index is also known as “green index” due to its environment and sustainability concern. This is the novelty of this research that fills in the gap in the literature in which not much known regarding this green index. As the comparison, LQ45 stock index was modeled. The data used in this model were daily returns data of both index. The research period extended from 2 January 2019 to 1 November 2021. The research employed four models i.e. ARCH (1), ARCH (2), GARCH (1,1) and GJR-GARCH (1,1) for both indices returns. The ARCH and GARCH model were employed to capture the conditional variance of the indices return, while GJR-GARCH was specifically chosen to investigate whether there exists asymmetric effect in which return reacts more to bad news than good news. Akaike Information Criterion (AIC) and Schwarz Information Criterion (SIC) were chosen as the parameters for choosing the best models. Data analysis showed that GJR-GARCH was the best model for modeling the returns volatility of SRI-KEHATI and LQ45. This model was able to capture the essential property of asymmetric effect present in both models. The second best model was ARCH (2). Apparently, returns variance of Indonesian stock indices are affected more by lagged residuals. The limitation of this research lies in its research period that covered both pre-pandemic and post-pandemic period. Stock market behavior might be very different between these two periods. Future research may endeavor to investigate how the volatility of stock differs between pre-pandemic and post-pandemic period.

Analisis Moving Average Convergence Divergence pada Investasi Saham Syariah saat New Era

This research aims to find out the optimal rate of return on investment at Islamic stocks based on the MACD method during the New Era, with the population of Islamic stocks or companies that included in the Liquid 45 or LQ-45 stock index and also included in Jakarta Islamic Index or JII during October to December 2021, and sample selection using purposive sampling technique, as well as using secondary data obtained from daily data on JPFA stock prices which had the highest stock return values. The results of this research showed that the use of the MACD indicator produced accurate purchase and sell signals on JPFA shares, this indicated that JPFA shares provided buy signals on October 06, November 02 2021 and December 30, 2021. It was proven by the fact that the MACD value was greater than The Signal Line caused result in a Bullish or Uptrend (the stock price signaled a signal that increased, so it was recommended to buy) while the JPFA stock showed a sell signal on October 05, 2021, November 01, 2021, and December 30, 2021 and it was proven by the fact that the MACD value was smaller than Signal Line then there was a Bearish or Downtrend (the stock price gave a signal to go down, it was recommended to sell). So, with the results of this study, technical analysis using the MACD indicator can be recommended to short-term investors to be used in making decisions to buy or sell shares during the New Era.

LQ45 Stock Index Abnormal Return Reaction to the Covid-19 Pandemic: the Even Study Methodology

LQ45 Index stocks are liquid stocks with high market capitalization, have a high trading frequency, growth prospects, and fairly good financial conditions, are not volatile and have been objectively selected by the IDX. This research aims to determine the abnormal return of LQ45 Stock Index to the covid-19 pandemic. This research uses even study method with population consisted entirely of daily data from the ten most populous cities in the United States. The result of this study shows that there are significant differences in abnormal returns before and after the announcement of the Covid-19 pandemic by WHO. The announcement of this pandemic is responded to as a negative signal by investors so that information regarding the announcement of the Covid-19 pandemic by the WHO is responded to early and at the time of launching the information no longer had any effect because the prices had moved towards equilibrium. The future research that extend the research time period and include other external factors such as lockdown policies or inflation is needed as the limitation in this research.

Pengaruh Inflasi, Kurs USD/IDR, dan BI-7 Day (Reverse) Repo Rate Terhadap Indeks Saham LQ45 di Bursa Efek Indonesia (BEI)

Saham telah menjadi instrumen investasi yang digemari di era digitalisasi seperti saat ini, secara umum investor akan tertarik berinvestasi saham pada emiten yang memiliki kondisi fundamental baik. Indeks saham LQ45 merupakan alternatif dari IHSG yang memudahkan pelaku pasar atau investor dalam memilih saham-saham pilihan. Performa Indeks saham LQ45 tidak selamanya gemilang, banyak berbagai faktor yang cenderung mempengaruhi seperti halnya faktor makroekonomi yang mana sangat cepat beradaptasi dengan emiten go public sehingga berdampak pada terbentuknya harga saham di bursa. Penelitian ini bertujuan untuk mengetahui, dan menganalisis pengaruh Inflasi Kurs USD/IDR dan BI-7 Day (Reverse) Repo Rate terhadap Indeks Saham LQ45 di Bursa Efek Indonesia (BEI). Populasi terdiri dari data time series selama 55 bulan yakni periode Januari 2017-Juli 2021. Pengambilan sampel menggunakan non probability sampling dengan teknik sampel jenuh dimana seluruh anggota populasi dijadikan sampel. Data sekunder dianalisis menggunakan teknik analisis regresi linier berganda dengan didukung software SPSS 25. Uji hipotesis dilakukan menggunakan uji F dan uji T. Berdasarkan hasil uji F (simultan) didapatkan hasil bahwa Inflasi, Kurs USD/IDR dan BI-7 Day (Reverse) Repo Rate berpengaruh signifikan terhadap Indeks Saham LQ45. Hasil uji T (parsial) menunjukkan bahwa Inflasi dan BI-7 Day (Reverse) Repo Rate berpengaruuh positif dan signifikan terhadap Indeks Saham LQ45 sedangkan Kurs USD/IDR berpengaruh negatif dan signifikan terhadap Indeks Saham LQ45.

Analisis Reaksi Pasar Modal terhadap Peristiwa Pelantikan DPR-RI Tanggal 1 Oktober 2019

This study uses research methods to see the market response to the DPR-RI inauguration event. The study period used was 11 trading days, covering 5 day before the event and 5 day after. The population in this study are members of the LQ-45 stock index which are listed on the Indonesia Stock Exchange. The statistical test is used to study the one sample t-tes and paired sample t-test. The one sample t-test result shows that there is a negative abnormal return in the 6 days surrounding the event, which means that the market responds to the event of the DPR-RI inauguration. 
 Meanwhile, the paired sample t-test shows that there is no significant differentt between trading volume activity (TVA) and Security Return Variability (SRV) before and after the DPR-RI inauguration. The absence of a significant difference in TVA and SRV indicates that the data occurring on the average event were not strong enough to produce a significant difference before and after the event activity.

PCA Implementation In Identifying Risk And Return of LQ45 Stocks

Stock investing is a high-risk investment, so investors are constantly looking for ways to reduce risk while adapting returns. Lower risk stock groups are represented in Indonesia by the LQ45 index, which includes stocks with high liquidity, large capitalization, and good fundamentals. However, the index contains 45 members with varying risk and return. As a result, the price action analysis of the index's stock members is required to further reduce risk. This study employed principal component analysis to identify the index's various price action groups. PCA was used in Python 3 and produced two groups that explain 70.91% of the variance in the index's price movement. The stock groups derived from PCA were further analyzed, and ANOVA revealed that the groups differed significantly in return but not significantly in risk. The implemented PCA demonstrated potential return for a variety of investors interested in LQ45 stocks.

Market reaction to the Covid-19 pandemic: Events study at stocks listed on LQ45 index

This study aims to examine the market reaction to the Covid-19 pandemic using stocks listed on the LQ45 Index, by using the event study method to calculate and analyze the difference in Average Abnormal Return (AAR) and Trading Volume Trading (TVA) during the Covid-19 pandemic that occurred in Indonesia. The population for the study is companies listed on the LQ45 Index with a sample of 41 companies taken by purposive sampling technique. Statistical analysis was conducted by using events study with paired sample t-test in determining the abnormal return difference test for each event. The first finding was that the LQ45 stock market reacted positively since the confirmation of the Covid-19 outbreak in Wuhan, China, as investors did not consider this information bad news. Second, LQ45 shares have shown a decline since the first confirmed Covid-19 patients in Indonesia. Third, the announcement of a pandemic by the World Health Organization (WHO) continued until the Jakarta regional lockdown in April 2020 made LQ45 respond negatively. The market began to respond positively after the first vaccination in Indonesia in January 2021. Overall, the results show that the LQ45 stock market has responded quickly to the Covid-19 pandemic from the start events and responses vary over time depending on events during the pandemic. Investors tend to be quick to respond to any event so that stock movements are very difficult to project. This research concludes that the negative impact occurred on the stock market in Indonesia could be attributed to the Covid-19 pandemic.

Analysis of The Influence of Exchange, Inflation, Gross Domestic Product, Interest Rate, and The Amount of Money Circulation On The LQ45 Index In The Indonesia Stock Exchange Between 2016-2020

The objective of this research was to analyze the short and the long-run relationship between five macroeconomics variables such as exchange rate, inflation, Gross Domestic Product (GDP), SBI rate, and money supply to examine their influence on the LQ45 stock price index. The data sample used in this study is monthly time series data from January 2016 to December 2020. This study used Vector Error Correction Model to analyze the problem. The result shows that in the short run (1 month ago), exchange rate, inflation, Gross Domestic Product (GDP), SBI rate, and money supply do not influence the LQ45 stock price index. In the long run, the exchange rate has positive inflation, SBI rate, and money supply negatively influence the LQ45 stock price index. Therefore, Gross Domestic Product (GDP) does not influence the LQ45 stock price index. The results of the Impulse Response Function and Variance Decomposition, SBI rate, is a variable that provides the most significant contribution to the LQ45 stock price index

Aspek Pengaruh Naik Turunnya Harga Saham Premier LQ-45

This study aims to determine the factors thas influence the shelf-decline of stock price in the Indonesia Stock Exchange. To do this writing, the analyst wants to change how the variable interest rate (SBI), kurs and inflation on the share price of primier LQ-45. This research examines the relationship between levels interest rate (SBI), exchange rate, inflation against LQ-45 share price. This study uses the ECM (Error Correction Model) method which begins with a unit root test with the results of the LQ-45 stock price and interest rate (SBI) at the 1st difference level while the exchange rate and inflation are at the level. This study uses secondary data type with a time series January 2015 – December 2020. The result show that in the long and short term the exchange rate has a negative effect on LQ-45 stock prices while inflation has a positive effect on LQ-45 stock price and interest rate have a positive effect on LQ-45 stock price short term while the long term produces a negative effect on the stock price of LQ-45.