Company Stock Performance Analysis on IDX ESG Leaders Index Using the ARIMA-GARCH Model

Hazelino Rafi Pradaswara, Dwi Susanti, Sukono Sukono

Abstract


Stocks are one of the most popular forms of investment. In investing stocks, it is necessary to know the movement of stock prices and the investment risks that may occur. The purpose of this study is to predict the level of risk, see the characteristics of stock returns, and whether the ESG Risk Rating makes the company's stock performance better. The models used to predict stock returns are Auto Regressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticty (GARCH), and Value at Risk (VaR) is used to predict risk. Based on the research, the potential loss for Bank BCA is IDR29.800.000,00 and Bank Mandiri is IDR33.600.000,00 with the assumption that an investor invests as much as IDR1.000.000.000,00. In addition, Bank BCA has a lower ESG Risk Rating than Bank Mandiri, but has a better performance.


Keywords


Time series analysis, ARIMA, GARCH, VaR, IDX ESGL index, stocks

Full Text:

PDF

References


Bowerman, B.L. and O'Connell, R.T., 1993. Forecasting And Time Series: An Applied Approach. 3rd.

Enders, W., 2008. Applied Econometric Time Series. John Wiley & Sons.

Engle, R.F., 1982. Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation. Econometrica: Journal of the econometric society, pp.987-1007.

Damodar N, G., 2004. Basic econometrics.

Kewal, S.S. and Putranto, Y.A., 2019. Socially Responsible Investing (Sri) Dan Kinerja Saham. Jurnal Nominal, 8(2), pp.194-208.

Jang, Y.E., 2019. Do ESG Scores Matter In The Market?: Environmental, Social and Governance Performance in Relation to Stock Returns And Profitability in European Market.

Sudha, S., 2015. Risk-Return And Volatility Analysis of Sustainability Index in India. Environment, development and sustainability, 17(6), pp.1329-1342.

Sukono, Sudradjat,S. and Susanti, D., 2015. Estimasi CAPM Menggunakan Pendekatan Transformasi Freeman-Tukey dalam Perhitungan Value-at-Risk dan Expected Shortfall.

Tandelilin, E., 2017. Pasar Modal Manajemen Portofolio & Investasi. Yogyakarta: PT Kanisius.

Tsay, R.S., 2005. Analysis of financial time series. John wiley & sons.

Wang, W., Guo, Y., Niu, Z. and Cao, Y., 2009, December. Stock Indices Analysis Based on ARMA-GARCH Model. In 2009 ieee International Conference on Industrial Engineering And Engineering Management (pp. 2143-2147). IEEE.

Wang, Y.G., 2011. Corporate Social Responsibility And Stock Performance Evidence From Taiwan. Modern economy, 2(05), p.788.

Wei, W.W., 2006. Time Series Analysis: Univariate and Multivariate. Methods. Boston, MA: Pearson Addison Wesley.




DOI: https://doi.org/10.46336/ijqrm.v3i3.347

Refbacks

  • There are currently no refbacks.


Copyright (c) 2022 Hazelino Rafi Pradaswara, Dwi Susanti, Sukono Sukono

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Published By: 

IJQRM: Jalan Riung Ampuh No. 3, Riung Bandung, Kota Bandung 40295, Jawa Barat, Indonesia

 

IJQRM Indexed By: 

width= width= width= width= width= width= 

 


Lisensi Creative Commons Creation is distributed below Lisensi Creative Commons Atribusi 4.0 Internasional.


View My Stats