Analysis of Rewards Results of Banking Shares Book III Registered in Indonesia Stock Exchange

Abstract

Stock is one of the investment instruments that many investors choose. One of the industrial sectors on the Indonesia Stock Exchange is the financial sector. Banking is one of the financial sub-sectors. Book III banking stocks are included in the top 50 market capitalization category on the IDX in 2019. Book III bank stock returns fluctuate, indicating volatility that occurs. This study analyzes the stock returns of Book III using the ARCH / GRACH approach. The study also aims to find the best ARCH / GARCH model to solve the volatility problem that occurs in Book III stock returns. The results showed that the highest average return was generated by MAYA shares. For the ARCH / GARCH approach, the best model in the volatility of return of banking stocks in Book III, the majority use the GARCH model (1,1).