Forecasting Stock Prices on the Lq45 Index Using the Varimax Method

Atmaja, Dinul Darma; Widowati, Widowati; Warsito, Budi

doi:10.14710/medstat.14.1.98-107

Cited by 2 publications

(2 citation statements)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The last step is to test the test loop using the loop calculator to find out the role of the intervening variable in influencing the independent variable against the dependent variable. (Atmaja, 2009).…”

Section: Methodsmentioning

confidence: 99%

The Role of Market Reaction Analysis in View of Company Size, Average Revenue, and Profitability

Jayanti,

Ani,

Tantra

2023

Mngt. J. Binaniaga

View full text Add to dashboard Cite

This research aims to determine the effect of company size and income smoothing on stock market reactions. The capital market is a place where investors as fund owners meet with issuers as companies seeking funds. In making a decision to invest, an investor needs a financial report to find out information and to use it as consideration if the investor wants to invest. The test results for the income smoothing variable show that the regression coefficient is positive at 2.805. The t statistical test for the Income Smoothing variable obtained a calculated t value of 2.805 which was greater than the t table value of 1.668. The significance value obtained was 0.007, which was smaller than the predetermined significance value, namely 0.05. This shows that income smoothing has an effect on the market reaction of the company. The test results above show that ROA with earnings response has a positive regression direction, so that an increase in ROA causes an increase in Company Value. The results of the t test show that the Roa variable has a t value > t table (3.804> 1.668) and a significance value < 0.05, namely the significance level obtained (0.000 < 0.05).

show abstract

Section: Methodsmentioning

confidence: 99%

The Role of Market Reaction Analysis in View of Company Size, Average Revenue, and Profitability

Jayanti,

Ani,

Tantra

2023

Mngt. J. Binaniaga

View full text Add to dashboard Cite

show abstract

“…All ARIMA methods yield forecasts with different trends. Atmaja, Widowati, & Warsito (2021) used Vector Autoregressive Integrated Moving Average with Exogenous Variable (VARIMAX) to forecast stock prices comprising the LQ45 index. The data spanned from 1 January 2019 to 30 September 2019 of three selected companies.…”

Section: Introductionmentioning

confidence: 99%

Stock Indices Forecasting: A Comparison of Holt-Winters Seasonality and Dynamic Harmonic Regression

Ponziani

2022

J. Keuang. dan Perbank.

View full text Add to dashboard Cite

This research aims to investigate the performance of various time-series forecasting approaches in predicting stock indices in Indonesia. This research compared the performance of additive Holt-Winters seasonality, multiplicative Holt-Winters seasonality, and Dynamic Harmonic regression. The stock indices being forecast are SRI-KEHATI, LQ45, and IHSG. Forecasting SRI-KEHATI index is the novelty in this research. SRI-KEHATI index contains all the companies that comply with the requirements regarding sustainability and concerns for the environmental impact of the companies operations. Decompositions of SRI-KEHATI, LQ45, and IHSG reveal that the trend and seasonality components are all existent within all indices. The results showed that Holt-Winters models are superior to Dynamic Harmonic Regression. Multiplicative Holt-Winters seasonality forecast best for SRI-KEHATI and LQ45. Additive Holt-Winters excelled at predicting IHSG. Although Dynamic Harmonic Regression had less accuracy, its performance was still very outstanding since its mean average percentage errors never exceeded 8%. The result signifies the excellence of the Holt-Winters model for predicting stock indices and also shows that Dynamic Harmonic Regression also scores high in accuracy. Both models validate the time variance notion of the stock market proposed by Boudreaux (1995). The practical benefit for Investors is that this research enables investors to forecast the stock indices in the future and make adjustments in their trading strategy thereof.

show abstract

Forecasting Stock Prices on the Lq45 Index Using the Varimax Method

Cited by 2 publications

References 10 publications

The Role of Market Reaction Analysis in View of Company Size, Average Revenue, and Profitability

The Role of Market Reaction Analysis in View of Company Size, Average Revenue, and Profitability

Stock Indices Forecasting: A Comparison of Holt-Winters Seasonality and Dynamic Harmonic Regression

Contact Info

Product

Resources

About