1. Risk analysis of Jakarta composite index using value at risk and expected shortfall based on principal component regression.
- Author
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Lina, Yeni April, Saputra, Wisnowan Hendy, and Pricila, Verencia
- Subjects
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VALUE at risk , *STOCK price indexes , *RISK assessment , *CENTRAL banking industry , *STOCK prices , *MULTICOLLINEARITY - Abstract
Stock is one of the most popular investment instruments interested by investors. The main indicator for Indonesian stock market movement in Indonesia is called Jakarta Composite Index (JKSE) or Indonesia Stock Exchange (IDX). JKSE is a stock price index that is arranged and calculated with the results of trend movements, where the index can be used to compare events in the form of price changes from time to time. JKSE is calculated using the average method based on the prices of the shares listed in the index and divided by the number of shares listed in the index. Therefore, the JKSE can be modeled based on the prices of several listed shares, provided no multicollinearity. This study proposes the Principal Component Regression (PCR) for estimating the JKSE price index. We took five banking shares as the predictor, such as Bank Negara Indonesia (BBNI), Bank Central Asia (BBCA), Bank Rakyat Indonesia (BBRI), Bank Mandiri (BMRI), Bank Tabungan Negara (BBTN). Furthermore, the Value at Risk (VaR) and Expected Shortfall (ES) will be used to analyze the risk. Based on the 95 percent confidence level analysis, the VaR and ES values for JKSE are small, less than 5%. It means that JKSE has a relatively low-risk measure. Thus, investors can also assume that the shares used in this study are also classified as investment instruments that have low risk. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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