PERILAKU LABA (TAHUNAN) PERUSAHAAN DI BURSA EFEK JAKARTA

QIZAM, IBNU (Pembimbing : DR. JOGIYANTO HM, MBA.), DR. JOGIYANTO HM, MBA.

2001 | Tesis | S2 Accounting

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This study is intended to provide initial evidence of the randomness of the time-series behaviors of earnings of the companies in JSx. It, specifically, aims at examining the problems about: first, whether or not the time-series behaviors of annual earnings are random (following random walk model), second, whether or not Box-Jenkins models (ARIMA) are relevant to describing the time-series behaviors of annual earnings, and third, whether or not the parameters estimated in the ARIMA models are the same as one would expect for a random walk model

The result of this research shows that the time-series behaviors of annual earnings are random (following random walk models) and can be relevantly and significantly modelled by Box-Jenkins models. This is indicated from the significant parameters of ARIMA models: either autoregressive, moving-average, or both of them. The parameters of those models identified, however, are just the same as one would expect for a random walk model.

Kata Kunci : Konsep laba, Time Series Forecasting, Bursa Efek Jakarta