ANALISIS TEKNIKAL HARGA SAHAM SEKTOR PERIKANAN DI BURSA EFEK INDONESIA

M GAZALI ARIFIN, Dr. Ir. Slamet Hartono, SU., M.Sc. dan Dr. Ir. Any Suyantini, MM.

2015 | Tesis | S2 MANAJEMEN AGRIBISNIS

Proyek tol laut dan gebrakan Menteri Susi membuat Industri kelautan dan perikanan langsung menempati agenda teratas di media-media nasional. "Susi Effect" pun merambah jauh sampai ke bursa saham. Harga saham-saham perusahaan perikanan yang semula tertidur lelap mendadak melonjak tajam. Tercatat tiga emiten aktif yang bergerak di sektor perikanan yaitu: PT Dharma Samudra Fishing Industries Tbk (DSFI), PT Inti Agri Resources Tbk (IIKP) dan PT Central Proteina Prima Tbk (CPRO) mengalami lonjakan return yang luar biasa selama Desember 2013 sampai dengan Desember 2014, masing-masing mencapai 180,77 persen, 80,59 persen, dan 52 persen. Pergerakan harga saham ketiga perusahaan tersebut tentunya sangat menarik bagi para investor. Akan tetapi, perlu dilakukan analisis yang akurat dan dapat diandalkan untuk dijadikan dasar pengambilan keputusan investasi. Penelitian ini akan berfokus pada analisis teknikal dengan menggunakan metode Autoregressive Integrated Moving Average (ARIMA) untuk meramal harga saham sektor perikanan di Bursa Efek Indonesia (DSFI, IIKP, dan CPRO). Data yang digunakan dalam penelitian ini adalah harga saham penutupan bulanan sektor perikanan di Bursa Efek Indonesia (DSFI, IIKP, dan CPRO) selama Oktober 2009 sampai dengan September 2015. Hasil penelitian ini menunjukkan harga saham DSFI periode 4 bulan sebelumnya berpengaruh signifikan dalam meramal harga saham DSFI saat ini, untuk harga saham IIKP periode 1 bulan, 2 bulan dan 3 bulan sebelumnya berpengaruh signifikan dalam meramal harga saham IIKP saat ini, sedangkan harga saham CPRO periode 1 bulan, 3 bulan, 4 bulan dan 5 bulan sebelumnya berpengaruh signifikan dalam meramal harga saham CPRO saat ini. Selanjutnya, dari hasil uji diagnostic didapat model yang paling cocok untuk meramal harga saham sektor perikanan di BEI yaitu ARIMA (2,1,0) untuk harga saham DFSI, ARIMA (3,1,2) untuk harga saham IIKP, serta model ARIMA (4,1,3) untuk harga saham CPRO.

Sea toll projects and Minister Susi breakthrough made maritime and fisheries industry occupies the top agenda in the national newspaper. "Susi Effect" also penetrated far into the stock market. Stock prices of fishing company which was originally asleep suddenly escalated. There are three issuers actively engaged in the fisheries sector, PT Dharma Ocean Fishing Industries Tbk (DSFI), PT Inti Agri Resources Tbk (IIKP) and PT Central protein Prima Tbk (CPRO) increased return during December 2013 to December 2014, respectively reached 180.77 percent, 80.59 percent and 52 percent. The stock prices movement of these companies certainly very attractive to investors. However, it is necessary accurate and reliable analysis to be used as the basis of investment decisions. This study will focus on technical analysis using Autoregressive Integrated Moving Average (ARIMA) to predict stock price of DSFI, IIKP, and CPRO. The data used in this study is the monthly closing stock price DSFI, IIKP, and CPRO during October 2009 to September 2015. This research result indicates DSFI stock price at one period (4th month) previous significant in divining DSFI stock price at this time, for stock prices IIKP at three period (1st, 2nd, and 3rd month) previous significant in divining IIKP stock price at this time, while CPRO stock price at four period (1st, 3rd, 4th, and 5th month) previous significant in divining CPRO stock price at this time. Furthermore, diagnostic test results obtained from the most suitable model to predict the stock price of the fisheries sector in the BEI is ARIMA (2,1,0) for stock prices DFSI, ARIMA (3,1,2) for IIKP stock prices, as well as ARIMA (4,1,3) for stock prices CPRO.

Kata Kunci : technical analysis, ARIMA, stocks of fisheries sector