Title: Modeling Stock Prices of Bank BRI, Bank BCA, Bank Mandiri with Vector Autoregressive (VAR) Approach
Authors: Suliyanto, Dita Amelia , Risma Nindyana Putri Nabila Syahfitri Rahmatika
Volume: 8
Issue: 12
Pages: 120-125
Publication Date: 2024/12/28
Abstract:
This study applies the Vector Autoregressive (VAR) approach to model macroeconomic factors that affect BRI, BCA, and Mandiri bank stocks. The variables used in this study consist of oil prices, gold prices, and industrial production index (IPI) as predictor variables and BRI, BCA, and Mandiri stock prices as response variables. Stationarity testing uses Augmented Dickey-Fuller (ADF) and shows the data has been stationary after differencing once. Next, determine the optimal lag with the smallest AIC value. Then test for Johansen cointegration to see the existence of a long-term relationship between variables and then test the stability of the model, model estimation, and Impulse Response Function (IRF) and Variance Decomposition (VD) analysis. The results show that the stock prices of BCA, BRI, and Mandiri respond significantly to shocks in their predictor variables. However, one of the predictor variables shows a relatively smaller impact than the other variables. The second model estimation in this study shows that an increase in oil prices one month earlier by one rupiah per US dollar caused an increase in BRI's share price by 11.72%. Meanwhile, in the third model, the same change in oil price triggered an increase in mandiri stock price by 13.70%.