T2 912013007 Daftar Pustaka
DAFTAR PUSTAKA
Ani, J., Wardjono, W, 2014, Analisis Faktor-Faktor
Fundamental Perusahaan yang Mempengaruhi
Harga Saham (Studi Kasus pada Perusahaan
LQ45 yang Terdaftar di BEI Periode 20092011), Students Journal of Accounting and
Banking, Vol. 3. No. 1.
Azwir, N., Achmad, M, 2011, Pengaruh Nilai Kurs,
Inflasi, Suku Bunga Deposito, dan Volume
Perdagangan Saham terhadap Return Saham
pada Perusahaan Perbankan yang Terdaftar di
Bursa Efek Indonesia, Jurnal Ekonomi, Vol. 19.
No. 4.
Anisma, Y, 2012, Faktor-Faktor yang Memperngaruhi
Harga Saham Perusahaan Perbankan yang
Listing di Bursa Efek Indonesia (BEI), Jurnal
Sosial Ekonomi Pembangunan, Vol. 2. No.
5:144-165.
Alwiyah., Liyanto, 2012, Analisis Teknikal untuk
Mendapatkan Profit dalam
Forex Trading
Online, Buletin Studi Ekonomi, Vol. 17. No.
2:221-228.
Andreas., Daswan, R, 2011, January Effect pada
Perusahaan LQ 45 Bursa Efek Indonesia 20032008, Jurnal Ekonomi, Vol. 19. No. 3:11-21.
Bekaert, G., Harvey, C. R, 1997, Emerging Equity
Market
Volatility,
Journal
of
Financial
Economics, 43: 29-77.
Bollerslev, T, 1986, A Generalized Autoregressive
Conditional
Heterokedasticity,
Journal of
Econometrics, pp. 307-327.
Box, G., Jenkins, G, 1970, Time Series Analysis:
Forecasting and Control, San Francisco:
Holden-Day.
DeBondt, W., Thaler, R, 1985, Does the Stock Market
Overreact, Journal of Finance, Vol. 40. No.
3:793-805.
Engle, R. F, 1982, Autoregressive Conditional
Heterokedasticity with Estimates of the
Variance of U.K. Inflation, Econometrica, Vol.
50: 987-1008.
Engle, R. F, 2001, Garch 101: The Use of
ARCH/GARCH
Models
in
Applied
Econometrics, Journal of Economic Perspectives,
Vol. 15 No. 4:157-168.
Fahimifard, S. M., Homayounifar, M., Sabouhi. M.,
Moghaddamnia, A. R, 2009, Comparison of
ANFIS, ANN, GARCH, and ARIMA Techniques
to Exchange Rate Forecasting, Journal of
Applied Sciences, Vol. 9. No. 20:3641-3651.
Fama, E. F, 1970, Efficient Capital Markets: A Review
of Theory and Empirical Work, Journal of
Finance, Volume 25(2):383-417.
Fitriyani, I., Sari, M. M. R, 2013, Analisis January
Effect pada Kelompok Saham Indeks LQ-45 di
Bursa Efek Indonesia Tahun 2009-2011. EJurnal Akuntansi Universitas Udayana, Vol. 4.
No. 2:421-438.
Grestandhi, J, 2012, Analisis Perbandingan Metode
Peramalan IHSG dengan Metode OLS-ARCH
GARCH dan ARIMA, Prosiding, Fakultas Sains
dan Matematika UKSW, pp. 131-141.
Gujarati, D. N, 2003, Basic Econometrics 4th Edition,
McGraw-Hill USA.
Herry, S., Dika, N, 2009, Analisis Pengaruh Faktor
Fundamental dan Risiko Sistematik Terhadap
Harga Saham pada Perusahaan Perdagangan di
BEI, Jurnal Ilmiah Ekonomi Bisnis, Vol. 14. No.
1:19-27.
Hugida, L, 2011, Analisis Faktor-Faktor yang
Mempengaruhi
Volatilitas
Harga
Saham,
Skripsi, Sarjana Fakultas Ekonomi Undip,
Semarang.
Kewal, S. S, 2012, Pengaruh Inflasi, Suku Bunga,
Kurs, dan Pertumbuhan PDB Terhadap Indeks
Harga Saham Gabungan, Jurnal Economia, Vol.
8. No. 1:53-64.
Kurnia, 2010, Analisis Pengaruh Nilai Tukar Rupiah
per Dollar As, Tingkat Suku Bunga SBI, dan
Inflasi Indeks Harga Konsumen (IHK) terhadapt
IHSG di BEI Periode 2003-2008, Jurnal
Ekonomi, Vol. 15. No. 3
Lawrence, R, 1997, Using Neural Networks to
Forecast Stock Market Prices, Departmen of
Computer Science, University of Manitoba.
Lawrence, S. S, 2013, Pengaruh Variabel Makro
Ekonomi dan Harga Komoditas Terhadap
Harga Saham Gabungan di Indonesia, Finesta,,
Vol. 1. No. 2:18-23.
Makridakis, S., Wheelwright S. C, 1983, Forecasting:
Methods and Applications, Singapore: John
Wiley & Sons.
Marvillia, B. L, 2013, Pemodelan dan Peramalan
Penutupan Harga Saham PT. Telkom Dengan
Metode ARCH-GARCH, MATHunesa, Vol. 2. No.
1.
Mulyono,
S,
2000,
Peramalan
Bisnis
dan
Ekonometrika, Edisi Pertama, Jakarta: BPFE.
Murwaningsari,
E,
2008,
Pengaruh
Volume
Perdagangan Harga Saham, Deposito, dan Kurs
Terhadap IHSG beserta prediksi IHSG Model
GARCH dan ARIMA. Jurnal Ekonomi dan Bisnis
Indonesia, Vol. 23 No. 2.
Nachrowi, N. D., Usnan, H, 2007, Prediksi IHSG
dengan Model GARCH dan Model ARIMA,
Jurnal Ekonomi dan Pembangunan Indonesia,
Vol. 7. No. 2:199-217.
Nugroho, B, 2012, Perbandingan Akurasi Peramalan
Metode Arima dan Garch untuk Memprediksi
IHSG Periode 1991-2011, Tesis, Universitas
Gadjah Mada Yogyakarta.
Pandansari, F. A, 2012, Analisis Faktor Fundamental
terhadap Harga Saham, Accounting Analysis
Journal, Vol. 1. No. 1:27-34.
Permana, Y., Sularto, L, 2008, Analisis Pengaruh
Fundamental Keuangan, Tingkat Bunga SBI,
dan Tingkat Inflasi Terhadap Pergerakan Harga
Saham, Jurnal Ilmiah Ekonomi Bisnis, Vol. 13.
No. 2.
Rehman, M. U., Khidmat, W. B, 2013, Technical
Analysis of Efficient Market Hypothesis in a
Frontier Market, Studies in Business &
Economics, Vol. 8. No. 2:60-67.
Rode, D., Satu, P., Yolanda, F., Jeremiah, K, 1995,
An Evolutionary Approach to Technical Trading
and Capital Market Efficiency, The Wharton
School University of Pennsylvania, Revised:May
1.
Sadeq, A, 2008, Analisis Prediksi Indeks Harga
Saham Gabungan dengan Metode ARIMA, Tesis,
Pasca Sarjana UNDIP Semarang.
Silaban, P, 2010, Pengaruh Tingkat Inflasi, Suku
Bunga SBI, dan Indeks Dow Jones Industrial
Average terhadap IHSG di BEI, Jurnal
Manajemen, Vol. 14. No. 3.
Sparks, J. J., Yurova Y. V, 2006, Comparative
Performance of ARIMA and ARCH/GARCH
Models on Time Series of Daily Equity Prices for
Large Companies, Proceedings, Department of
Information and Decision Science, University of
Illinois Chicago.
Stellwagen, E., Tashman, L, 2013, ARIMA: The
Models of Box and Jenkins, International
Journal of Applied Forecasting, No. 30:28-33.
Sussanto, H., Nurliana, D, 2009, Analisis Pengaruh
Faktor Fundamental dan Risiko Sistematik
terhadap Harga Saham pada Perusahaan
Perdagangan di BEI, Jurnal Ilmiah Ekonomi
Bisnis, Vol. 14. No. 1:19-27.
Timmermann, A., Granger C. W. J, 2004, Efficient
Market
Hypothesis
and
Forecasting,
International Journal of Forecasting, No. 20:1527.
Villalba, P. F. I., Flores, O. M, 2013, Forecasting the
Variance and Return of Mexican Financial
Series with Symmetric GARCH models,
Theoritical and Applied Economics, Vol. 20. No.
3:61-82.
Wang, J, 2007, Foreign Equity Trading and Emerging
Market Volatility: Evidence from Indonesia and
Thailand, Journal of Development Economics,
Vol. 84. No. 2: 798-811.
Wang, G. C. S, 2008, A Guide to Box-Jenkins
Modeling, Journal of Business Forecasting, Vol.
27. No. 1:19-28.
Weston, J. F., Eugene. F. B, 1990, Dasar-dasar
Manajemen Keuangan, Jilid 2, Cetakan 1,
Jakarta: Erlangga.
Wiyanti, D.T., Pulungan, R, 2012, Peramalan Deret
Waktu Menggunakan Model Fungsi Basis
Radial (RBF) dan Auto Regressive Integrated
Moving Average (ARIMA), Jurnal MIPA, Vol 2.
No. 1:175-182.
Yani, A, 2004, Analisis Teknikal Harga Saham dengan
Metode ARIMA, Tesis, Pasca Sarjana UNDIP
Semarang.
Yaziz, S. R., Ahmad, M. H., Nian, L. C., Muhammad
N, 2011, A Comparative Study on Box-Jenkins
and Garch Models in Forecasting Crude Oil
Prices, Journal of Applied Sciences, Vol. 11. No.
7:1129-1135.
Zhu, Y., Zhou, G, 2009, Technical Analysis: An asset
allocation perspective on the use of moving
averages, Journal of Financial Economics, Vol.
92. No. 3:519-544.
Ani, J., Wardjono, W, 2014, Analisis Faktor-Faktor
Fundamental Perusahaan yang Mempengaruhi
Harga Saham (Studi Kasus pada Perusahaan
LQ45 yang Terdaftar di BEI Periode 20092011), Students Journal of Accounting and
Banking, Vol. 3. No. 1.
Azwir, N., Achmad, M, 2011, Pengaruh Nilai Kurs,
Inflasi, Suku Bunga Deposito, dan Volume
Perdagangan Saham terhadap Return Saham
pada Perusahaan Perbankan yang Terdaftar di
Bursa Efek Indonesia, Jurnal Ekonomi, Vol. 19.
No. 4.
Anisma, Y, 2012, Faktor-Faktor yang Memperngaruhi
Harga Saham Perusahaan Perbankan yang
Listing di Bursa Efek Indonesia (BEI), Jurnal
Sosial Ekonomi Pembangunan, Vol. 2. No.
5:144-165.
Alwiyah., Liyanto, 2012, Analisis Teknikal untuk
Mendapatkan Profit dalam
Forex Trading
Online, Buletin Studi Ekonomi, Vol. 17. No.
2:221-228.
Andreas., Daswan, R, 2011, January Effect pada
Perusahaan LQ 45 Bursa Efek Indonesia 20032008, Jurnal Ekonomi, Vol. 19. No. 3:11-21.
Bekaert, G., Harvey, C. R, 1997, Emerging Equity
Market
Volatility,
Journal
of
Financial
Economics, 43: 29-77.
Bollerslev, T, 1986, A Generalized Autoregressive
Conditional
Heterokedasticity,
Journal of
Econometrics, pp. 307-327.
Box, G., Jenkins, G, 1970, Time Series Analysis:
Forecasting and Control, San Francisco:
Holden-Day.
DeBondt, W., Thaler, R, 1985, Does the Stock Market
Overreact, Journal of Finance, Vol. 40. No.
3:793-805.
Engle, R. F, 1982, Autoregressive Conditional
Heterokedasticity with Estimates of the
Variance of U.K. Inflation, Econometrica, Vol.
50: 987-1008.
Engle, R. F, 2001, Garch 101: The Use of
ARCH/GARCH
Models
in
Applied
Econometrics, Journal of Economic Perspectives,
Vol. 15 No. 4:157-168.
Fahimifard, S. M., Homayounifar, M., Sabouhi. M.,
Moghaddamnia, A. R, 2009, Comparison of
ANFIS, ANN, GARCH, and ARIMA Techniques
to Exchange Rate Forecasting, Journal of
Applied Sciences, Vol. 9. No. 20:3641-3651.
Fama, E. F, 1970, Efficient Capital Markets: A Review
of Theory and Empirical Work, Journal of
Finance, Volume 25(2):383-417.
Fitriyani, I., Sari, M. M. R, 2013, Analisis January
Effect pada Kelompok Saham Indeks LQ-45 di
Bursa Efek Indonesia Tahun 2009-2011. EJurnal Akuntansi Universitas Udayana, Vol. 4.
No. 2:421-438.
Grestandhi, J, 2012, Analisis Perbandingan Metode
Peramalan IHSG dengan Metode OLS-ARCH
GARCH dan ARIMA, Prosiding, Fakultas Sains
dan Matematika UKSW, pp. 131-141.
Gujarati, D. N, 2003, Basic Econometrics 4th Edition,
McGraw-Hill USA.
Herry, S., Dika, N, 2009, Analisis Pengaruh Faktor
Fundamental dan Risiko Sistematik Terhadap
Harga Saham pada Perusahaan Perdagangan di
BEI, Jurnal Ilmiah Ekonomi Bisnis, Vol. 14. No.
1:19-27.
Hugida, L, 2011, Analisis Faktor-Faktor yang
Mempengaruhi
Volatilitas
Harga
Saham,
Skripsi, Sarjana Fakultas Ekonomi Undip,
Semarang.
Kewal, S. S, 2012, Pengaruh Inflasi, Suku Bunga,
Kurs, dan Pertumbuhan PDB Terhadap Indeks
Harga Saham Gabungan, Jurnal Economia, Vol.
8. No. 1:53-64.
Kurnia, 2010, Analisis Pengaruh Nilai Tukar Rupiah
per Dollar As, Tingkat Suku Bunga SBI, dan
Inflasi Indeks Harga Konsumen (IHK) terhadapt
IHSG di BEI Periode 2003-2008, Jurnal
Ekonomi, Vol. 15. No. 3
Lawrence, R, 1997, Using Neural Networks to
Forecast Stock Market Prices, Departmen of
Computer Science, University of Manitoba.
Lawrence, S. S, 2013, Pengaruh Variabel Makro
Ekonomi dan Harga Komoditas Terhadap
Harga Saham Gabungan di Indonesia, Finesta,,
Vol. 1. No. 2:18-23.
Makridakis, S., Wheelwright S. C, 1983, Forecasting:
Methods and Applications, Singapore: John
Wiley & Sons.
Marvillia, B. L, 2013, Pemodelan dan Peramalan
Penutupan Harga Saham PT. Telkom Dengan
Metode ARCH-GARCH, MATHunesa, Vol. 2. No.
1.
Mulyono,
S,
2000,
Peramalan
Bisnis
dan
Ekonometrika, Edisi Pertama, Jakarta: BPFE.
Murwaningsari,
E,
2008,
Pengaruh
Volume
Perdagangan Harga Saham, Deposito, dan Kurs
Terhadap IHSG beserta prediksi IHSG Model
GARCH dan ARIMA. Jurnal Ekonomi dan Bisnis
Indonesia, Vol. 23 No. 2.
Nachrowi, N. D., Usnan, H, 2007, Prediksi IHSG
dengan Model GARCH dan Model ARIMA,
Jurnal Ekonomi dan Pembangunan Indonesia,
Vol. 7. No. 2:199-217.
Nugroho, B, 2012, Perbandingan Akurasi Peramalan
Metode Arima dan Garch untuk Memprediksi
IHSG Periode 1991-2011, Tesis, Universitas
Gadjah Mada Yogyakarta.
Pandansari, F. A, 2012, Analisis Faktor Fundamental
terhadap Harga Saham, Accounting Analysis
Journal, Vol. 1. No. 1:27-34.
Permana, Y., Sularto, L, 2008, Analisis Pengaruh
Fundamental Keuangan, Tingkat Bunga SBI,
dan Tingkat Inflasi Terhadap Pergerakan Harga
Saham, Jurnal Ilmiah Ekonomi Bisnis, Vol. 13.
No. 2.
Rehman, M. U., Khidmat, W. B, 2013, Technical
Analysis of Efficient Market Hypothesis in a
Frontier Market, Studies in Business &
Economics, Vol. 8. No. 2:60-67.
Rode, D., Satu, P., Yolanda, F., Jeremiah, K, 1995,
An Evolutionary Approach to Technical Trading
and Capital Market Efficiency, The Wharton
School University of Pennsylvania, Revised:May
1.
Sadeq, A, 2008, Analisis Prediksi Indeks Harga
Saham Gabungan dengan Metode ARIMA, Tesis,
Pasca Sarjana UNDIP Semarang.
Silaban, P, 2010, Pengaruh Tingkat Inflasi, Suku
Bunga SBI, dan Indeks Dow Jones Industrial
Average terhadap IHSG di BEI, Jurnal
Manajemen, Vol. 14. No. 3.
Sparks, J. J., Yurova Y. V, 2006, Comparative
Performance of ARIMA and ARCH/GARCH
Models on Time Series of Daily Equity Prices for
Large Companies, Proceedings, Department of
Information and Decision Science, University of
Illinois Chicago.
Stellwagen, E., Tashman, L, 2013, ARIMA: The
Models of Box and Jenkins, International
Journal of Applied Forecasting, No. 30:28-33.
Sussanto, H., Nurliana, D, 2009, Analisis Pengaruh
Faktor Fundamental dan Risiko Sistematik
terhadap Harga Saham pada Perusahaan
Perdagangan di BEI, Jurnal Ilmiah Ekonomi
Bisnis, Vol. 14. No. 1:19-27.
Timmermann, A., Granger C. W. J, 2004, Efficient
Market
Hypothesis
and
Forecasting,
International Journal of Forecasting, No. 20:1527.
Villalba, P. F. I., Flores, O. M, 2013, Forecasting the
Variance and Return of Mexican Financial
Series with Symmetric GARCH models,
Theoritical and Applied Economics, Vol. 20. No.
3:61-82.
Wang, J, 2007, Foreign Equity Trading and Emerging
Market Volatility: Evidence from Indonesia and
Thailand, Journal of Development Economics,
Vol. 84. No. 2: 798-811.
Wang, G. C. S, 2008, A Guide to Box-Jenkins
Modeling, Journal of Business Forecasting, Vol.
27. No. 1:19-28.
Weston, J. F., Eugene. F. B, 1990, Dasar-dasar
Manajemen Keuangan, Jilid 2, Cetakan 1,
Jakarta: Erlangga.
Wiyanti, D.T., Pulungan, R, 2012, Peramalan Deret
Waktu Menggunakan Model Fungsi Basis
Radial (RBF) dan Auto Regressive Integrated
Moving Average (ARIMA), Jurnal MIPA, Vol 2.
No. 1:175-182.
Yani, A, 2004, Analisis Teknikal Harga Saham dengan
Metode ARIMA, Tesis, Pasca Sarjana UNDIP
Semarang.
Yaziz, S. R., Ahmad, M. H., Nian, L. C., Muhammad
N, 2011, A Comparative Study on Box-Jenkins
and Garch Models in Forecasting Crude Oil
Prices, Journal of Applied Sciences, Vol. 11. No.
7:1129-1135.
Zhu, Y., Zhou, G, 2009, Technical Analysis: An asset
allocation perspective on the use of moving
averages, Journal of Financial Economics, Vol.
92. No. 3:519-544.