TUGAS PASAR MODAL

Nama : Jelita Natania Damo

NIM : 211011030039

SOAL 1:
Pada 3 emiten akan ditentukan nilai σ harga saham menggunakan data historis untuk data
harian selama 91 hari (n=90 hari). Kemudian disertakan juga profil emiten, scatter plot harga
saham (return dan return kontinu) dan Normal P- plot ( return dan return kontinu).

Penyelesaian :

Perusahaan yang digunakan adalah Honda Motor co.,ltd, YAMHF-Yamaha Motor co.,ltd ,
dan Suzuki Motor Corporation.

1. HMC-Honda Motor co.,ltd

Profil Emiten
Honda Motor co.,ltd didirikan pada tahun 1946 dan berkantor pusat di Tokyo, Jepang.
Honda Motor co.,ltd mengembangkan, memproduksi, dan mendistribusikan sepeda motor,
mobil, produk listrik, dan pruduk lainnya di Jepang, Amerika Utara, Eropa, Asia, dan
internasional. Honda Motor co.,ltd beroperasi melalui empat segmen: Bisnis sepeda motor,
Bisnis Otomotif, Bisnis jasa keuangan, bisnis asuransi, dan bisnis lainnya.

Tabel 1. Data historis harga saham harian selama 91 hari mulai tanggal 3 Oktober 2022
sampai 17 Februari 2023. Data yang diperlukan adalah data harga saham penutupan setiap
harinya.
Sumber Web: www.Finance.yahoo.com
Date Open High Low Close Adj Close Volume
22.37999
10/3/2022 22.17 22.530001 21.98 22.379999 1381900
9
22.69000 22.94000
10/4/2022 22.74 22.959999 22.940001 1478000
1 1
22.37999 22.63999
10/5/2022 22.58 22.709999 22.639999 1066500
9 9
22.45999
10/6/2022 22.67 22.75 22.52 22.52 1219900
9
10/7/2022 22.5 22.52 22.20000 22.309999 22.30999 1196600
 Date Open High Low Close Adj Close Volume
1 9
21.96999
10/11/2022 22.23 21.9 21.92 21.92 1689700
9
21.62999
10/12/2022 21.77 21.969999 21.76 21.76 1509600
9
21.62999 22.29999
10/13/2022 22.35 21.59 22.299999 1539900
9 9
10/14/2022 22.35 22.35 21.93 22.02 22.02 1380700
22.19000 22.20000
10/17/2022 22.25 22.35 22.200001 1119100
1 1
22.29000 21.94000
10/18/2022 22.290001 21.73 21.940001 1715500
1 1
21.79999
10/19/2022 21.91 21.57 21.77 21.77 1338400
9
21.79999 21.62000
10/20/2022 21.98 21.67 21.67 1051500
9 1
21.53000 21.44000
10/21/2022 22.049999 22 22 1521400
1 1
21.78000
10/24/2022 21.84 22.08 22.02 22.02 1587500
1
10/25/2022 22.35 22.549999 22.34 22.52 22.52 1868000
22.78000 22.78000
10/26/2022 22.93 22.65 22.780001 1323900
1 1
10/27/2022 22.67 22.74 22.5 22.59 22.59 1267300
22.61000 22.53000
10/28/2022 22.879999 22.83 22.83 1044600
1 1
22.69000 22.63999
10/31/2022 22.889999 22.82 22.82 1012200
1 9
22.79999 22.96999
11/1/2022 23.1 23.17 22.969999 1001800
9 9
22.95999 22.96999
11/2/2022 23.27 23.43 22.969999 1331400
9 9
23.12000 23.12000 23.45000
11/4/2022 23.530001 23.450001 1044700
1 1 1
23.37000
11/7/2022 23.58 23.35 23.49 23.49 1143000
1
23.69000
11/8/2022 23.65 23.860001 23.6 23.690001 951800
1
23.04000 22.20000 22.36000
11/9/2022 23.040001 22.360001 1352300
1 1 1
22.96999 23.44000
11/10/2022 23.15 23.459999 23.440001 1018700
9 1
23.62999
11/11/2022 23.68 24.049999 23.98 23.98 1083600
9
23.55999 23.54999
11/14/2022 23.799999 23.6 23.6 890500
9 9
 Date Open High Low Close Adj Close Volume
24.04000 23.79000
11/15/2022 24.049999 23.67 23.790001 925100
1 1
23.70000 23.46999 23.54000
11/16/2022 23.73 23.540001 828800
1 9 1
23.30999 23.21999
11/17/2022 23.620001 23.58 23.58 885000
9 9
23.78000
11/18/2022 23.76 23.860001 23.68 23.780001 880800
1
23.61000
11/21/2022 23.709999 23.58 23.65 23.65 731100
1
23.88999
11/22/2022 23.9 24.030001 23.98 23.98 685600
9
24.13999 24.13999
11/25/2022 24.5 24.43 24.43 558900
9 9
24.21999 24.20999
11/28/2022 24.370001 24.15 24.209999 823200
9 9
23.78000
11/29/2022 24 24.23 24.1 24.1 1858900
1
24.36000
11/30/2022 24.530001 23.99 24.5 24.5 940900
1
24.45000
12/1/2022 24.5 24.690001 24.6 24.6 849500
1
12/2/2022 24.16 24.23 23.99 24.17 24.17 1209800
23.79000
12/5/2022 23.91 24 23.75 23.790001 1180100
1
23.87000 23.70000
12/6/2022 23.940001 23.5 23.700001 963800
1 1
23.87999
12/7/2022 23.950001 23.77 23.85 23.85 1028500
9
23.88999
12/8/2022 23.92 23.93 23.75 23.889999 533900
9
23.79999 23.94000
12/9/2022 24.08 23.76 23.940001 634700
9 1
23.95999 23.78000
12/12/2022 24.07 24.02 24.02 1189600
9 1
12/13/2022 24.6 24.74 24.23 24.32 24.32 1021300
12/14/2022 24.41 24.450001 23.93 24.07 24.07 1562500
23.95000 23.78000
12/15/2022 24.01 23.67 23.780001 795800
1 1
23.63999
12/16/2022 23.799999 23.51 23.57 23.57 1186300
9
12/19/2022 23.5 23.74 23.4 23.49 23.49 1158800
23.45000 23.45000
12/20/2022 23.629999 23.43 23.450001 1089400
1 1
22.95999
12/21/2022 23.01 23.129999 22.75 22.959999 2369100
9
 Date Open High Low Close Adj Close Volume
23.04999 22.70999 22.94000
12/22/2022 23.139999 22.940001 1359100
9 9 1
22.94000 23.12000
12/23/2022 23.18 22.85 23.120001 1106100
1 1
22.87999
12/27/2022 23.01 22.77 22.92 22.92 1171200
9
22.87000
12/28/2022 22.91 22.35 22.35 22.35 1238000
1
22.61000
12/29/2022 22.68 22.959999 22.9 22.9 1096300
1
22.78000 22.86000
12/30/2022 22.83 22.91 22.860001 797400
1 1
23.38999
1/4/2023 23.620001 23.34 23.49 23.49 1247300
9
23.12000 22.96999
1/5/2023 23.389999 23.27 23.27 1490800
1 9
23.36000 23.95999
1/6/2023 23.42 24.040001 23.959999 1016700
1 9
1/10/2023 23.99 24.09 23.9 24.08 24.08 858700
23.79000 23.88999
1/11/2023 24.030001 23.75 23.889999 1076400
1 9
1/12/2023 23.98 24.16 23.82 24.1 24.1 1187100
23.44000
1/13/2023 23.74 23.799999 23.58 23.58 2437300
1
23.88999
1/17/2023 24.02 24.15 23.98 23.98 1451100
9
23.78000 23.79999
1/18/2023 24.34 24.34 23.799999 898300
1 9
23.53000
1/19/2023 23.65 23.709999 23.66 23.66 705800
1
23.71999 23.95000
1/20/2023 23.98 23.65 23.950001 858300
9 1
23.78000
1/23/2023 24.25 23.77 24.16 24.16 1403700
1
23.94000 23.79000 23.95000
1/24/2023 24.139999 23.950001 832400
1 1 1
24.04999
1/25/2023 24.18 24.01 24.09 24.09 1086300
9
24.21999
1/26/2023 24.32 24.07 24.27 24.27 551700
9
24.30999
1/27/2023 24.42 24.639999 24.59 24.59 735700
9
24.45999 24.30999
1/30/2023 24.52 24.34 24.34 1128800
9 9
24.54999
1/31/2023 24.59 24.82 24.82 24.82 842800
9
 Date Open High Low Close Adj Close Volume
24.95000 24.87999 25.30999
2/1/2023 25.42 25.309999 1066500
1 9 9
24.95000 24.88999 25.19000
2/2/2023 25.299999 25.190001 1113100
1 9 1
24.54000
2/3/2023 24.67 24.83 24.6 24.6 1387600
1
2/6/2023 24.52 24.610001 24.33 24.6 24.6 1020100
24.61000 24.86000
2/7/2023 25 24.5 24.860001 996600
1 1
24.37000
2/8/2023 24.52 24.6 24.41 24.41 845200
1
24.54000
2/9/2023 24.68 24.969999 24.51 24.540001 1151600
1
25.12999
2/10/2023 24.74 25.209999 24.41 25.129999 1597200
9
25.44000
2/13/2023 25.25 25.450001 25.18 25.440001 1053300
1
25.04000 25.20000
2/14/2023 25.15 25.299999 25.200001 890100
1 1
25.05999 25.21999
2/15/2023 25.09 25.26 25.219999 747200
9 9
25.20999 25.12999 25.30999
2/16/2023 25.48 25.309999 727900
9 9 9
25.29999 25.54000
2/17/2023 25.4 25.57 25.540001 832400
9 1
 Tabel 2. Hal-hal yang diperlukan untuk menentukan σ dengan bantuan perhitungan MS
Excel
No
Date Close(Si) Return Return Continu (ui) (ui - u̅) (ui - u̅)^2
.
0 10/3/2022 22.379999        
1 10/4/2022 22.940001 0.025022432 0.024714497 0.023246961 0.000540421
-
10/5/2022 22.639999 -0.013163946
2 -0.01307768 0.014631482 0.00021408
- -
10/6/2022 22.52 -0.005314406
3 0.005300309 0.006781942 4.59947E-05
- -
10/7/2022 22.309999 -0.00936884
4 0.009325089 0.010836376 0.000117427
- -
10/11/2022 21.92 -0.017635502
5 0.017480906 0.019103037 0.000364926
-
10/12/2022 21.76 -0.00732604
6 -0.00729927 0.008793576 7.7327E-05
7 10/13/2022 22.299999 0.024816131 0.024513212 0.023045676 0.000531103
-
10/14/2022 22.02 -0.012635502
8 -0.01255601 0.014103038 0.000198896
9 10/17/2022 22.200001 0.008174432 0.008141203 0.006673667 4.45378E-05
- -
10/18/2022 21.940001 -0.011780833
10 0.011711711 0.013248369 0.000175519
-
10/19/2022 21.77 -0.007778625
11 -0.00774845 0.009246161 8.54915E-05
- -
10/20/2022 21.67 -0.00460406
12 0.004593477 0.006071596 3.68643E-05
13 10/21/2022 22 0.015228426 0.015113638 0.013646102 0.000186216
-
10/24/2022 22.02 0.000908678
14 0.000909091 0.000558858 3.12322E-07
15 10/25/2022 22.52 0.02270663 0.022452672 0.020985136 0.000440376
16 10/26/2022 22.780001 0.011545337 0.011479199 0.010011663 0.000100233
- -
10/27/2022 22.59 -0.008375671
17 0.008340693 0.009843207 9.68887E-05
18 10/28/2022 22.83 0.01062417 0.01056813 0.009100594 8.28208E-05
-
10/31/2022 22.82 -0.000438116
19 -0.00043802 0.001905652 3.63151E-06
20 11/1/2022 22.969999 0.006573138 0.006551629 0.005084093 2.5848E-05
-
11/2/2022 22.969999 0
21 0 0.001467536 2.15366E-06
22 11/4/2022 23.450001 0.02089691 0.020681564 0.019214028 0.000369179
23 11/7/2022 23.49 0.001705714 0.001704261 0.000236725 5.60388E-08
24 11/8/2022 23.690001 0.008514304 0.008478262 0.007010726 4.91503E-05
-
11/9/2022 22.360001 -0.057779367
25 -0.05614183 0.059246903 0.003510196
26 11/10/2022 23.440001 0.048300535 0.047170314 0.045702778 0.002088744
27 11/11/2022 23.98 0.023037499 0.022776142 0.021308606 0.000454057
No
Date Close(Si) Return Return Continu (ui) (ui - u̅) (ui - u̅)^2
.
- -
11/14/2022 23.6 -0.015973438
28 0.015846539 0.017440973 0.000304188
29 11/15/2022 23.790001 0.00805089 0.008018654 0.006551118 4.29172E-05
- -
11/16/2022 23.540001 -0.010564222
30 0.010508617 0.012031758 0.000144763
31 11/17/2022 23.58 0.001699193 0.001697751 0.000230215 5.29989E-08
32 11/18/2022 23.780001 0.008481807 0.008446038 0.006978502 4.86995E-05
- -
11/21/2022 23.65 -0.005481818
33 0.005466821 0.006949354 4.82935E-05
34 11/22/2022 23.98 0.013953488 0.013857035 0.012389499 0.0001535
35 11/25/2022 24.43 0.018765638 0.018591736 0.0171242 0.000293238
- -
11/28/2022 24.209999 -0.009046156
36 0.009005362 0.010513692 0.000110538
- -
11/29/2022 24.1 -0.004553889
37 0.004543536 0.006021425 3.62576E-05
38 11/30/2022 24.5 0.01659751 0.016461277 0.014993741 0.000224812
39 12/1/2022 24.6 0.004081633 0.004073325 0.002605789 6.79014E-06
- -
12/2/2022 24.17 -0.017634248
40 0.017479675 0.019101784 0.000364878
- -
12/5/2022 23.790001 -0.015846828
41 0.015721928 0.017314364 0.000299787
- -
12/6/2022 23.700001 -0.003790276
42 0.003783102 0.005257812 2.76446E-05
43 12/7/2022 23.85 0.006329071 0.006309127 0.004841591 2.3441E-05
44 12/8/2022 23.889999 0.001677107 0.001675702 0.000208166 4.33332E-08
45 12/9/2022 23.940001 0.00209301 0.002090822 0.000623287 3.88486E-07
46 12/12/2022 24.02 0.003341646 0.003336075 0.001868539 3.49144E-06
47 12/13/2022 24.32 0.012489592 0.01241224 0.010944705 0.000119787
- -
12/14/2022 24.07 -0.010332805
48 0.010279605 0.011800341 0.000139248
- -
12/15/2022 23.780001 -0.012121318
49 0.012048151 0.013588854 0.000184657
- -
12/16/2022 23.57 -0.008870216
50 0.008830992 0.010337752 0.000106869
- -
12/19/2022 23.49 -0.003399918
51 0.003394145 0.004867454 2.36921E-05
-
12/20/2022 23.450001 -0.001704261
52 -0.00170281 0.003171797 1.00603E-05
- -
12/21/2022 22.959999 -0.02111701
53 0.020895607 0.022584546 0.000510062
- -
12/22/2022 22.940001 -0.000871373
54 0.000870993 0.002338909 5.47049E-06
55 12/23/2022 23.120001 0.007846556 0.007815932 0.006348396 4.03021E-05
- -
12/27/2022 22.92 -0.008688195
56 0.008650562 0.010155731 0.000103139
No
Date Close(Si) Return Return Continu (ui) (ui - u̅) (ui - u̅)^2
.
-
12/28/2022 22.35 -0.025183571
57 -0.02486911 0.026651107 0.000710281
58 12/29/2022 22.9 0.024608501 0.02431059 0.022843054 0.000521805
- -
12/30/2022 22.860001 -0.001748208
59 0.001746681 0.003215744 1.0341E-05
60 1/4/2023 23.49 0.02755901 0.027186097 0.025718561 0.000661444
- -
1/5/2023 23.27 -0.009409821
61 0.009365688 0.010877357 0.000118317
62 1/6/2023 23.959999 0.029651869 0.029220754 0.027753218 0.000770241
63 1/10/2023 24.08 0.005008389 0.004995889 0.003528353 1.24493E-05
- -
1/11/2023 23.889999 -0.007921701
64 0.007890407 0.009389237 8.81578E-05
65 1/12/2023 24.1 0.008790331 0.008751921 0.007284385 5.30623E-05
- -
1/13/2023 23.58 -0.021812945
66 0.021576763 0.023280481 0.000541981
67 1/17/2023 23.98 0.016963528 0.016821254 0.015353719 0.000235737
- -
1/18/2023 23.799999 -0.007534611
68 0.007506297 0.009002147 8.10386E-05
- -
1/19/2023 23.66 -0.00589968
69 0.005882311 0.007367216 5.42759E-05
70 1/20/2023 23.950001 0.012257016 0.012182507 0.010714971 0.000114811
71 1/23/2023 24.16 0.008768225 0.008730007 0.007262472 5.27435E-05
- -
1/24/2023 23.950001 -0.008730007
72 0.008692012 0.010197543 0.00010399
73 1/25/2023 24.09 0.005845469 0.005828451 0.004360915 1.90176E-05
74 1/26/2023 24.27 0.00747198 0.007444203 0.005976667 3.57206E-05
75 1/27/2023 24.59 0.013185002 0.013098836 0.011631301 0.000135287
- -
1/30/2023 24.34 -0.010218769
76 0.010166734 0.011686305 0.00013657
77 1/31/2023 24.82 0.019720624 0.019528692 0.018061156 0.000326205
78 2/1/2023 25.309999 0.019742103 0.019549755 0.018082219 0.000326967
-
2/2/2023 25.190001 -0.004752405
79 -0.00474113 0.006219941 3.86877E-05
- -
2/3/2023 24.6 -0.023700687
80 0.023422032 0.025168223 0.000633439
-
2/6/2023 24.6 0
81 0 0.001467536 2.15366E-06
82 2/7/2023 24.860001 0.010569146 0.010513683 0.009046147 8.18328E-05
- -
2/8/2023 24.41 -0.018267242
83 0.018101407 0.019734778 0.000389461
84 2/9/2023 24.540001 0.005325727 0.005311596 0.00384406 1.47768E-05
85 2/10/2023 25.129999 0.024042297 0.023757832 0.022290296 0.000496857
86 2/13/2023 25.440001 0.012335934 0.012260466 0.01079293 0.000116487
- -
2/14/2023 25.200001 -0.009478744
87 0.009433962 0.010946279 0.000119821
 No
Date Close(Si) Return Return Continu (ui) (ui - u̅) (ui - u̅)^2
.
-
2/15/2023 25.219999 0.000793257
88 0.000793571 0.000674279 4.54652E-07
89 2/16/2023 25.309999 0.003568596 0.003562244 0.002094708 4.3878E-06
90 2/17/2023 25.540001 0.009087397 0.009046355 0.007578819 5.74385E-05
si −s i−1
Re turn =
s i−1
, i = 1, 2, . . .,n

Re turn kontinu (ui )= ln

( )si
s i−1

Sehingga diperoleh:
n
¿
1
u = ∑ ui
n i=1 = 0.001467536 dengan n= 90

√
n
1 ¿
s=
n−1
∑ (ui −u )2
i=1
= 0.015097325
2 2
s ≈σ t
, t = 1/252 tahun
s s
σ= = =s √ 252=0.015097325 √ 252=0.239662604
√t
√ 1
252
Maka estimasi σ(volatilitas harga saham) = 0.239662604

Scatter plot untuk return dan return kontinu

 scatter plot untuk return
 scatter plot untuk return kontinu

Normal p-plot untuk return dan return kontinu

 Normal p-plot untuk return
  Normal p-plot untuk return kontinu

2. YAMHF-Yamaha Motor co.,ltd

Profil Emiten
YAMHF-Yamaha Motor co.,ltd didirikan pada tahun 1918 dan berkantor pusat di Iwata,
Jepang. YAMHF-Yamaha Motor co.,ltd bersama dengan anak perusahaannya, bergerak
dalam bisnis mobilitas darat, hasil laut, robotika, dan jasa keungan di Jepang, Amerika Utara,
Eropa, Asia, dan Internasional.

Tabel 1. Data historis harga saham harian selama 91 hari mulai tanggal 3 Oktober 2022
sampai 17 Februari 2023. Data yang diperlukan adalah data harga saham penutupan setiap
harinya.
Sumber Web: www.Finance.yahoo.com
Date Open High Low Close Adj Close Volume
18.41024
10/3/2022 18.75 18.75 18.75 18.75 6 0
18.57716
10/4/2022 18.92 18.92 18.92 18.92 6 100
18.57716
10/5/2022 18.92 18.92 18.92 18.92 6 0
19.15647
10/6/2022 19.51 19.51 19.51 19.51 5 200
10/7/2022 19.59 19.59 19.43 19.43 19.07792 600
 Date Open High Low Close Adj Close Volume
5
10/11/202 19.07792
2 19.43 19.43 19.43 19.43 5 0
10/12/202 19.07792
2 19.43 19.43 19.43 19.43 5 2400
10/13/202 19.54000 19.54000 19.18593
2 1 1 19.540001 19.540001 2 100
10/14/202 19.54000 19.54000 19.18593
2 1 1 19.540001 19.540001 2 0
10/17/202 19.21999 19.21999 18.87172
2 9 9 19.219999 19.219999 9 200
10/18/202 19.41176
2 19.77 19.77 19.77 19.77 4 500
10/19/202 19.41176
2 19.77 19.77 19.77 19.77 4 0
10/20/202 19.79000 19.79000 19.43140
2 1 1 19.790001 19.790001 2 500
10/21/202 19.95000 19.70632
2 1 20.07 19.950001 20.07 7 800
10/24/202 19.70632
2 20.07 20.07 20.07 20.07 7 0
10/25/202 19.70632
2 20.07 20.07 20.07 20.07 7 0
10/26/202 19.70632
2 20.07 20.07 20.07 20.07 7 0
10/27/202 19.96161
2 20.33 20.33 20.33 20.33 7 200
10/28/202 19.96161
2 20.33 20.33 20.33 20.33 7 0
10/31/202 19.96161
2 20.33 20.33 20.33 20.33 7 0
20.44273
11/1/2022 20.82 20.82 20.82 20.82 6 200
20.44273
11/2/2022 20.82 20.82 20.82 20.82 6 0
20.44273
11/4/2022 20.82 20.82 20.82 20.82 6 0
22.19048
11/7/2022 22.18 22.6 22.18 22.6 3 600
23.97750
11/8/2022 24 24.42 24 24.42 5 1300
23.81058
11/9/2022 24.25 24.25 24.25 24.25 5 1400
11/10/202 24.88999 24.54699
2 9 25 24.889999 25 5 1000
11/11/202 24.68 24.68 24.68 24.68 24.23279 100
 Date Open High Low Close Adj Close Volume
2 4
11/14/202 23.79000 23.79999 23.36873
2 1 9 23.790001 23.799999 8 700
11/15/202 24.55999 24.55999 24.11496
2 9 9 24.559999 24.559999 7 200
11/16/202 24.55999 24.55999 24.11496
2 9 9 24.559999 24.559999 7 0
11/17/202 24.55999 24.55999 24.11496
2 9 9 24.559999 24.559999 7 0
11/18/202 24.55999 24.55999 24.11496
2 9 9 24.559999 24.559999 7 0
11/21/202 24.55999 24.55999 24.11496
2 9 9 24.559999 24.559999 7 0
11/22/202 23.20000 23.45710
2 1 24 23.200001 23.889999 8 1200
11/25/202 23.15272
2 23.58 23.58 23.58 23.58 5 500
11/28/202 23.15272
2 23.58 23.58 23.58 23.58 5 0
11/29/202 23.15272
2 23.58 23.58 23.58 23.58 5 20000
11/30/202 24.30999 24.30999 23.86949
2 9 9 24.309999 24.309999 7 200
24.30999 24.30999 23.86949
12/1/2022 9 9 24.309999 24.309999 7 20000
24.30999 24.30999 23.86949
12/2/2022 9 9 24.309999 24.309999 7 0
23.36873
12/5/2022 24.1 24.1 23.799999 23.799999 8 2500
23.75167
12/6/2022 25.02 25.02 24.190001 24.190001 3 500
23.82040
12/7/2022 23.93 24.26 23.92 24.26 4 1100
24.44880
12/8/2022 24.9 24.9 24.9 24.9 7 200
24.44880
12/9/2022 24.9 24.9 24.9 24.9 7 0
12/12/202 23.95786
2 24.4 24.4 24.4 24.4 7 600
12/13/202 23.95786
2 24.4 24.4 24.4 24.4 7 0
12/14/202 24.45999 24.45999 24.01677
2 9 9 24.459999 24.459999 9 800
12/15/202 24.45999 24.45999 24.01677
2 9 9 24.459999 24.459999 9 100
12/16/202 24.55999 24.55999 23.219999 23.219999 22.79924 500
 Date Open High Low Close Adj Close Volume
2 9 9 8
12/19/202 23.21999 23.21999 22.79924
2 9 9 23.219999 23.219999 8 0
12/20/202 23.33928
2 23.77 23.77 23.77 23.77 3 200
12/21/202 22.94000 22.52432
2 22.59 1 22.59 22.940001 3 600
12/22/202 22.23957
2 22.65 22.65 22.65 22.65 6 100
12/23/202 22.23957
2 22.65 22.65 22.65 22.65 6 0
12/27/202 22.23957
2 22.65 22.65 22.65 22.65 6 0
12/28/202 23.62000 23.19200
2 22.65 1 22.65 23.620001 1 16700
12/29/202 21.95000 21.95000 21.95000
2 1 1 21.950001 21.950001 1 100
12/30/202 22.87999 22.87999 22.87999
2 9 9 22.879999 22.879999 9 200
22.95000 22.95000 22.95000
1/4/2023 1 1 22.950001 22.950001 1 0
1/5/2023 22.01 22.01 22.01 22.01 22.01 200
22.62999 22.62999 22.62999
1/6/2023 9 9 22.629999 22.629999 9 100
22.62999 22.62999 22.62999
1/10/2023 9 9 22.629999 22.629999 9 35000
22.45000 22.45000 22.45000
1/11/2023 1 1 22.450001 22.450001 1 200
1/12/2023 23.16 23.16 23.16 23.16 23.16 200
1/13/2023 22.93 23.23 22.93 23.23 23.23 1500
1/17/2023 23.98 23.98 23.98 23.98 23.98 200
24.54000
1/18/2023 24.5 24.6 24.02 24.540001 1 1000
1/19/2023 23.68 23.68 23.68 23.68 23.68 200
1/20/2023 23.68 23.68 23.68 23.68 23.68 0
24.05999 24.05999 24.05999
1/23/2023 9 9 24.059999 24.059999 9 500
1/24/2023 24.23 24.23 24.23 24.23 24.23 300
1/25/2023 24.35 24.35 24.35 24.35 24.35 300
1/26/2023 24.35 24.35 24.35 24.35 24.35 0
1/27/2023 24.35 24.35 24.35 24.35 24.35 0
24.38999 24.38999 24.38999
1/30/2023 9 9 24.389999 24.389999 9 200
24.38999 24.38999 24.38999
1/31/2023 9 9 24.389999 24.389999 9 0
 Date Open High Low Close Adj Close Volume
24.54999 24.54999 24.54999
2/1/2023 9 9 24.549999 24.549999 9 300
2/2/2023 24.85 24.85 24.84 24.84 24.84 900
2/3/2023 24.84 24.84 24.84 24.84 24.84 0
24.78000 24.88999 24.88999
2/6/2023 1 9 24.780001 24.889999 9 400
2/7/2023 24.85 24.85 24.67 24.67 24.67 1600
24.95000
2/8/2023 1 25 24.950001 25 25 1000
2/9/2023 25 25 25 25 25 0
25.45999 25.45999
2/10/2023 25.08 9 25.08 25.459999 9 1400
25.79000
2/13/2023 1 25.91 25.790001 25.91 25.91 500
2/14/2023 24.83 24.83 24.83 24.83 24.83 200
2/15/2023 24.83 24.83 24.83 24.83 24.83 0
2/16/2023 24.83 24.83 24.83 24.83 24.83 600
2/17/2023 24.83 24.83 24.83 24.83 24.83 0

Tabel 2. Hal-hal yang diperlukan untuk menentukan σ dengan bantuan perhitungan MS

Excel

N Return Continu
O Date Close(Si) Return (ui) (ui - u̅) (ui - u̅)^2
0 10/3/2022 18.75        
1 10/4/2022 18.92 0.009066667 0.009025811 0.005905157 3.48709E-05
-
2 10/5/2022 18.92 0 0 0.003120654 9.73848E-06
0.00076103
3 10/6/2022 19.51 0.031183932 0.030707591 0.027586937 9
- -
4 10/7/2022 19.43 0.004100461 -0.004108891 0.007229545 5.22663E-05
10/11/202 -
5 2 19.43 0 0 0.003120654 9.73848E-06
10/12/202 -
6 2 19.43 0 0 0.003120654 9.73848E-06
10/13/202 19.54000
7 2 1 0.0056614 0.005645434 0.002524781 6.37452E-06
10/14/202 19.54000 -
8 2 1 0 0 0.003120654 9.73848E-06
10/17/202 19.21999 - 0.00038545
9 2 9 0.016376765 -0.016512346 -0.019633 5
10 10/18/202 19.77 0.028616078 0.028214286 0.025093632 0.00062969
N Return Continu
O Date Close(Si) Return (ui) (ui - u̅) (ui - u̅)^2
2
10/19/202 -
11 2 19.77 0 0 0.003120654 9.73848E-06
10/20/202 19.79000 -
12 2 1 0.001011684 0.001011173 0.002109481 4.44991E-06
10/21/202 0.00011943
13 2 20.07 0.014148509 0.014049353 0.010928699 6
10/24/202 -
14 2 20.07 0 0 0.003120654 9.73848E-06
10/25/202 -
15 2 20.07 0 0 0.003120654 9.73848E-06
10/26/202 -
16 2 20.07 0 0 0.003120654 9.73848E-06
10/27/202
17 2 20.33 0.012954659 0.012871465 0.009750811 9.50783E-05
10/28/202 -
18 2 20.33 0 0 0.003120654 9.73848E-06
10/31/202 -
19 2 20.33 0 0 0.003120654 9.73848E-06
0.00042831
20 11/1/2022 20.82 0.024102312 0.023816436 0.020695782 5
-
21 11/2/2022 20.82 0 0 0.003120654 9.73848E-06
-
22 11/4/2022 20.82 0 0 0.003120654 9.73848E-06
0.00622760
23 11/7/2022 22.6 0.085494717 0.082035843 0.078915189 7
0.00552523
24 11/8/2022 24.42 0.080530973 0.077452562 0.074331909 3
- - 0.00010214
25 11/9/2022 24.25 0.006961507 -0.006985851 0.010106505 1
11/10/202 0.00074739
26 2 25 0.030927835 0.030459207 0.027338554 7
11/11/202 0.00025610
27 2 24.68 -0.0128 -0.012882626 -0.01600328 5
11/14/202 23.79999 - - 0.00155459
28 2 9 0.035656442 -0.03630766 0.039428314 2
11/15/202 24.55999 0.00080161
29 2 9 0.031932774 0.031433524 0.02831287 9
11/16/202 24.55999 -
30 2 9 0 0 0.003120654 9.73848E-06
11/17/202 24.55999 -
31 2 9 0 0 0.003120654 9.73848E-06
11/18/202 24.55999 -
32 2 9 0 0 0.003120654 9.73848E-06
N Return Continu
O Date Close(Si) Return (ui) (ui - u̅) (ui - u̅)^2
11/21/202 24.55999 -
33 2 9 0 0 0.003120654 9.73848E-06
11/22/202 23.88999 - - 0.00094739
34 2 9 0.027280131 -0.027659143 0.030779797 6
11/25/202 - - 0.00026184
35 2 23.58 0.012976099 -0.013061024 0.016181678 7
11/28/202 -
36 2 23.58 0 0 0.003120654 9.73848E-06
11/29/202 -
37 2 23.58 0 0 0.003120654 9.73848E-06
11/30/202 24.30999 0.00074901
38 2 9 0.030958397 0.030488852 0.027368198 8
24.30999 -
39 12/1/2022 9 0 0 0.003120654 9.73848E-06
24.30999 -
40 12/2/2022 9 0 0 0.003120654 9.73848E-06
23.79999 - - 0.00059160
41 12/5/2022 9 0.020979022 -0.021202209 0.024322862 2
24.19000
42 12/6/2022 1 0.016386639 0.016253827 0.013133173 0.00017248
-
43 12/7/2022 24.26 0.002893716 0.002889538 0.000231116 5.34147E-08
0.00052524
44 12/8/2022 24.9 0.026380874 0.0260389 0.022918246 6
-
45 12/9/2022 24.9 0 0 0.003120654 9.73848E-06
12/12/202 - - 0.00054780
46 2 24.4 0.020080321 -0.020284671 0.023405325 9
12/13/202 -
47 2 24.4 0 0 0.003120654 9.73848E-06
12/14/202 24.45999 -
48 2 9 0.002458975 0.002455957 0.000664697 4.41822E-07
12/15/202 24.45999 -
49 2 9 0 0 0.003120654 9.73848E-06
12/16/202 23.21999 -
50 2 9 0.050695014 -0.052025156 -0.05514581 0.00304106
12/19/202 23.21999 -
51 2 9 0 0 0.003120654 9.73848E-06
12/20/202 0.00041167
52 2 23.77 0.023686521 0.023410348 0.020289694 2
12/21/202 22.94000 - 0.00149481
53 2 1 0.034917922 -0.035542126 -0.03866278 1
12/22/202 - - 0.00025099
54 2 22.65 0.012641717 -0.012722303 0.015842957 9
55 12/23/202 22.65 0 0 - 9.73848E-06
N Return Continu
O Date Close(Si) Return (ui) (ui - u̅) (ui - u̅)^2
2 0.003120654
12/27/202 -
56 2 22.65 0 0 0.003120654 9.73848E-06
12/28/202 23.62000 0.00150647
57 2 1 0.042825651 0.041934001 0.038813347 6
12/29/202 21.95000 - - 0.00584419
58 2 1 0.070702791 -0.073326668 0.076447322 3
12/30/202 22.87999 0.00147266
59 2 9 0.042368927 0.041495938 0.038375284 2
22.95000
60 1/4/2023 1 0.003059528 0.003054857 -6.57966E-05 4.32919E-09
- -
61 1/5/2023 22.01 0.040958647 -0.041821085 0.044941738 0.00201976
22.62999
62 1/6/2023 9 0.028168969 0.02777952 0.024658866 0.00060806
22.62999 -
63 1/10/2023 9 0 0 0.003120654 9.73848E-06
22.45000 - - 0.00012335
64 1/11/2023 1 0.007953955 -0.007985757 0.011106411 2
0.00078485
65 1/12/2023 23.16 0.031625789 0.031135994 0.02801534 9
66 1/13/2023 23.23 0.003022453 0.003017894 -0.00010276 1.05596E-08
0.00082110
67 1/17/2023 23.98 0.032285837 0.031775603 0.028654949 6
24.54000 0.00039854
68 1/18/2023 1 0.023352836 0.02308433 0.019963677 8
- -
69 1/19/2023 23.68 0.035044864 -0.03567367 0.038794324 0.001505
-
70 1/20/2023 23.68 0 0 0.003120654 9.73848E-06
24.05999
71 1/23/2023 9 0.016047255 0.015919859 0.012799205 0.00016382
72 1/24/2023 24.23 0.007065711 0.007040866 0.003920212 1.53681E-05
73 1/25/2023 24.35 0.004952538 0.004940315 0.001819661 3.31117E-06
-
74 1/26/2023 24.35 0 0 0.003120654 9.73848E-06
-
75 1/27/2023 24.35 0 0 0.003120654 9.73848E-06
24.38999 -
76 1/30/2023 9 0.001642669 0.001641322 0.001479332 2.18842E-06
24.38999 -
77 1/31/2023 9 0 0 0.003120654 9.73848E-06
24.54999
78 2/1/2023 9 0.006560066 0.006538642 0.003417988 1.16826E-05
 N Return Continu
O Date Close(Si) Return (ui) (ui - u̅) (ui - u̅)^2
79 2/2/2023 24.84 0.011812669 0.011743444 0.00862279 7.43525E-05
-
80 2/3/2023 24.84 0 0 0.003120654 9.73848E-06
24.88999 -
81 2/6/2023 9 0.002012842 0.002010819 0.001109835 1.23173E-06
- 0.00014397
82 2/7/2023 24.67 0.008838851 -0.008878146 -0.0119988 1
0.00010337
83 2/8/2023 25 0.013376571 0.013287894 0.01016724 3
-
84 2/9/2023 25 0 0 0.003120654 9.73848E-06
25.45999 0.00022837
85 2/10/2023 9 0.01839996 0.018232729 0.015112075 5
0.00020735
86 2/13/2023 25.91 0.017674824 0.017520441 0.014399787 4
- -
87 2/14/2023 24.83 0.041682748 -0.042576395 0.045697049 0.00208822
-
88 2/15/2023 24.83 0 0 0.003120654 9.73848E-06
-
89 2/16/2023 24.83 0 0 0.003120654 9.73848E-06
-
90 2/17/2023 24.83 0 0 0.003120654 9.73848E-06

si −s i−1
Re turn =
s i−1
, i = 1, 2, . . .,n

Re turn kontinu (ui )= ln

( ) si
s i−1

Sehingga diperoleh:
n
¿
1
u = ∑ ui
n i=1 = 0.003120654, dengan n= 90

√
n
1 ¿
s=
n−1
∑ (ui −u )2
i=1
= 0.022536853

s 2 ≈σ 2 t
, t = 1/252 tahun
 s s
σ= = =s √ 252=0.022536853 √ 252=0.357761454
√t
√ 1
252
Maka estimasi σ(volatilitas harga saham) = 0.357761454
Scatter plot untuk return dan return kontinu
 scatter plot untuk return

 scatter plot untuk return kontinu

Normal p-plot untuk return dan return kontinu
 Normal p-plot untuk return

 Normal p-plot untuk return continu

3. SZKMF-Suzuki Motor Corporation
Profil Emiten
Suzuki Motor Corporation didirikan pada tahun 1909 dan berkantor pusat di
Hamamatsu, Jepang. Suzuki Motor Corporation terlibat dalam pembuatan dan pemasaran
mobil, sepeda motor, dan produk kelautan di Jepang, beberapa wilayah Asia, Eropa, dan
International. Perusahaan ini menawarkan kendaraan bermotor, dan kendaraan elektro.
Perusahaan ini juga terlibat dalam bisnis real estat dan perumahan, pembangkut tenaga surya,
dan logistik, serta menyediakan layanan lainnya.

Tabel 1. Data historis harga saham harian selama 91 hari mulai tanggal 17 Oktober 2022
sampai 28 Februari 2023. Data yang diperlukan adalah data harga saham penutupan setiap
harinya.
Sumber Web: www.Finance.yahoo.com
Volum
Date Open High Low Close Adj Close e
10/3/2022 31.74 31.74 31.74 31.74 31.74 1000
10/4/2022 31.74 31.74 31.74 31.74 31.74 0
10/5/2022 31.74 31.74 31.74 31.74 31.74 0
10/6/2022 31.74 31.74 31.74 31.74 31.74 0
10/7/2022 31.74 31.74 31.74 31.74 31.74 0
10/11/202 31.62999 31.62999 31.62999
2 31.43 9 31.43 9 9 400
10/12/202 31.62999 31.62999 31.62999 31.62999 31.62999
2 9 9 9 9 9 600
10/13/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 600
10/14/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/17/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/18/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/19/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/20/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/21/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/24/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/25/202 31.29999 31.29999 31.29999 31.29999 31.29999 0
 Volum
Date Open High Low Close Adj Close e
2 9 9 9 9 9
10/26/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/27/202 31.29999 31.29999 31.29999 31.29999 31.29999
2 9 9 9 9 9 0
10/28/202 33.13000 33.13000
2 1 33.16 1 33.16 33.16 200
10/31/202
2 33.5 33.5 33.5 33.5 33.5 200
11/1/2022 33.5 33.5 33.5 33.5 33.5 0
11/2/2022 33.5 33.5 33.5 33.5 33.5 0
11/4/2022 33.5 33.5 33.5 33.5 33.5 0
11/7/2022 33.5 33.5 33.5 33.5 33.5 0
36.20999 36.36000 36.20999 36.36000 36.36000
11/8/2022 9 1 9 1 1 300
36.36000 36.36000 36.36000 36.36000 36.36000
11/9/2022 1 1 1 1 1 0
11/10/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/11/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/14/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/15/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/16/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/17/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/18/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/21/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/22/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/25/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/28/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/29/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
11/30/202 36.36000 36.36000 36.36000 36.36000 36.36000
2 1 1 1 1 1 0
36.36000 36.36000 36.36000 36.36000 36.36000
12/1/2022 1 1 1 1 1 0
 Volum
Date Open High Low Close Adj Close e
36.36000 36.36000 36.36000 36.36000 36.36000
12/2/2022 1 1 1 1 1 0
36.36000 36.36000 36.36000 36.36000 36.36000
12/5/2022 1 1 1 1 1 0
36.36000 36.36000 36.36000 36.36000 36.36000
12/6/2022 1 1 1 1 1 0
34.83000 34.83000 34.83000 34.83000 34.83000
12/7/2022 2 2 2 2 2 100
34.83000 34.83000 34.83000 34.83000 34.83000
12/8/2022 2 2 2 2 2 3600
34.83000 34.83000 34.83000 34.83000 34.83000
12/9/2022 2 2 2 2 2 0
12/12/202 34.83000 34.83000 34.83000 34.83000 34.83000
2 2 2 2 2 2 0
12/13/202 34.83000 34.83000 34.83000 34.83000 34.83000
2 2 2 2 2 2 0
12/14/202 34.83000 34.83000 34.83000 34.83000 34.83000
2 2 2 2 2 2 0
12/15/202 34.83000 34.83000 34.83000 34.83000 34.83000
2 2 2 2 2 2 100
12/16/202 34.83000 34.83000 34.83000 34.83000 34.83000
2 2 2 2 2 2 0
12/19/202 33.93999 33.93999 33.93999 33.93999 33.93999
2 9 9 9 9 9 100
12/20/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 100
12/21/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 0
12/22/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 0
12/23/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 0
12/27/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 0
12/28/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 9400
12/29/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 0
12/30/202 33.99000 33.99000 33.99000 33.99000 33.99000
2 2 2 2 2 2 0
33.99000 33.99000 33.99000 33.99000 33.99000
1/4/2023 2 2 2 2 2 0
33.99000 33.99000 33.99000 33.99000 33.99000
1/5/2023 2 2 2 2 2 0
1/6/2023 33.99000 33.99000 33.99000 33.99000 33.99000 0
 Volum
Date Open High Low Close Adj Close e
2 2 2 2 2
33.99000 33.99000 33.99000 33.99000 33.99000
1/10/2023 2 2 2 2 2 0
33.99000 33.99000 33.99000 33.99000 33.99000
1/11/2023 2 2 2 2 2 0
33.99000 33.99000 33.99000 33.99000 33.99000
1/12/2023 2 2 2 2 2 0
33.99000 33.99000 33.99000 33.99000 33.99000
1/13/2023 2 2 2 2 2 0
33.99000 33.99000 33.99000 33.99000 33.99000
1/17/2023 2 2 2 2 2 0
34.20000 34.20000 34.20000 34.20000 34.20000
1/18/2023 1 1 1 1 1 200
34.20000 34.20000 34.20000 34.20000 34.20000
1/19/2023 1 1 1 1 1 0
34.20000 34.20000 34.20000 34.20000 34.20000
1/20/2023 1 1 1 1 1 0
34.20000 34.20000 34.20000 34.20000 34.20000
1/23/2023 1 1 1 1 1 0
34.20000 34.20000 34.20000 34.20000 34.20000
1/24/2023 1 1 1 1 1 700
1/25/2023 36.5 36.5 36.5 36.5 36.5 100
36.61999 36.61999 36.61999 36.61999 36.61999
1/26/2023 9 9 9 9 9 100
36.61999 36.61999 36.61999 36.61999 36.61999
1/27/2023 9 9 9 9 9 0
36.61999 36.61999 36.61999 36.61999 36.61999
1/30/2023 9 9 9 9 9 0
36.61999 36.61999 36.61999 36.61999 36.61999
1/31/2023 9 9 9 9 9 0
36.61999 36.61999 36.61999 36.61999 36.61999
2/1/2023 9 9 9 9 9 0
36.61999 36.61999 36.61999 36.61999 36.61999
2/2/2023 9 9 9 9 9 0
36.61999 36.61999 36.61999 36.61999 36.61999
2/3/2023 9 9 9 9 9 0
36.61999 36.61999 36.61999 36.61999 36.61999
2/6/2023 9 9 9 9 9 0
37.68999 38.58000 37.68999 38.58000 38.58000
2/7/2023 9 2 9 2 2 200
38.58000 38.58000 38.58000 38.58000 38.58000
2/8/2023 2 2 2 2 2 0
38.58000 38.58000 38.58000 38.58000 38.58000
2/9/2023 2 2 2 2 2 0
2/10/2023 35.93 35.93 35.93 35.93 35.93 100
 Volum
Date Open High Low Close Adj Close e
35.56000 35.56000 35.56000 35.56000 35.56000
2/13/2023 1 1 1 1 1 200
35.56000 35.56000 35.56000 35.56000 35.56000
2/14/2023 1 1 1 1 1 0
35.56000 35.56000 35.56000 35.56000 35.56000
2/15/2023 1 1 1 1 1 0
35.56000 35.56000 35.56000 35.56000 35.56000
2/16/2023 1 1 1 1 1 0
35.56000 35.56000 35.56000 35.56000 35.56000
2/17/2023 1 1 1 1 1 0

Tabel 2. Hal-hal yang diperlukan untuk menentukan σ dengan bantuan perhitungan MS

Excel
N
O Date Close(Si) Return Return Continu (ui) (ui - u̅) (ui - u̅)^2
0 10/3/2022 31.7400        
1 10/4/2022 31.7400 0 0 -0.001262708 1.59443E-06
2 10/5/2022 31.7400 0 0 -0.001262708 1.59443E-06
3 10/6/2022 31.7400 0 0 -0.001262708 1.59443E-06
4 10/7/2022 31.7400 0 0 -0.001262708 1.59443E-06
5 10/11/2022 31.6300 -0.00346569 -0.003471709 -0.004734417 2.24147E-05
6 10/12/2022 31.6300 0 0 -0.001262708 1.59443E-06
-
7 10/13/2022 31.3000 0.010433133 -0.01048794 -0.011750648 0.000138078
8 10/14/2022 31.3000 0 0 -0.001262708 1.59443E-06
9 10/17/2022 31.3000 0 0 -0.001262708 1.59443E-06
10 10/18/2022 31.3000 0 0 -0.001262708 1.59443E-06
11 10/19/2022 31.3000 0 0 -0.001262708 1.59443E-06
12 10/20/2022 31.3000 0 0 -0.001262708 1.59443E-06
13 10/21/2022 31.3000 0 0 -0.001262708 1.59443E-06
14 10/24/2022 31.3000 0 0 -0.001262708 1.59443E-06
15 10/25/2022 31.3000 0 0 -0.001262708 1.59443E-06
16 10/26/2022 31.3000 0 0 -0.001262708 1.59443E-06
17 10/27/2022 31.3000 0 0 -0.001262708 1.59443E-06
18 10/28/2022 33.1600 0.059424954 0.057726265 0.056463557 0.003188133
19 10/31/2022 33.5000 0.010253317 0.010201109 0.008938401 7.9895E-05
20 11/1/2022 33.5000 0 0 -0.001262708 1.59443E-06
21 11/2/2022 33.5000 0 0 -0.001262708 1.59443E-06
22 11/4/2022 33.5000 0 0 -0.001262708 1.59443E-06
23 11/7/2022 33.5000 0 0 -0.001262708 1.59443E-06
N
O Date Close(Si) Return Return Continu (ui) (ui - u̅) (ui - u̅)^2
24 11/8/2022 36.3600 0.085373164 0.081923858 0.08066115 0.006506221
25 11/9/2022 36.3600 0 0 -0.001262708 1.59443E-06
26 11/10/2022 36.3600 0 0 -0.001262708 1.59443E-06
27 11/11/2022 36.3600 0 0 -0.001262708 1.59443E-06
28 11/14/2022 36.3600 0 0 -0.001262708 1.59443E-06
29 11/15/2022 36.3600 0 0 -0.001262708 1.59443E-06
30 11/16/2022 36.3600 0 0 -0.001262708 1.59443E-06
31 11/17/2022 36.3600 0 0 -0.001262708 1.59443E-06
32 11/18/2022 36.3600 0 0 -0.001262708 1.59443E-06
33 11/21/2022 36.3600 0 0 -0.001262708 1.59443E-06
34 11/22/2022 36.3600 0 0 -0.001262708 1.59443E-06
35 11/25/2022 36.3600 0 0 -0.001262708 1.59443E-06
36 11/28/2022 36.3600 0 0 -0.001262708 1.59443E-06
37 11/29/2022 36.3600 0 0 -0.001262708 1.59443E-06
38 11/30/2022 36.3600 0 0 -0.001262708 1.59443E-06
39 12/1/2022 36.3600 0 0 -0.001262708 1.59443E-06
40 12/2/2022 36.3600 0 0 -0.001262708 1.59443E-06
41 12/5/2022 36.3600 0 0 -0.001262708 1.59443E-06
42 12/6/2022 36.3600 0 0 -0.001262708 1.59443E-06
-
43 12/7/2022 34.8300 0.042079179 -0.042990155 -0.044252863 0.001958316
44 12/8/2022 34.8300 0 0 -0.001262708 1.59443E-06
45 12/9/2022 34.8300 0 0 -0.001262708 1.59443E-06
46 12/12/2022 34.8300 0 0 -0.001262708 1.59443E-06
47 12/13/2022 34.8300 0 0 -0.001262708 1.59443E-06
48 12/14/2022 34.8300 0 0 -0.001262708 1.59443E-06
49 12/15/2022 34.8300 0 0 -0.001262708 1.59443E-06
50 12/16/2022 34.8300 0 0 -0.001262708 1.59443E-06
-
51 12/19/2022 33.9400 0.025552769 -0.025884911 -0.027147619 0.000736993
52 12/20/2022 33.9900 0.001473276 0.001472192 0.000209484 4.38836E-08
53 12/21/2022 33.9900 0 0 -0.001262708 1.59443E-06
54 12/22/2022 33.9900 0 0 -0.001262708 1.59443E-06
55 12/23/2022 33.9900 0 0 -0.001262708 1.59443E-06
56 12/27/2022 33.9900 0 0 -0.001262708 1.59443E-06
57 12/28/2022 33.9900 0 0 -0.001262708 1.59443E-06
58 12/29/2022 33.9900 0 0 -0.001262708 1.59443E-06
59 12/30/2022 33.9900 0 0 -0.001262708 1.59443E-06
60 1/4/2023 33.9900 0 0 -0.001262708 1.59443E-06
61 1/5/2023 33.9900 0 0 -0.001262708 1.59443E-06
62 1/6/2023 33.9900 0 0 -0.001262708 1.59443E-06
 N
O Date Close(Si) Return Return Continu (ui) (ui - u̅) (ui - u̅)^2
63 1/10/2023 33.9900 0 0 -0.001262708 1.59443E-06
64 1/11/2023 33.9900 0 0 -0.001262708 1.59443E-06
65 1/12/2023 33.9900 0 0 -0.001262708 1.59443E-06
66 1/13/2023 33.9900 0 0 -0.001262708 1.59443E-06
67 1/17/2023 33.9900 0 0 -0.001262708 1.59443E-06
68 1/18/2023 34.2000 0.006178258 0.006159251 0.004896543 2.39761E-05
69 1/19/2023 34.2000 0 0 -0.001262708 1.59443E-06
70 1/20/2023 34.2000 0 0 -0.001262708 1.59443E-06
71 1/23/2023 34.2000 0 0 -0.001262708 1.59443E-06
72 1/24/2023 34.2000 0 0 -0.001262708 1.59443E-06
73 1/25/2023 36.5000 0.067251431 0.065086587 0.063823879 0.004073488
74 1/26/2023 36.6200 0.003287644 0.003282251 0.002019543 4.07856E-06
75 1/27/2023 36.6200 0 0 -0.001262708 1.59443E-06
76 1/30/2023 36.6200 0 0 -0.001262708 1.59443E-06
77 1/31/2023 36.6200 0 0 -0.001262708 1.59443E-06
78 2/1/2023 36.6200 0 0 -0.001262708 1.59443E-06
79 2/2/2023 36.6200 0 0 -0.001262708 1.59443E-06
80 2/3/2023 36.6200 0 0 -0.001262708 1.59443E-06
81 2/6/2023 36.6200 0 0 -0.001262708 1.59443E-06
82 2/7/2023 38.5800 0.053522749 0.052139547 0.050876839 0.002588453
83 2/8/2023 38.5800 0 0 -0.001262708 1.59443E-06
84 2/9/2023 38.5800 0 0 -0.001262708 1.59443E-06
-
85 2/10/2023 35.9300 0.068688488 -0.071161458 -0.072424166 0.00524526
-
86 2/13/2023 35.5600 0.010297773 -0.010351162 -0.01161387 0.000134882
87 2/14/2023 35.5600 0 0 -0.001262708 1.59443E-06
88 2/15/2023 35.5600 0 0 -0.001262708 1.59443E-06
89 2/16/2023 35.5600 0 0 -0.001262708 1.59443E-06
90 2/17/2023 35.5600 0 0 -0.001262708 1.59443E-06

si −s i−1
Re turn =
s i−1
, i = 1, 2, . . .,n

Re turn kontinu (ui )= ln

( )si
s i−1

Sehingga diperoleh:
 n
¿
1
u = ∑ ui
n i=1 =0.001262708, dengan n= 90

√
n
1 ¿
s=
n−1
∑ (ui −u )2
i=1
= 0.016700067

s 2 ≈σ 2 t
, t = 1/252 tahun
s s
σ= = =s √ 252=0.016700067 √ 252=0.265105341
√t
√ 1
252
Maka estimasi σ(volatilitas harga saham) = 0.265105341

Scatter plot untuk return dan return kontinu

 scatter plot untuk return
 scatter plot untuk return kontinu

Normal p-plot untuk return dan return kontinu

 Normal p-plot untuk return
 Normal p-plot untuk return kontinu
SOAL 2:
Pada 3 emiten yang telah di pilih, buat buat 4 portofolio yang terdiri kombinasi 2 emiten
dan portofolio yang terdapat 3 emiten di dalamnya, cari risk portofolio dan return portofolio dari
tiap portofolio yang dibuat jika bobot yang diberikan adalah sama di setiap emiten. Lalu buat
grafik diamana sumbu x = σp, dan y = rp dari 4 portofolio tersebut dan tambahkan dengan σ dan
r dari tiap emiten. Berikan kesimpulan!

Penyelesaian :

Hal-hal yang harus di hitung saat membuat portofolio saham :

 Mean Return
n
r =∑ p j . r j
j=1

 Varians dan Covarians

n
Var(x) ¿ σ x =∑ p j .( x¿¿ j−x) ¿
2 2

j=1

n
Cov(~
x , ~y )¿ σ xy =∑ p j .(x j−x )( y j − y)
j=1

 Return Portofolio
~r =w ~r +w ~r +…+ w ~r
p 1 1 2 2 n n

 Varians portofolio
σ 2p=var ( ~r p )=w1 σ 21 +w 2 σ 22+2 w 1 w 2 σ 12
 Risk portofolio
σ p= √ σ p
2

Ket : w = bobot
 Tabel return kontinu dari historical data 91 hari :

RETURN KONTINU
HMC (r1) YAMHF (r2) SUZUKI (r3)
-0.057779367 -0.073326668 -0.071161458
-0.025183571 -0.052025156 -0.042990155
-0.023700687 -0.042576395 -0.025884911
-0.021812945 -0.041821085 -0.01048794
-0.02111701 -0.03630766 -0.010351162
 RETURN KONTINU
-0.018267242 -0.03567367 -0.003471709
-0.017635502 -0.035542126 0
-0.017634248 -0.027659143 0
-0.015973438 -0.021202209 0
-0.015846828 -0.020284671 0
-0.013163946 -0.016512346 0
-0.012635502 -0.013061024 0
-0.012121318 -0.012882626 0
-0.011780833 -0.012722303 0
-0.010564222 -0.008878146 0
-0.010332805 -0.007985757 0
-0.010218769 -0.006985851 0
-0.009478744 -0.004108891 0
-0.009409821 0 0
-0.00936884 0 0
-0.009046156 0 0
-0.008870216 0 0
-0.008730007 0 0
-0.008688195 0 0
-0.008375671 0 0
-0.007921701 0 0
-0.007778625 0 0
-0.007534611 0 0
-0.00732604 0 0
-0.00589968 0 0
-0.005481818 0 0
-0.005314406 0 0
-0.004752405 0 0
-0.00460406 0 0
-0.004553889 0 0
-0.003790276 0 0
-0.003399918 0 0
-0.001748208 0 0
-0.001704261 0 0
-0.000871373 0 0
-0.000438116 0 0
0 0 0
0 0 0
0.000793257 0 0
0.000908678 0 0
0.001675702 0 0
0.001697751 0 0
 RETURN KONTINU
0.001704261 0 0
0.002090822 0 0
0.003336075 0 0
0.003562244 0 0
0.004073325 0 0
0.004995889 0 0
0.005311596 0 0
0.005828451 0.001011173 0
0.006309127 0.001641322 0
0.006551629 0.002010819 0
0.007444203 0.002455957 0
0.007815932 0.002889538 0
0.008018654 0.003017894 0
0.008141203 0.003054857 0
0.008446038 0.004940315 0
0.008478262 0.005645434 0
0.008730007 0.006538642 0
0.008751921 0.007040866 0
0.009046355 0.009025811 0
0.010513683 0.011743444 0
0.01056813 0.012871465 0
0.011479199 0.013287894 0
0.012182507 0.014049353 0
0.012260466 0.015919859 0
0.01241224 0.016253827 0
0.013098836 0.017520441 0
0.013857035 0.018232729 0
0.015113638 0.02308433 0
0.016461277 0.023410348 0
0.016821254 0.023816436 0
0.018591736 0.0260389 0
0.019528692 0.02777952 0
0.019549755 0.028214286 0
0.020681564 0.030459207 0
0.022452672 0.030488852 0
0.022776142 0.030707591 0.001472192
0.023757832 0.031135994 0.003282251
0.02431059 0.031433524 0.006159251
0.024513212 0.031775603 0.010201109
0.024714497 0.041495938 0.052139547
0.027186097 0.041934001 0.057726265
0.029220754 0.077452562 0.065086587
 RETURN KONTINU
0.047170314 0.082035843 0.081923858

Jika di asumsikan setiap probability dari data itu sama dan bobot-bobot dari tiap saham
juga memiliki nilai yang sama, maka portofolio dari tiap sahamnya adalah :

Portofolio 1 (HMC dan YAMHF)

dimana HMC : 1 dan YAMHF : 2

Mean return
r 1 = 0.001467536

r 2 = 0.003120654

Mean return portofolio

1 1
r p = 0.001467536+ 00.003120654
2 2

r p =0.002294095

r p =0.22 %

Varians dan Covarian

Jika dibuat dalam bentuk tabel matriks maka :

  ~r ~r
1 2

~r σ1
2
σ 12
1
0.000227929 0.0003156
~r σ 21 σ 22
2

0.0003156 0.00050791

Varians portofolio

  w 1 ~r 1 w 2 ~r 2
w 1 ~r 1 5.69823E-05 7.89001E-05
0.018486748 0.018486748 0.018486748

2 2 2
σ p=w 1 σ 1+ w2 σ 2 +2 w1 w 2 σ 12
 2
σ p=¿0.00034176
Risk portofolio
σ p=√ 0.00034176
σ p=0.018017216
σ p=1.8 %

Portofolio 2 (HMC dan SUZUKI)

dimana HMC : 1 dan SUZUKI : 3

Mean return
r 1 = 0.001467536

r 3 = 0.001262708

Mean return portofolio

1 1
r p = 0.001467536+ 0.001262708
2 2
r p =0.001365122
r p =0.14 %

Varians dan Covarian

Jika dibuat dalam bentuk tabel matriks maka :

  ~r ~r
1 3

~r σ 21 σ 13
1
0.000227929 0.000169859
~r σ 31 σ3
2

3
0.000169859 0.000278892

Varians portofolio
   w 1 ~r 1 w 3 ~r 3
w 1 ~r 1 5.69823E-05 4.24648E-05
w 3 ~r 3 4.24648E-05 6.97231E-05

2 2 2
σ p=w 1 σ 1+ w3 σ 3 +2 w 1 w 3 σ 13
σ 2p=¿0.000211635
Risk portofolio
σ p=√ 0.000211635
σ p=0.014547677
σ p=1.5 %

Portofolio 3 (YAMHF dan SUZUKI)

dimana YAMHF : 2 dan SUZUKI : 3

Mean return
r 2 = 0.003120654
r 3 = 0.001262708
Mean return portofolio
1 1
r p = 0.003120654+ 0.001262708
2 2
r p =0.002191681
r p =0.22 %

Varians dan Covarian

Jika dibuat dalam bentuk tabel matriks maka :

  ~r ~r
2 3

~r σ 21 σ 13
2
0.00050791 0.000290573
~r σ 31 σ3
2

3
0.000290573 0.000278892
 Varians portofolio

  w 2 ~r 2 w 3 ~r 3
w 2 ~r 2 0.000126977 7.26433E-05
w 3 ~r 3 7.26433E-05 6.97231E-05

2 2 2
σ p=w 2 σ 2+ w3 σ 3 +2 w 2 w 3 σ 23
σ 2p=¿0.000341987
Risk portofolio
σ p=√ 0.000341987
σ p=0.018492892
σ p=1.85 %

Portofolio 4 (YAMHF dan SUZUKI)

Dimana HMC : 1 YAMHF : 2 dan SUZUKI : 3

Mean return
r 1 = 0.001467536 0.001262708
r 2 = 0.003120654
r 3 = 0.001262708
Mean return portofolio
1 1 1
r p = 0.001467536+ 0.003120654+ 0.001262708
3 3 3
r p =0.001950299
r p =0,2 %
 Varians dan Covarian
Jika dibuat dalam bentuk tabel matriks maka :

  ~r ~r ~r
1 2 3

~r σ1^2 σ12 σ13

1
0.000227929 0.0003156 0.000169859
~r σ21 σ2^2 σ23
2
0.0003156 0.00050791 0.000290573
~r σ31 σ32 σ3^2
3
0.000169859 0.000290573 0.000278892

Varians portofolio

  w 1 ~r 1 w 2 ~r 2 w 3 ~r 3
w 1 ~r 1 2.53255E-05 3.50667E-05 1.88732E-05
w 2 ~r 2 3.50667E-05 5.64344E-05 3.22859E-05
w 3 ~r 3 5.66197E-05 9.68577E-05 9.29641E-05

2 2 2 2
σ p=w 1 σ 1+ w2 σ 2 +w 3 σ 3 +2 w1 w2 σ 12 +2 w1 w3 σ 13 +2 w2 w 3 σ 23
2
σ p=¿0.000449494
Risk portofolio
σ p=√ 0.000449494
σ p=0.021201271
σ p=2 %

Setelah mendapatkan data-data yang diperlukan dari tiap potofolio untuk membuat grafik, maka di
buat tabel sebagai kumpulan data.

SAHAM YG DIAMBIL σ r̅
0.01509732
HMC 0.001467536
5
0.02253685
YAMHF 0.003120654
3
0.01670006
SZKMF 0.001262708
7
0.01848674
HMC DAN YAMHF 0.002294095
8
 0.01454767
HMC DAN SZKMF 0.001365122
7
0.01849289
YAMHF DAN SZKMF 0.002191681
2
0.02120127
HMC, YAMHF, DAN SZKMF 0.001950299
1

Dari tabel diatas dibuat grafik sebagai berikut.

Kesimpulan
Dengan bobot dari tiap saham yang sama maka protofolio saham yang dipilih adalah
HMC dan YAMHF dengan return sebesar 0,02% karena walaupun jika dibandingkan dengan
saham YAMHF yang memiliki Return yang lebih besar yaitu sebesar 0,03% tapi resiko sahamnya
terlampau sangat besar dari semua kombinasi saham yang ada yaitu sebesar 2% dan kalaupun
harus memilih saham HMC dengan resiko yang lebih kecil namun keuntungannya masih rendah
yaitu hanya sebesar 0,015% .
SOAL 3:
Pada portofolio 3 emiten tunjukkan risiko poortofolio yang paling minimal di setiap return
portofolio yang diinginkan dengan menggunakan MS excel solver.

Penyelesaian :

Hal-hal yang diperlukan untuk menentukan risk portofolio dan return portofolio.

  σ r
HMC 0.015097325 0.001467536
YAMHF 0.022536853 0.003120654
SUZUKI 0.016700067 0.001262708

COV(HMC,YAMHF) : 0.0003156
COV(HMC,SUZUKI) : 0.000169859
COV(YAMHF,SUZUKI) : 0.000290573
Ingat!!

 Return Portofolio
~r =w ~r +w ~r +…+ w ~r
p 1 1 2 2 n n

 Varians portofolio
σ 2p=var ( ~r p )=w1 σ 21 +w 2 σ 22+2 w 1 w 2 σ 12
 Risk portofolio
σ p= √ σ p
2

Dengan menggunakan bantuan Excel Solver maka dapat dipecahkan risiko minimal yang
didapat pada tingkat return 1% sampai 30% sebagai berikut.

Return
Risk Port
Req Port
(σp)
Return weigth check Var port (rp)
  w1 w2 w3        
0.01 -2.95263 5.028175 -1.07554 1 0.003716 0.060958435 0.01
0.02 -7.23358 10.88241 -2.64883 1 0.014103 0.118756871 0.02
0.03 -11.5145 16.73665 -4.22212 1 0.031273 0.176840908 0.03
0.04 -15.7955 22.5909 -5.79541 1 0.055225 0.234998957 0.04
0.05 -20.0764 28.44513 -7.3687 1 0.085958 0.29318675 0.05
0.06 -24.3574 34.29937 -8.94198 1 0.123475 0.351389701 0.06
0.07 -28.6383 40.1536 -10.5153 1 0.167773 0.409601293 0.07
0.08 -32.9193 46.00784 -12.0886 1 0.218854 0.467818294 0.08
 0.09 -37.2002 51.86208 -13.6619 1 0.276717 0.526038924 0.09
0.1 -41.4812 57.71632 -15.2351 1 0.341362 0.584262089 0.1
0.11 -45.7621 63.57056 -16.8084 1 0.41279 0.642487091 0.11
0.12 -50.0431 69.4248 -18.3817 1 0.490999 0.700713483 0.12
0.13 -54.324 75.27903 -19.955 1 0.575991 0.758940948 0.13
0.14 -58.605 81.13327 -21.5283 1 0.667766 0.817169248 0.14
0.15 -62.886 86.98755 -23.1016 1 0.766323 0.875398583 0.15
0.16 -67.1669 92.84175 -24.6749 1 0.871661 0.933627746 0.16
0.17 -71.4478 98.69599 -26.2482 1 0.983782 0.991857714 0.17
0.18 -75.7288 104.5503 -27.8215 1 1.102686 1.050088481 0.18
0.19 -80.0097 110.4045 -29.3947 1 1.22837 1.108318728 0.19
0.2 -84.2907 116.2587 -30.968 1 1.360838 1.166549646 0.2
0.21 -88.5717 122.113 -32.5413 1 1.500089 1.224781307 0.21
0.22 -92.8526 127.9672 -34.1146 1 1.64612 1.283012163 0.22
0.23 -97.1335 133.8214 -35.6879 1 1.798935 1.341243702 0.23
0.24 -101.415 139.6757 -37.2612 1 1.958533 1.399475945 0.24
0.25 -105.695 145.5299 -38.8345 1 2.12491 1.457707187 0.25
0.26 -109.976 151.3842 -40.4078 1 2.298073 1.515939741 0.26
0.27 -114.257 157.2384 -41.981 1 2.478015 1.57417116 0.27
0.28 -118.538 163.0926 -43.5543 1 2.664741 1.632403294 0.28
0.29 -122.819 168.9469 -45.1276 1 2.858248 1.690635512 0.29
0.3 -127.1 174.8011 -46.7009 1 3.058539 1.748867801 0.3

ket :

rr : Req Return

w: bobot

check : Jumlah tigas bobot harus 1

e: Port Varians

σp : Port risk

rp : Return portofolio

Kesimpulan
 misalnya jika kita ingin menginginkan untung sebesar 1% dari investasi pada 3 saham ini
maka :

jika memiliki uang sebanyak 10$ kita akan berinvestasi sebesar:

1. Short cell sebanyak 7,2$ pada saham HMC

2. Beli sebanyak 10,8$ pada saham YAMHF

3. Short cell sebanyak 2,6$ pada saham SZKMF

Dangan resiko portofolio paling minimun yaitu sebesar 6%.

Begitu juga dengan yang lainnya.

Dengan grafik sebagai berikut

SOAL 4

Pada portofolio 3 emiten tunjukkan risiko portofolio yang paling minimal di setiap return
portofolio yang diinginkan dengan perhitungan matriks.

Penyelesaian

Hal-hal yang harus diperhatikan saat mencari matriks w:

Matriks Return (R)

Matriks Votalitas (V)

Dimana,
Dengan menggunakan matlab maka di dapat hasil sebagai berikut:
Untuk rp = 0%
Untuk rp =1%

Untuk rp=2%
Untuk rp=3%

 Untuk rp=4%
  Untuk rp=5%

Catatan :
Misalnya jika kita ingin menginginkan untung sebesar 10% dari investasi pada 3 saham
ini maka :
jika memiliki uang sebanyak 100$ kita akan berinvestasi sebesar:
1. Short cell sebanyak 41.5$ pada saham HMC
2. Beli sebanyak 57.7$ pada saham YAMHF
3. Short cell sebanyak 15.2$ pada saham SZKMF
Dangan resiko portofolio sebesar 58%
Grafik yang didapat dengan kombinasi keuntungan adalah sebagai berikut.

Dengan tabel.

σp rp
0.0105 0
0.5843 0.1
1.1666 0.2
1.7489 0.3
2.3312 0.4
2.9135 0.5
 SOAL 5
Carilah Beta dari ketiga emiten yang dipilih.
Penyelesaian:

Maka diperlukan historical data dari indeks saham gabungan japan (Nikkei 225).
Tabel 1. Data historis harga indeks gabungan saham harian selama 91 hari mulai
dari tanggal 3 oktober 2022 sampai 17 februari 2023
Date Open High Low Close Adj Close Volume
10/3/2022 1973.5 1980.5 1950 1978 1978 91400
10/4/2022 1995 2005 1993 2002 2002 13300
10/5/2022 2009.5 2010 1987.5 1992 1992 13300
10/6/2022 1992 1993 1974.5 1979.5 1979.5 22200
10/7/2022 1967.5 1978.5 1960 1964 1964 11600
10/11/2022 1951.5 1957.5 1948.5 1952.5 1952.5 21100
10/12/2022 1954.5 1959.5 1953 1958.5 1958.5 3600
10/13/2022 1945 1945 1928 1933 1933 111400
10/14/2022 1944 1948 1928 1930 1930 20300
10/17/2022 1920.5 1922 1903 1914.5 1914.5 46500
10/18/2022 1924.5 1925 1901.5 1907 1907 66500
10/19/2022 1908.5 1908.5 1889.5 1892 1892 108000
10/20/2022 1889 1895 1885.5 1893 1893 12200
10/21/2022 1895 1895 1878 1887 1887 43200
10/24/2022 1890.5 1890.5 1875 1875 1875 77100
10/25/2022 1875 1895.5 1875 1894.5 1894.5 17900
10/26/2022 1904.5 1955.5 1904.5 1953 1953 99900
10/27/2022 1961.5 1982 1945 1981 1981 28300
10/28/2022 1968 1991.5 1965.5 1986.5 1986.5 31200
10/31/2022 1992.5 2010.5 1984 1997.5 1997.5 43700
11/1/2022 2001.5 2026 1984.5 2025 2025 191900
11/2/2022 2030 2030 1988 1995 1995 28800
11/4/2022 1979.5 1995 1973 1975.5 1975.5 216900
11/7/2022 1980.5 1980.5 1950 1955 1955 38700
11/8/2022 1963.5 1973.5 1963.5 1966 1966 4100
11/9/2022 1973 1975 1964.5 1966 1966 6400
11/10/2022 1970.5 1972 1963.5 1968 1968 10800
11/11/2022 1996 2008.5 1988 1996.5 1996.5 32300
11/14/2022 2004.5 2004.5 1965.5 1973.5 1973.5 17500
11/15/2022 1972 1972 1961 1965 1965 60900
11/16/2022 1970 1970 1961 1965 1965 4100
11/17/2022 1963.5 1977 1963.5 1969 1969 3900
11/18/2022 1978 1978 1964 1971.5 1971.5 3500
11/21/2022 1971.5 1993 1971.5 1988 1988 13200
11/22/2022 1995 1995 1970 1971 1971 81700
11/25/2022 1988.5 1991 1980.5 1980.5 1980.5 12800
11/28/2022 1990 1995.5 1986 1992 1992 10100
11/29/2022 1999 2001 1993.5 1998.5 1998.5 27200
11/30/2022 2000 2002 1989.5 1993 1993 3400
12/1/2022 1998.5 2001 1967 1968 1968 139500
12/2/2022 1991 1991 1956.5 1956.5 1956.5 162100
12/5/2022 1956 1964.5 1952 1961 1961 69600
12/6/2022 1961 1967.5 1958 1965 1965 54600
12/7/2022 1970 1971 1963.5 1971 1971 116900
12/8/2022 1964.5 1970 1950 1965.5 1965.5 10200
12/9/2022 1965.5 1970.5 1958 1961.5 1961.5 79600
12/12/2022 1962.5 1962.5 1953 1960.5 1960.5 18900
12/13/2022 1964 1964 1949.5 1953 1953 60200
12/14/2022 1958 1973 1952.5 1967.5 1967.5 39400
12/15/2022 1961 1973 1961 1973 1973 20800
12/16/2022 1973 2000 1971.5 1998 1998 70100
12/19/2022 1993.5 1993.5 1965 1966 1966 11500
12/20/2022 1964.5 1969.5 1847.5 1869 1869 239100
12/21/2022 1875.5 1915 1870 1896.5 1896.5 102000
12/22/2022 1896.5 1923 1896.5 1920.5 1920.5 22200
12/23/2022 1920.5 1920.5 1891 1901.5 1901.5 13900
12/27/2022 1904 1917 1898 1914.5 1914.5 63400
12/28/2022 1914 1930 1914 1922.5 1922.5 26500
12/29/2022 1931 1931 1915.5 1923 1923 15300
12/30/2022 1924 1935 1924 1926 1926 15900
1/4/2023 1916.5 1917 1906 1907.5 1907.5 121500
1/5/2023 1905 1908.5 1869 1885 1885 28700
1/6/2023 1878.5 1881 1861.5 1869 1869 39100
1/10/2023 1870 1880 1867.5 1879 1879 33300
1/11/2023 1883.5 1888 1876.5 1879.5 1879.5 17100
1/12/2023 1879 1879.5 1865.5 1871.5 1871.5 35200
1/13/2023 1871.5 1879 1858.5 1859.5 1859.5 125600
1/17/2023 1842.5 1842.5 1819 1826.5 1826.5 109600
1/18/2023 1837.5 1880.5 1817.5 1848.5 1848.5 109700
1/19/2023 1833 1833.5 1812 1816 1816 54300
1/20/2023 1808 1827 1804 1819 1819 235700
1/23/2023 1826.5 1845.5 1826.5 1836.5 1836.5 37200
1/24/2023 1850 1867 1850 1867 1867 40600
1/25/2023 1870 1876 1855.5 1858 1858 19700
1/26/2023 1863 1863 1842.5 1854.5 1854.5 22800
1/27/2023 1852 1875.5 1852 1872.5 1872.5 25700
1/30/2023 1878.5 1888 1878.5 1885.5 1885.5 13100
1/31/2023 1885 1885.5 1851 1854 1854 55900
2/1/2023 1865 1870 1857 1861 1861 14200
2/2/2023 1861 1866 1846 1856.5 1856.5 36000
2/3/2023 1853 1860 1844 1853 1853 23300
2/6/2023 1860 1872 1860 1868 1868 21700
2/7/2023 1872 1872 1861 1861 1861 80200
2/8/2023 1860 1863 1848 1860 1860 54600
2/9/2023 1857.5 1860 1849.5 1854 1854 81300
2/10/2023 1853 1853 1840 1847.5 1847.5 52600
2/13/2023 1847.5 1850 1840.5 1844.5 1844.5 19800
2/14/2023 1840 1860 1840 1860 1860 24400
2/15/2023 1854 1854 1834.5 1839 1839 29500
2/16/2023 1841.5 1852 1841.5 1850 1850 21100
2/17/2023 1847.5 1852 1836 1850 1850 31700

Hal-hal yang diperlukan untuk mencari Beta

Return
Date Nikkei
225 HMC YAMHF SZKMF
10/3/2022        
0.01213 0.02502 0.00906
10/4/2022
3 2 7 0
-
10/5/2022
-0.005 0.01308 0 0
- 0.03118
10/6/2022
0.00628 -0.0053 4 0
- -
10/7/2022
0.00783 0.00933 -0.0041 0
- - -
10/11/2022
0.00586 0.01748 0 0.00347
0.00307
10/12/2022
3 -0.0073 0 0
- 0.02481 0.00566 -
10/13/2022
0.01302 6 1 0.01043
- -
10/14/2022
0.00155 0.01256 0 0
- 0.00817 -
10/17/2022
0.00803 4 0.01638 0
10/18/2022 - - 0.02861 0
 0.00392 0.01171 6
- -
10/19/2022
0.00787 0.00775 0 0
0.00052 - 0.00101
10/20/2022
9 0.00459 2 0
- 0.01522 0.01414
10/21/2022
0.00317 8 9 0
- 0.00090
10/24/2022
0.00636 9 0 0
0.02270
10/25/2022
0.0104 7 0 0
0.03087 0.01154
10/26/2022
9 5 0 0
0.01433 - 0.01295
10/27/2022
7 0.00834 5 0
0.00277 0.01062 0.05942
10/28/2022
6 4 0 5
0.00553 - 0.01025
10/31/2022
7 0.00044 0 3
0.01376 0.00657 0.02410
11/1/2022
7 3 2 0
-
11/2/2022
0.01481 0 0 0
- 0.02089
11/4/2022
0.00977 7 0 0
- 0.00170 0.08549
11/7/2022
0.01038 6 5 0
0.00562 0.00851 0.08053 0.08537
11/8/2022
7 4 1 3
- -
11/9/2022
0 0.05614 0.00696 0
0.00101 0.04830 0.03092
11/10/2022
7 1 8 0
0.01448 0.02303
11/11/2022
2 7 -0.0128 0
- - -
11/14/2022
0.01152 0.01585 0.03566 0
- 0.00805 0.03193
11/15/2022
0.00431 1 3 0
-
11/16/2022
0 0.01051 0 0
0.00203 0.00169
11/17/2022
6 9 0 0
0.00848
11/18/2022
0.00127 2 0 0
0.00836 -
11/21/2022
9 0.00547 0 0
 - 0.01395 -
11/22/2022
0.00855 3 0.02728 0
0.00482 0.01876 - 0
11/25/2022
6 0.01298
0.00580 - 0 0
11/28/2022
7 0.00901
0.00326 - 0 0
11/29/2022
3 0.00454
- 0.01659 0.03095 0
11/30/2022
0.00275 8 8
- 0.00408 0 0
12/1/2022
0.01254 2
- - 0 0
12/2/2022
0.00584 0.01748
0.0023 - - 0
12/5/2022
0.01572 0.02098
0.00204 - 0.01638 0
12/6/2022
0.00378 7
0.00305 0.00632 0.00289 -
12/7/2022
3 9 4 0.04208
- 0.00167 0.02638 0
12/8/2022
0.00279 7 1
- 0.00209 0 0
12/9/2022
0.00204 3
- 0.00334 - 0
12/12/2022
0.00051 2 0.02008
- 0.01249 0 0
12/13/2022
0.00383
0.00742 - 0.00245 0
12/14/2022
4 0.01028 9
0.00279 - 0 0
12/15/2022
5 0.01205
0.01267 - -0.0507 0
12/16/2022
1 0.00883
- - 0 -
12/19/2022
0.01602 0.00339 0.02555
- -0.0017 0.02368 0.00147
12/20/2022
0.04934 7 3
0.01471 -0.0209 - 0
12/21/2022
4 0.03492
0.01265 - - 0
12/22/2022
5 0.00087 0.01264
- 0.00784 0 0
12/23/2022
0.00989 7
0.00683 - 0 0
12/27/2022
7 0.00865
12/28/2022 0.00417 - 0.04282 0
 9 0.02487 6
0.02460
12/29/2022
0.00026 9 -0.0707 0
- 0.04236
12/30/2022
0.00156 0.00175 9 0
- 0.02755
1/4/2023
0.00961 9 0.00306 0
- -
1/5/2023
-0.0118 0.00937 0.04096 0
- 0.02965 0.02816
1/6/2023
0.00849 2 9 0
0.00500
1/10/2023
0.00535 8 0 0
0.00026 - -
1/11/2023
6 0.00789 0.00795 0
- 0.03162
1/12/2023
0.00426 0.00879 6 0
- - 0.00302
1/13/2023
0.00641 0.02158 2 0
- 0.01696 0.03228
1/17/2023
0.01775 4 6 0
0.01204 - 0.02335 0.00617
1/18/2023
5 0.00751 3 8
- - -
1/19/2023
0.01758 0.00588 0.03504 0
0.00165 0.01225
1/20/2023
2 7 0 0
0.00962 0.00876 0.01604
1/23/2023
1 8 7 0
0.01660 - 0.00706
1/24/2023
8 0.00869 6 0
- 0.00584 0.00495 0.06725
1/25/2023
0.00482 5 3 1
- 0.00747 0.00328
1/26/2023
0.00188 2 0 8
0.00970 0.01318
1/27/2023
6 5 0 0
0.00694 - 0.00164
1/30/2023
3 0.01017 3 0
- 0.01972
1/31/2023
0.01671 1 0 0
0.00377 0.01974
2/1/2023
6 2 0.00656 0
- - 0.01181
2/2/2023
0.00242 0.00474 3 0
- -
2/3/2023
0.00189 0.02342 0 0
 0.00809 0.00201
2/6/2023
5 0 3 0
- 0.01056 - 0.05352
2/7/2023
0.00375 9 0.00884 3
- -0.0181 0.01337 0
2/8/2023
0.00054 7
- 0.00532 0 0
2/9/2023
0.00323 6
- 0.02404 0.0184 -
2/10/2023
0.00351 2 0.06869
- 0.01233 0.01767 -0.0103
2/13/2023
0.00162 6 5
0.00840 - - 0
2/14/2023
3 0.00943 0.04168
- 0.00079 0 0
2/15/2023
0.01129 4
0.00598 0.00356 0 0
2/16/2023
2 9
0 0.00908 0 0
2/17/2023
7
 1. BETA HMC (β 1)
σ1M −6.36545E-06
β 1= 2
= =−0.061519733
σ M
0.00010347

2. BETA YAMHF ( β 2)
σ2 M −1.91734E-05
β 2= 2
= =−0.18530406
σ M
0.00010347

3. BETA SZKMF (β 3)
σ3 M 1.06072E-05
β 3= 2
= =0.102514605
σ M
0.00010347

Kesimpulan
Maka untuk saham yang memiliki beta positif jadi setiap kali indeks saham pada ihsj jepang
naik maka saham tsb naik sdgkan untuk beta mines maka akan berbanding terbalik dgn beta yang
positif