Penerapan Model Rantai Markov untuk Memprediksi Probabilitas Return Saham Indosat (ISAT)

Authors

  • Riswandi Universitas Muhammadiyah Bulukumba
  • Fira Universitas Muhammadiyah Bulukumba
  • Dian Firmayasari S Universitas Muhammadiyah Bulukumba
  • Suriani M Universitas Muhammadiyah Bulukumba

DOI:

https://doi.org/10.30605/proximal.v9i1.7961

Keywords:

Return Saham, Rantai Markov, Indosat

Abstract

Pasar saham mempunyai peran penting dalam pembangunan nasional, menjadi sumber pembiayaan bagi dunia usaha atau masyarakat untuk investasi. Pergerakan saham adalah salah satu dari banyak masalah yang akan dihadapi selama proses investasi. Investor harus memprediksi return sahamnya karena pergerakan harga saham yang tidak pasti. Return saham Indosat menjadi objek dalam penelitian ini karena perusahaannya mampu menjaga fluktuasi saham. Penelitian ini merupakan penelitian kuantitatif dengan pendekatan deskriptif menggunakan analisis rantai Markov untuk memprediksi probabilitas perpindahan state return saham Indosat (ISAT) pada periode Maret–Mei 2025. Data yang digunakan berupa return harian saham ISAT. Hasil penelitian ini menunjukkan bahwa rata-rata return harian bernilai negatif dengan standar deviasi sebesar 5,54%. Prediksi satu periode ke depan menunjukkan probabilitas return naik sebesar 50%, sangat naik sebesar 25%,  turun sebesar 16,7%, dan sangat turun sebesar 8,3%. Prediksi probabilitas return saham untuk 5 periode ke depan hingga mencapai kondisi steady-state, menunjukkan hasil  probabilitas return naik sebesar 52,8%, sangat naik  sebesar 9 %, turun sebesar 24,7%, dan sangat turun sebesar 13,5%. Dengan demikian, analisis rantai Markov dapat memberikan gambaran kepada investor mengenai probabilitas return saham untuk jangka waktu tertentu berdasarkan ukuran data historis dan melalui pendekatan steady-state, sehingga dapat membantu  proses pengambilan keputusan investasi sesuai profil risiko masing-masing.

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References

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Published

2026-02-04

How to Cite

Riswandi, Fira, Firmayasari S, D., & Suriani M. (2026). Penerapan Model Rantai Markov untuk Memprediksi Probabilitas Return Saham Indosat (ISAT). Proximal: Jurnal Penelitian Matematika Dan Pendidikan Matematika, 9(1), 96–103. https://doi.org/10.30605/proximal.v9i1.7961

Issue

Vol. 9 No. 1 (2026): Volume 9 Nomor 1 Tahun 2026

Section

Articles

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Copyright (c) 2026 Riswandi, Fira, Dian Firmayasari S, Suriani M

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