Jurnal Publikasi STMIK Pontianak

PCA Implementation in Identifying Risk and Return of LQ45 Stocks


Stock investing is a high-risk investment, so investors are constantly looking for ways to reduce risk while adapting returns. Lower risk stock groups are represented in Indonesia by the LQ45 index, which includes stocks with high liquidity, large capitalization, and good fundamentals. However, the index contains 45 members with varying risk and return. As a result, the price action analysis of the index's stock members is required to further reduce risk. This study employed principal component analysis to identify the index's various price action groups. PCA was used in Python 3 and produced two groups that explain 70.91% of the variance in the index's price movement. The stock groups derived from PCA were further analyzed, and ANOVA revealed that the groups differed significantly in return but not significantly in risk. The implemented PCA demonstrated potential return for a variety of investors interested in LQ45 stocks.

Kata Kunci : LQ45 Index, PCA, Price Action.

Jurnal Publikasi STMIK Pontianak By Irawan Wingdes, Sahrul Nurfaizi, Muhamad Rifki