HERSUGONDO, Hersugondo (2021) Artikel Dr. HERSUGONDO, SE, MM: BLUE CHIP STOCKS VALUATION AND RISK PREDICTION ON THE INDONESIA STOCK EXCHANGE. Academy of Accounting and Financial Studies Journal, 25 (6).

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Abstract

Investment in the financial sector, especially stocks, is a type of investment that is
increasingly in demand by investors in Indonesia. Stock trading in Indonesia is centered on the
capital market called the Indonesia Stock Exchange (IDX). Every year, IDX issues an official
release of stocks that fall into the Blue Chip category stocks. These stocks have consistent profit
growth and established financial capabilities in paying dividends; therefore, Blue Chip stocks
are perceived as the best option to invest in. However, as price movements are difficult to
predict, investing in Blue Chip stocks is not without risk. To find out price movements and to
predict the risk of possible losses, the Geometric Brownian Motion and Value at Risk methods
were used. This study aims to forecast the price and measure the loss risk of Blue Chip stocks in
IDX. The results of the empirical study on the 5 Blue Chip stock period 07/30/20 - 04/14/21
showed that the GBM model was very accurate in predicting stock prices. At the 99% confidence
level, the possible losses for Blue Chip were in the range of 4.66%-5.96%.

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