Tiara Shofi Edriani, Udjianna Sekteria Pasaribu, Yuli Sri Afrianti, Ni Nyoman Wahyu Astute
One of the major telecommunication and network service providers in Indonesia is PT Indosat Tbk. During the coronavirus (COVID-19) pandemic, the daily stock price of that company was influenced by government policies. This study addresses stock data movement from February 5, 2020 to February 5, 2021, resulted in 243 data, using the Geometric Brownian motion (GBM). The stochastic process realization of this stock price fluctuates and increases exponentially, especially in the 40 latest data. Because of this situation, the realization is transformed into log 10 and calculated its return. As a result, weak stationary in variance is obtained. Furthermore, only data from December 7, 2020 to February 5, 2021 fulfill the GBM assumption of stock price return, as Rt1∗, t1∗ = 1, 2, 3, …, 40. The main idea of this study is adding datum one by one as much as 10% - 15% of the total data Rt1∗, starting from December 4, 2020 backwards. Following this procedure, and based on the 3% < p-value < 10%, the study shows that its datum can be included in Rt1∗, so t1∗ = −4. −3, −2, …, 40 and form five other data groups, Rt2∗, …, Rt6∗. Considering Mean Absolute Percentage Error (MAPE) and amount of data from each group, Rt6∗ is selected for modelling. Thus, GBM succeeded in representing the stock price movement of the second most popular Indonesian telecommunication company during COVID-19 pandemic. © Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence.
Study Program of Mathematics, Institut Teknologi Sumatera, Jl. Terusan Ryacudu, Lampung Selatan, 35365, Indonesia; Study Program of Mathematics, Institut Teknologi Bandung, Jl. Ganesha 10, Bandung, 40132, Indonesia
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