CONSTRUCTION OF OPTIMAL PORTFOLIO JAKARTA ISLAMIC STOCKS USING SINGLE INDEX MODEL TO STOCKS INVESTMENT DECISION MAKING
DOI:
https://doi.org/10.31933/dijdbm.v2i1.644Keywords:
JII Index, Optimal Portfolio, Single Index Model, TreynorAbstract
This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, namely (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E (Rp) 0.0128 is greater than the value of E (RM) 0.0003 and the value of the risk free rate is 0.0048. The value of ?p 0.0438 is greater than the value of ?2M 0.0364. The value of portfolio performance with the Treynor index is 0.0091.
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Hartono, J. (2014). Teori dan Praktik Portofolio dengan Excel. Jakarta: Salemba Empat.
Kempf, A., & Osthoff, P. (2007). The Effet of Socially Responsible Investing on Portfolio Performance. Eurpean Financial Management Vol. 13 No. 5, 908-922.
Medcom.id (2015, 09 30). Investasi Syariah Lebih Tahan Krisis Ketimbang Konvensional. Retrived 2020, from https://www.medcom.id/ekonomi/bursa/yNL00zvN-investasi-syariah-lebih-tahan-krisis-ketimbang-konvensional.
Mandal, N. (2013). Sharpe's Single Index Model and its Applicarion to Construct Optimal Portfolio: an Empirical Study. Great Lakes Herald Vol. 7 No. 1, 1-34.
Mary, J. F., & Rathika, G. (2015). The Single Index Model and The Construction of Optimal Portfolio with Cnxpharma Scrip. International Journal of Management Vol. 6 (1), 87-96.
Nurmayanti, P., & Novita, I. (2010). Dasar-Dasar Analisis Investasi dan Portofolio. Palembang: Citrabooks Indonesia.
Oktaviani, B. N., & Wijayanto, A. (2016). Aplikasi Single Index Model dalam Pembentukan Portofolio Optimal Saham LQ45 dan Jakarta Islamic Index. Management Analysis Journal 4 (1) (2015), 189-202.
Otoritas Jasa Keuangan. (2020). Statistik Pasar Modal. Dipetik Juli 2, 2020, dari http://www.ojk.go.id.
Samsul, M. (2015). Pasar Modal dan Manajemen Portofolio. Erlangga.
Septyanto, D., & Kertopati, B. (2014). Analisa Pembentukan Portofolio dengan Menggunakan Model Markowitz dan Single Index Model pada Saham yang Masuk dalam Indeks LQ45 di Bursa Efek Indonesia Tahun 2009-2013. Finance and Banking Journal Vol. 16 No. 2, 140-156.
Sihombing, P. (2018). Corporate Financial Management. Bogor: IPB Press.
Suroto. (2015). Analisis Portofolio Optimal Menurut Model Indeks Tunggal Studi Empiris pada Saham LQ 45 di Bursa Efek Indonesia Periode Agustus 2012-Juli 2015). Media Ekonomi dan Manajemen Vol. 30 No. 2 Juli 2015, 161-177.
Suryani, A., & Herianti, E. (2015). The Analysis of Risk Adjusted Return Portofolio Performance Share For LQ 45 Index in Indonesia Stock Exchange in 2010-2014 Periodes. Procedia Social and Behavioral Sciences Vol. 211, 634-643.
Tandelilin, E. (2010). Portofolio dan Investasi: Teori dan Aplikasi Edisi Pertama. Yogyakarta: Kanisius.
on the Performance of Employees Mediated by Organizational Citizenship Behaviour (OCB) (Case Study: PT Bank “X”, Tbk). Dinasti International Journal of Digital Business Management, 1(3), 315-327.
Suwatno dan Donni J, P. 2016. Manajemen SDM dalam Organisasi Publik dan Bisnis. Bandung: Alfabeta.
Yunarsih, Ni Komang. (2017). Pengaruh Gaya Kepemimpinan dan Budaya Organisasi Terhadap Kinerja Pegawai Melalui Mediasi Kepuasan Kerja pada Dinas Pekerjaan Umum Provinsi Bali. JAGADHITA: Jurnal Ekonomi & Bisnis, 4(1), 72-82.
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2020-12-10
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