Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

Abstract

Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII), KOMPAS100 Index, BISNIS-27 Index, PEFINDO25 Index and SRI-KEHATI Index, has a close relationship with the return Jakarta Composite,Index which is a reflection of the movement of all existing stock in the market. Return of stocks index that have the highest coefficient correlation is KOMPAS100 In dex, which have return index coefficient correlation is 0.949, thus KOMPAS100 Index that consisting of 100 stocks, based on the results of the study can be used as an alternative investment to get a return that is at least equal or close to the yield given by Jakarta Composite Index(IHSG) that consists of 445 stocks

Pengaruh Kapitalisasi Pasar Saham dan Variabel Makroekonomi terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia

“…Kapitalisasi merupakan sebuah indikator bursa yang diperoleh dari hasil perkalian jumlah saham dengan harga pasar saham. Perubahan kapitalisasi pasar dapat dipengaruhi oleh adanya perubahan harga dan penerbitan atau pengurangan saham di bursa (Mulyono, 2015). Pasca merger perkembangan kinerja BEI, seperti terlihat pada Tabel 1.…”

“More Valueble?” Portfolio Mix: Islamic Social Responsibility Stock

“…With the formation of the optimal portfolio from the SRI-Kehati Index and the ISSI, it can be said that H𝑜 is rejected and accepts H₁, that is, there is an optimal portfolio on the Sri Kehati Index and ISSI using the Single Index Model method. These results are under research conducted by Mulyono (2015), Defri and Dzulkirom (2017), Oktaviani and Wijayanto (2016), Khotim (2014), Diaz (2016), andZulkifli (2017).…”

“…This study's result is five stocks that form the portfolio composition of stocks listed on the SRI-Kehati Index and ISSI during the research period, namely INDF, JSMR, WIKA, AALI, and WTON. These results are by research conducted by Mulyono (2015), Defri and Dzulkirom (2017), Oktaviani and Wijayanto (2016), Khotim (2014), Diaz (2016), andZulkifli (2017) that the optimal portfolio can be formed using the Single Index Model. The return obtained from the portfolio with the Single Index Model has a higher value than the market's expected return.…”

Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia?

“…It is because the stocks within the Bisnis-27 Index are expected to have a positive return. It can be seen in the research by Mulyono (2015). The result indicated that Bisnis-27 Index return was highly and positively related to IHSG.…”