Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

Širůček, Martin; Křen, Lukáš

doi:10.11118/actaun201563041375

Cited by 12 publications

(6 citation statements)

References 21 publications

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“…Ini menunjukkan semakin besar risiko melekat pada sejumlah saham akibat fluktuasi harga saham, semakin besar tingkat pengembalian yang diharapkan pada saham tersebut. Selain itu, CAPM memasukkan tingkat suku bunga aset bebas risiko (Rf) dan tingkat pengembalian portofolio pasar (Rm) dalam menetukan tingkat pengembalian yang layak atas suatu saham (Širůček & Křen, 2015;Matsuk, Shyiko, Danyliuk-Chernykh, & Tryshak, 2019 BI 7-Day Repo Rate dijadikan sebagai acuan dalam menentukan suku bunga pasar uang, bagi instrumen pasar uang yang mempunyai sifat transaksional, dan mendorong pendalaman pasar keuangan, khususnya penggunaan instrumen repo. Keuntungan sebesar tingkat suku bunga bebas risiko ini merupakan tingkat pengembalian yang akan diterima investor terlepas dari besar kecilnya risiko yang terkandung dalam sejumlah saham (pada beta sama dengan nol), sedangkan tingkat pengembalian merupakan tingkat pengembalian rata-rata dari seluruh kesempatan investasi (indeks pasar) (Setyawati, 2014).…”

Section: Pendahuluanunclassified

Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia

et al. 2021

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The purpose of this study is to determine the feasibility of investing in stocks with the largest capitalization on the Indonesia Stock Exchange. This study was analyzed using the Capital Asset Pricing Model approach. The data used is secondary data, namely the stock price and trading volume of companies indexed LQ45 for the period August 2019 – July 2021, the Composite Stock Price Index, and the Bank Indonesia 7 Days Repo Rate. The analyzed companies are 5 (five) companies that have the largest trading volume during the study period. The results of the study that PT. Aneka Tambang (Persero), Tbk has the highest rate of return. While the other two companies have negative returns, namely Perusahaan Gas Negara, Tbk and Telkom Indonesia (Persero) Tbk. Stocks of PT. Aneka Tambang (Persero), Tbk has the largest level of risk, while the company whose stocks have the smallest level of risk is Telkom Indonesia (Persero) Tbk. The excess returns of almost all stocks are positive, meaning that they are worth investing in, namely the stocks of PT. Aneka Tambang (Persero), Tbk, Perusahaan Gas Negara, Tbk, Tower Bersama Infrastructure Tbk. and stocks of Bank Rakyat Indonesia (Persero), Tbk. Inappropriate investment in stocks of Telkom Indonesia (Persero) Tbk. Stocks that are eligible to be purchased by investors are stocks that have a positive excess return. Keywords: Capital Asset Pricing Model, Investment, LQ45, Stocks. Abstrak Tujuan penelitian ini untuk mengetahui kelayakan investasi pada saham kapitalisasi terbesar di Bursa Efek Indonesia. Penelitian ini dianalisis dengan pendekatan Capital Asset Pricing Model. Data yang digunakan adalah data sekunder, yaitu harga saham dan volume perdagangan perusahaan terindeks LQ45 periode Agustus 2019 – Juli 2021, Indeks Harga Saham Gabungan, dan Bank Indonesia 7Days Repo Rate. Perusahaan yang dianalisis adalah 5 (lima) perusahaan yang memiliki volume perdagangan tersebesar selama periode penelitian. Hasil penelitian bahwa PT. Aneka Tambang (Persero), Tbk mempunyai tingkat pengembalian paling tinggi. Sedangkan dua perusahaan lainnya mempunyai tingkat pengembalian negatif, yaitu Perusahaan Gas Negara, Tbk dan Telkom Indonesia (Persero) Tbk. Saham PT. Aneka Tambang (Persero), Tbk mempunyai tingkat risiko terbesar, sedang perusahaan yang sahamnya mempunyai tingkat risiko terkecil adalah Telkom Indonesia (Persero) Tbk. Excess return hampir semua saham bernilai positif, artinya layak untuk diinvestasikan, yaitu saham PT. Aneka Tambang (Persero), Tbk, Perusahaan Gas Negara, Tbk, Tower Bersama Infrastructure Tbk. dan saham perusahaan Bank Rakyat Indonesia (Persero), Tbk. Investasi yang tidak layak ditanamkan pada saham Telkom Indonesia (Persero) Tbk. Saham yang layak untuk dibeli oleh investor adalah saham karena memiliki excess return positif. Kata kunci: Capital Asset Pricing Model, Investasi, LQ45, Saham

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Section: Pendahuluanunclassified

Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia

et al. 2021

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“…The question of fund allocation is still debated among scholars and practitioners. Sirucek & Kren (2015) allocated the funds based on mean returns of a share. What's more, they used random fund allocation among shares whereby the funds were allocated as per random number generated using computer.…”

Section: Related Literaturementioning

confidence: 99%

Trading Frequency Anomalies in Infant Markets: The Test for Returns and Sensitivity of Shares and Portfolios

Moh’d¹,

Ramasamy²,

Mohamed³

2019

JFRM

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Beta, as a measure of risk based on market prices of shares, has been widely debated and researched in the strong, semi-strong and weak markets. It has been proved that there is neither negative nor abnormal beta. Past studies rarely considered frontier and infant markets such as Dar es Salaam Stock Exchange (DSE) while studying beta and its behavior. By means of the corresponding closing share prices of 17 companies during a continuous 246-day trading period in 2018 extracted from DSE database, this study examines the trading frequency anomalies in infant markets by testing returns and sensitivity of shares and portfolios. Through computing the betas of DSE traded shares, this study has found many abnormalities. The shares showed infrequent trading like bonds. The prices were constant over a short period of time, and sometimes the shares were not traded at all. Due to this small volatility, the shares showed abnormal behavior which resulted in negative beta sometimes. We concluded that this could be due to two major reasons. Firstly, there is insufficient knowledge on the share market among the East African investors and the public, and secondly, the markets are rather young and the trading platforms and infrastructures are not so well-established. We, therefore, suggest the policy makers to optimize share trading in the region by considering the findings of this study.

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“…It is the focus of research by many economists, investment experts, and other professionals. Using Markowitz Portfolio Theory, construct optimum portfolios in the US stock market (MPT) [1]. The weights of various assets in the portfolio are used to compute the portfolio using the capital asset pricing model (CAPM).…”

Section: Introductionmentioning

confidence: 99%

Comparison of CAPM and Fama-French Three-Factor Model in Investment Portfolios Prediction

Hu¹,

You²,

Zhang³

2022

BCPBM

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Portfolio risk assessment is important for investors in portfolio design. Based on sound forecasts of market and company prospects, an accurate investment risk assessment can provide financial benefits to investors. By comparing the CAPM and the Fama-French three-factor model, a reasonable portfolio of investment risks is constructed by selecting five companies and one fund. The firefighter's pension problem is an example of considering the proportion of the pension that is retained and the investor's lifetime to hypothesize how the portfolio will maximize benefits under different scenarios. Portfolio forecasts based on different scenarios reflect a large extent the applicability of the chosen model to the actual situation, but it is still a challenge for investors to break away from the limitations of the data to take a more expansive view of the benefits and risks.

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Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

Cited by 12 publications

References 21 publications

Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia

Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia

Trading Frequency Anomalies in Infant Markets: The Test for Returns and Sensitivity of Shares and Portfolios

Comparison of CAPM and Fama-French Three-Factor Model in Investment Portfolios Prediction

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