Pembentukan Portofolio Optimal Berdasarkan Model Indeks Tunggal Pada Saham Indeks Idx30 Di Bei

Wahyuni, Nyoman Candra Tri; Darmayanti, Ni Putu Ayu

doi:10.24843/ejmunud.2019.v08.i06.p19

Cited by 8 publications

(9 citation statements)

References 2 publications

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“…Return aktual menggunakan data historis yang telah terjadi dan berfungsi sebagai salah satu pengukur kinerja perusahaan dan pertimbangan bagi investor untuk memiliki saham perusahaan. Rumus menghitung return saham aktual adalah dengan asumsi return melihat ke periode sebelumnya (Wahyuni & Darmayanti, 2019):…”

Section: Actual/realized Returnunclassified

Analisis Perbedaan Return Saham Sebelum dan Sesudah Hari Libur Akhir Tahun

Firdaus

Helty

2021

JIAK

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Stock returns experience movements based on fluctuating stock prices. This research aims to identify whether there is a disparity in stock returns before the year-end holidays and after the end of the year on the Indonesia Stock Exchange. This research method is carried out by collecting data on stock prices before the end of the year and stock prices after the end of the year from December 2016 to January 2021 by taking daily data (closing prices). The method of analysis used was SPSS software with descriptive statistics, normality test using Kolmogorov-Smirnov, and t test by using Paired Sample t-test. The outcome exhibit that the data were normally dispersed with the value of Asymp. Sig. 2-tailed of 0.200. In addition, the results of the hypothesis test with the t test resulted in a significance value of 0.636. This research indicates that there is no significant contrast in stock returns before & after the year-end holidays.

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Section: Actual/realized Returnunclassified

Analisis Perbedaan Return Saham Sebelum dan Sesudah Hari Libur Akhir Tahun

Firdaus

Helty

2021

JIAK

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“…This doesn't just apply to stocks of LQ45 Index. The IDX30 portfolio also experienced the same thing (Wahyuni and Darmayanti, 2019). It is stated that by forming an investor's portfolio can reduce his risk from the total risk of investing in a single security.…”

Section: Optimal Portfolio Risk Level Analysismentioning

confidence: 94%

Optimal Portfolio of Liquid 45 Stocks: Single Index Model Approach

Salam

Kurniasih

2021

IJSOC

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The purpose of this study is to analyze the return, risk, and optimal portfolio performance of LQ45 stocks formed by a single index model in the period August 2017-January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that out of 33 stocks that met the sample criteria, 3 stocks were selected to compile the optimal portfolio, namely BRPT, ICBP, and BBCA stocks. The stock had expected returns of 5.50%, 1.34%, and 2.02%, respectively, whit a risk of 12.87%, 4.75%, and 4.08%, respectively. The optimal portfolio formed has expected return of 2.60% and risk of 4.05%. After measuring performance with the Sharpe, Treynor, & Jensen approach, it is found that the performance of the portfolios that is formed is better than market performance.

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“…Menurut (Zahra, 2017) return adalah sebuah pendapatan yang diperoleh ketika presentasi dari perolehan awal tahun investasi return adalah investasi pendapatan dalam saham ini merupakan keuntungan diperoleh dari jual beli saham yang disebut capital gain dan jika rugi disebut capital loss (Wahyuni & Darmayanti, 2019). Menurut (Meriyanti & Putri, 2018), pengembalian (return) adalah hasil yang diperoleh seorang atau sebuah kelembagaan dalam melakukan penginvestasian.…”

Section: Returnunclassified

“…Mengemukakan bahwa pasar modal berbeda-beda macam investasi yang disediakan dari masing-masing tingkat risiko. Pengaruh faktor internal maupun eksternal yang dihadapi oleh beberapa pihak perusahaan itu berbeda tingkat risiko yang disebabkan (Wahyuni & Darmayanti, 2019). Return yaitu kegiatan investasi yang mendatangkan hasil dan dalam menghadapi risk yang ditanggungnya itu merupakan salah satu faktor yang mana bisa memeotivasi investor untuk selalu berinvestasi dan mendapatkan imbalannya (Reza, Margana, Gede, & Artini, 2017).…”

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Analisis CAPM Dalam Pembentukan Portofolio Optimal Pada Jakarta Islamic Indeks Saat Resesi Di Indonesia

Kurniawan¹,

Suci²

2021

JAAiS

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The purpose of this study is to determine the optimal portfolio formation usingcapital asset pricing model analysis, besides that this study also calculates theproportion of funds in each company's stock and calculates the amount of realizedreturn and expected return as well as portfolio risk. The research design usedquantitative descriptive analysis. The population of this research is stocks that areincluded in the Jakarta Islamic Index (JII) during the recession in Indonesia,namely November 20, 2020 to May 31, 2021. By using the purposive samplingmethod in determining the sample criteria and obtained a number of 29 companiesas research samples. The method in forming the optimal portfolio uses the capitalasset pricing model. The results of the research are 29 companies that fall into theoptimal stock category, there are 12 companies including MDKA, JPFA, ANTM,TKIM, SCMA, EXCL, UNTR, AKRA, MNCN, CPIN, TLKM, PTPP and other sharesthere are 17 stocks that are not included in optimal stock category. Calculationsusing the CAPM method obtained a CAPM value of 0.01708 which means that thevalue of the rate of return on an asset in a company incorporated in the JakartaIslamic Index for the research period is 0.01708 with a market variance of 0.00062and a portfolio variance of 1.13500.

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Pembentukan Portofolio Optimal Berdasarkan Model Indeks Tunggal Pada Saham Indeks Idx30 Di Bei

Cited by 8 publications

References 2 publications

Analisis Perbedaan Return Saham Sebelum dan Sesudah Hari Libur Akhir Tahun

Analisis Perbedaan Return Saham Sebelum dan Sesudah Hari Libur Akhir Tahun

Optimal Portfolio of Liquid 45 Stocks: Single Index Model Approach

Analisis CAPM Dalam Pembentukan Portofolio Optimal Pada Jakarta Islamic Indeks Saat Resesi Di Indonesia

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