ANALISIS PORTOFOLIO OPTIMAL SAHAM-SAHAM LQ45 MENGGUNAKAN SINGLE INDEX MODEL DI BURSA EFEK INDONESIA PERIODE 2013-2016

Authors

  • Sandy - Setiawan Sekolah Tinggi Ilmu Ekonomi Harapan Bangsa-Prodi Manajemen

DOI:

https://doi.org/10.61769/jabs.v1i2.170

Abstract

ABSTRACT

The purpose of this study is to determine the optimal portfolio composition with a single index model and determine whether there is the rationality of investors in making stock selection and determination of optimal portfolio. Realistic investors will investing not only in one type of investment, but diversify investments with the hope will be able to minimize risk and maximize return. Single Index Model used in the determination of the optimal portfolio by comparing the excess return to beta (ERB) with a cut-off-rate (Ci). Rationality of investors drawn from the decision of investors in choosing stocks from the optimal portfolios tend to have higher trading volumes than stocks that are not included in the optimal portfolios tend to have low trading volumes. The criteria of samples were stocks of companies listed and actively traded on the Indonesia Stock Exchange consistently entering into LQ45 index in the period 2013 to 2016 and was selected 25 stocks to be a samples. Data analysis and testing is done by determining the stocks that set into optimal portfolio and that do not set into the optimal portfolio and then compare the average frequency of trading volume among the LQ45 shares that set into optimal portfolio and that do not set the portfolio during the period 2013-2016. From the result of calculating using the Single Index Model, 17 shares gained entry into the optimal portfolio there are UNVR, AALI, AKRA, ICBP, GGRM, LSIP, BBCA, BBRI, KLBF, JSMR, BBNI, BSDE, LPKR, CPIN, INTP, UNTR dan INDF. Stocks that enter into the portfolio are stocks that have greater ERB value than Ci value its shares while the opposite is not into the optimal portfolio of stocks that have the ERB value smaller than its Ci value.From the results of different test indicates that there is a rationality of investors in the stocks selection and the formation of optimal portfolios with a single index model in Indonesia Stock Exchange. Therefore, investors should choose stocks that go into the optimum portfolio by considering the value of ERB and Ci values and tend not to see the volume of trade as a leading indicator of investment.

Author Biography

Sandy - Setiawan, Sekolah Tinggi Ilmu Ekonomi Harapan Bangsa-Prodi Manajemen

Departemen Manajemen - Secretary and Administration staff

References

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Published

2017-03-08

Issue

Vol. 1 No. 2 (2016)

Section

Articles

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