ANALISIS PEMILIHAN INVESTASI PADAPORTOFOLIO OPTIMAL SAHAM DENGANPENDEKATAN SINGLE INDEX MODEL(Studi Pada Perusahaan Yang Listingdi Bursa Efek Indonesia)

SHARIFULLAH, YOSERIZAL (2010) ANALISIS PEMILIHAN INVESTASI PADAPORTOFOLIO OPTIMAL SAHAM DENGANPENDEKATAN SINGLE INDEX MODEL(Studi Pada Perusahaan Yang Listingdi Bursa Efek Indonesia). Other thesis, University of Muhammadiyah Malang.

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Abstract

The purpose of this study to analyze risk and return on the value of shares and the amount of return and risk existing market conditions and to select the optimal portfolio shares that provide maximum return with a certain risk or a certain rate of return with minimum risk to take investment decisions on listing companies on the Stock Exchange Indonesia. This research is a case study. Data analysis tool used is the Single Index Model. This model is able to identify the return and risk generated by each of the securities and markets. ERB values (Excess Return to Beta) in this method be used as an indicator for each of the securities to be positioned into the optimal portfolio candidates. If the value of Beta Excess Return to be greater than the cut-off rate (Ci) of the highest, it will be used as delimiters. Stocks that eventually enter the optimal portfolio is stocks with positive ERB and ERB value of securities is greater than the cut-off point. The next step, after the optimal portfolio is formed to calculate the proportion of funds should be invested in each security. Based on the results of a study of some 15 stocks based on criteria established as a purposive sample of existing sampling during periods of observation in February 2005 - January 2010. From this existing securities, it is known that the biggest return kspektasi 0.0557 and the lowest at 0.0091. The biggest risk to the risk of 0.1765 and 0.0878 for the smallest. Maximum market return occurred in April 2009 = 0.2015, whereas the minimum market return occurred in October 2008 = -0.3142. Market risk is 0.0805. However in this study could not form the optimal portfolio due to ERB entirely negative, which is influenced by macro economic conditions unfavorable. Conclusion of Single Index Model is very useful to analyze the data in the process of forming an optimal portfolio. In a volatile macroeconomic conditions should be used criteria for the index sample with more varied.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economic > Department of Accounting
Depositing User: Rayi Tegar Pamungkas
Date Deposited: 28 Mar 2012 03:24
Last Modified: 28 Mar 2012 03:24
URI: http://eprints.umm.ac.id/id/eprint/1323

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