PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL (STUDI PADA SAHAM-SAHAM JAKARTA ISLAMIC INDEX PERIODE 2007-2009)

Diecel, Shiraturrezky (2010) PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL (STUDI PADA SAHAM-SAHAM JAKARTA ISLAMIC INDEX PERIODE 2007-2009). Other thesis, University of Muhammadiyah Malang.

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Abstract

The aim of the study, entitled Establishment of Optimal Portfolios With Single Index Models (Studies in Stocks-Stock Jakarta Islamic Index Period 2007-2009) include: 1) To identify stocks that form the optimal portfolio and the level of the proportion of shares which are formed respectively. 2) To determine the level of returns and risks of the stock that is formed. Methods of data analysis using single index model. The data is secondary data analyzed by a panel composed of data from member firms JII shares for three years. Periodic data between the years 2007-2009 in a monthly period. The chosen sample of 9 (Nine) issuers. In forming an optimal portfolio among other calculations necessary to calculate the value of E (Ri), E (Rm), the value of beta, alpha, systematic risk and unsystematic, tilapia ERBi, values Ai, Bi and Ci. Based on the calculation and analysis of data from nine stock shows that stocks that have formed in the optimal portfolio of six stocks AALI, BUMI, INTP, KLBF, PTBA, UNVR these securities because they have a value greater than the point ERBi Ci. From the calculation it can be concluded that the shares which are formed in the optimal portfolio has a proportion of funds in the amount AALI (14.52%), BUMI (7.67%), INTP (31.59%), KLBF (1.37%), PTBA (25.53%), UNVR (19.33%). From the optimal portfolio that is formed can be calculated rate of return of the portfolio amounted to 4.435% * with the risk of the portfolio amounted to 0.332%. Advice for stock investors should choose the six that form the optimal portfolio to invest in the Jakarta Islamic Index due to its high-value return on tingka particular risk. And for the next researcher who recommended prior to performing similar studies more attention to variables associated with interest rate in accordance with Islamic investment concept.

Item Type: Thesis (Other)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Economic > Department of Management
Depositing User: Rayi Tegar Pamungkas
Date Deposited: 11 Apr 2012 04:10
Last Modified: 11 Apr 2012 04:10
URI: http://eprints.umm.ac.id/id/eprint/2059

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