Penentuan Portofolio Optimal Dengan Model Index Tunggal Studi Pada Saham-Saham Jakarta Islamic Index

Fibiyanti, Nurhaini (2008) Penentuan Portofolio Optimal Dengan Model Index Tunggal Studi Pada Saham-Saham Jakarta Islamic Index. Other thesis, University of Muhammadiyah Malang.

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Abstract

This research is a descriptive study on Jakarta Islamic Index share listing at Indonesian Stock Exchange. And the title is ”The Optimal Portfolio Share Desition With Single-Index Model Study On Jakarta Islamic Index Shares”. The objectives of this research are to analyze Jakarta Islamic Index shares listing at Indonesian Stock Exchanges, to form and to choose optimal portfolio share. The result shows that Jakarta Islamic Index share return is 4.23% while the risk 15.56%. Highest return is reached by BUMI share with 18.88% and lower return is reached by SMGR share with -15.02%. For the risk, the lower is a reached by KLBF share with 3.45% and the highest risk reached by SMGR share with 43.01%. For the shape portfolio based on the Single-Index Model, 12 portfolio share providing optimal, which are: PTBA (Tambang Batu Bara Bukit Asam Tbk), PGAS (Perusahaan Gas Negara Tbk), ISAT (Indosat Tbk), UNTR (United Tractors Tbk), INCO (International Nickel Indonesia Tbk), SMCB (Holsim Indonesia Tbk), BUMI (Bumi Resources Tbk), ANTM (Aneka Tambang (Persero) Tbk), INTP (Indocement Tunggal Prakarsa Tbk), BLTA (Berlian Laju Tanker Tbk), SMAR (Smart Tbk) and LSIP (PP. Londom Sumatera Tbk). The composition for each share is PTBA (22.67%), PGAS (55.07%), ISAT (-43.92%), UNTR (-16.26%), INCO (24.29%), SMCB (33.71%), BUMI (17.22%), ANTM (21.83%), INTP (-13.94%), BLTA (10.82%), SMAR (-10.24%) and LSIP (-1.2%). The portfolio share formed with composition that contributes to portfolio return is 34.29% and the risk is 5.48%. Based on the above conclusion, research suggests investor to choose share providing in portfolio optimal because that shares will give maximal return with minimal risk. While for the next research, to support optimal portfolio, it is better to use sensitive analysis. This analysis is used to see the development of an organization and what factors affecting share price. Besides, the data used is daily share price, because the daily share price is fluctuative. Thus, the needed return is more accurate when it is compared with monthly close price share.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economic > Department of Accounting
Depositing User: Anggit Aldila
Date Deposited: 03 May 2012 06:51
Last Modified: 03 May 2012 06:51
URI: http://eprints.umm.ac.id/id/eprint/4127

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