SUMIRAT, VIANA (2015) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM MENGGUNAKAN SINGLE INDEX MODEL PADA INDEKS SAHAM SYARIAH INDONESIA (ISSI). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
This study aims to identify and analyze the stocks that form the optimal portfolio, the proportion of shares, return and risk in the Indonesian Islamic Stock Index with the period June 2013 to 2014. The population used in this study are listed and traded shares on the Stock Exchange and did not do the stock split during the study period. The method used in this study is a Single Index Model developed by Sharpe. Of the 251 sample stocks in Indonesia Sharia Stock Index shares will be selected to form the optimal portfolio with the criteria of having a positive ERB, ERB more than C* and have a positive beta value. Based on these criteria formed the optimal portfolio with 19 stocks listed. These shares is MKPI, BAJA, TCID, COIN, ELSA, FORU, KBLV, ANTM, GMTD, COWL, SIAP, SKBM, BUVA, CITA, STTP, AISA, AIMS, PTSP and PDES. This study concludes that investing in stocks optimal portfolio formed in this study provide a larger return when compared to investing in the money market. However, the risk to be borne also greater. Keywords : optimal portfolio , the single index model, the Indonesian Islamic stock index. Penelitian ini bertujuan untuk mengetahui dan menganalisa saham-saham yang membentuk portofolio optimal, proporsi saham, return dan risiko pada Indeks Saham Syariah Indonesia dengan periode Juni 2013 hingga 2014. Populasi yang digunakan dalam penelitian ini adalah saham perusahaan terdaftar dan diperdagangan di BEI serta tidak mengalami stock split selama periode penelitian. Metode yang digunakan dalam penelitian ini adalah Single Index Model yang dikembangkan oleh Sharpe. Dari 251 saham sampel dalam Indeks Saham Syariah Indonesia akan dipilih saham untuk membentuk portofolio optimal dengan kriteria memiliki ERB positif, nilai ERB lebih dari C* dan memiliki nilai beta positif. Berdasarkan kriteria tersebut terbentuk portofolio optimal dengan 19 saham yang masuk didalamnya. Saham-saham tersebut antara lain MKPI, BAJA, TCID, KOIN, ELSA, FORU, KBLV, ANTM, GMTD, COWL, SIAP, SKBM, BUVA, CITA, STTP, AISA, AIMS, PTSP dan PDES. Penelitian ini memberikan kesimpulan bahwa berinvestasi pada saham portofolio optimal yang dibentuk pada penelitian ini memberikan return yang lebih besar jika dibandingkan dengan berinvestasi di pasar uang. Namun risiko yang harus ditanggung juga lebih besar. Kata kunci: portofolio optimal, single index model, indeks saham syariah indonesia.
| Item Type: | Thesis (S2) |
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| Call Number CD: | CDT-551-15-204 |
| NIM/NIDN Creators: | 55111110110 |
| Uncontrolled Keywords: | optimal portfolio , the single index model, the Indonesian Islamic stock index,portofolio optimal, single index model, indeks saham syariah indonesia, MKU, Manajemen keuangan |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | UMMI RAHMATUSSYIFA |
| Date Deposited: | 07 Apr 2022 07:35 |
| Last Modified: | 05 Jul 2022 02:41 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/59609 |
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