Iswara, Sudono (2013) ANALISIS PEMBENTUKAN PORTOFOLIO SAHAM OPTIMAL DENGAN MENGGUNAKAN METODE INDEKS TUNGGAL DI BURSA EFEK INDONESIA (STUDI PADA SAHAM INDEKS KOMPAS 100). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
The development of Indonesian capital market is growing rapidly. But in which stock should the investors invested their funds to optimize returns and minimize risk? Creating optimal stocks portfolio is one way to do it .This research analyses optimalized stock portfolioperformance based on single index model in Indonesian capital market. The sample consist of public companies listed in the Indonesian Stock Exchange that were actively traded in Kompas 100 index between February 2008 until January 2013.The aim of this research was to know is there any statistical differences between the return and risk from the stock portfolio and stock not in portfolio. The period of portfolio was divided into semesters, years, and in total five years. The finding showed that between those three periods, the semester data had statistically differences between the return, and return to risk ratio, but not the risk, of the stock portfolio and stocks not in portfolio. Incapabality of the other two periods also showed that portfolio with shorter time period made a better performance than the longer period. Keyword: stock, portfolio, performance, single index model, kompas100 Perkembangan pasar modal di Indonesia sedang berkembang pesat. Tapi di saham mana dana investor harus ditempatkan untuk mengoptimalkan return dan meminimalisir risiko? Salah satu caranya adalah dengan membentuk portofolio saham optimal. Penelitian ini menganalisa optimalsasi performa portofolio saham berdasarkan model indeks tunggal di pasar modal Indonesia. Sampel berisi perusahaan publik terdaftar di Bursa Efek Indonesia yang aktif diperdagangkan pada indeks Kompas 100 antara Februari 2008 hingga Januari 2013. Tujuan dari penelitian ini adalah untuk mengetahui apakah ada perbedaan nyata antara return dan risiko dari saham-saham pada portofolio saham dan bukan portofolio saham. Periode portofolio dibagi menjadi per semester, per tahun, dan lima tahun. Hasil menunjukkan diantara ketiga periode tersebut, data per semester menunjukkan adanya perbedaan nyata dari return dan rasio return to risk, sementara tidak untuk risiko, antara portofolio saham dengan saham- saham yang tidak masuk portofolio. Ketidakmampuan 2 periode lain juga menunjukkan bahwa portofolio saham dengan rentang waktu yang lebih pendek menghasilkan kinerja yang lebih baik dibanding dengan periode yang lebih panjang.s Kata kunci: saham, portofolio, kinerja, model indeks tunggal, kompas100
| Item Type: | Thesis (S2) |
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| Call Number CD: | CDT-551-13-066 |
| Call Number: | TM/51/15/088 |
| NIM/NIDN Creators: | 55111110088 |
| Uncontrolled Keywords: | Stock, Portofolio, Performance, Single, Indekx Model, Kopas 100 Saham, Portofolio, kinerja, Model in, 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: | Admin Perpus UMB |
| Date Deposited: | 21 May 2015 14:00 |
| Last Modified: | 12 Jul 2022 03:26 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/15255 |
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