ABRAMI, RIZKAR (2021) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN PENDEKATAN MODEL INDEKS TUNGGAL DAN PERBANDINGAN VOLUME PERDAGANGAN PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to determine the combination, proportion, expected return and optimal portfolio risk that is formed and to determine the difference between the average trading volume of the group of stocks that are candidates and not optimal portfolio candidates. Single index model is used in determining the optimal portfolio by comparing excess return to beta (ERB) with the cut-off-rate (Ci). The population of this study were all stocks listed in the LQ45 index group in the period August 2014 to July 2019. The data sample was selected by purposive sampling. The sample criteria are stocks that are consistently listed on the LQ45 Index during the study period and there are 29 stocks that can be included in the criteria for selecting the research sample. Data analysis and testing is carried out by determining which stocks are included in the optimal portfolio and those that are not included in the optimal portfolio and comparing the average stock trading volume between stocks that are candidates for optimal portfolios with stocks that are not optimal portfolio candidates. From the calculation using the single index model, 8 stocks are included in the optimal portfolio. Where the expected profit level is 1.88% and the risk is 0.12%. The maximum potential loss from the formed portfolio is 10.4%. From the results of difference tests, it is known that there is a difference in the average trading volume between stocks that are included in the optimal portfolio candidate and stocks that are not included in the optimal portfolio candidate. Therefore, investors should choose stocks that are included in the optimal portfolio candidate. Keywords: Single Index Model, Optimal Portfolio, LQ45 Index, Expected Profit Rate, Portfolio Risk, Value at Risk, Trading Volu Penelitian ini bertujuan untuk menentukan kombinasi, proporsi, tingkat keuntungan yang diharapkan serta risiko portofolio optimal yang terbentuk dan mengetahui perbedaan antara rata-rata volume perdagangan kelompok saham yang menjadi kandidat dan bukan kandidat portofolio optimal. Model indeks tunggal digunakan dalam penentuan portofolio optimal dengan cara membandingkan excess return to beta (ERB) dengan cut-off-rate (Ci). Populasi dari penelitian ini adalah seluruh saham yang terdaftar dalam kelompok indeks LQ45 pada periode Agustus 2014 sampai dengan Juli 2019. Pemilihan sampel data dilakukan secara purposive sampling. Kriteria sampel adalah saham-saham yang konsisten selalu terdaftar di Indeks LQ45 selama periode penelitian dan terdapat 29 saham yang bisa masuk dalam kriteria pemilihan sampel penelitian. Analisis data dan pengujian dilakukan dengan menentukan saham-saham yang masuk ke dalam portofolio optimal dan yang tidak masuk ke dalam portofolio optimal serta membandingkan rata-rata volume perdagangan saham antara saham-saham yang menjadi kandidat portofolio optimal dengan saham-saham bukan kandidat portofolio optimal. Dari hasil perhitungan dengan menggunakan model indeks tunggal didapat 8 saham yang masuk ke dalam portofolio optimal. Dimana tingkat keuntungan yang diharapkan sebesar 1,88% dan risiko sebesar 0,12%. Potensi kerugian maksimal dari portofolio yang terbentuk sebesar 10,4%. Dari hasil uji beda diketahui bahwa terdapat perbedaan lebih besar rata-rata volume perdagangan antara saham-saham yang masuk kandidat portofolio optimal dengan saham-saham yang tidak masuk kandidat portofolio optimal. Oleh karena itu investor sebaiknya memilih saham-saham yang masuk ke dalam kandidat portofolio optimal. Kata Kunci : Model Indeks Tunggal, Portofolio Optimal, Indeks LQ45, Tingkat Keuntungan yg Diharapkan, Risiko Portofolio, Nilai Risiko, Volume Perdagangan.
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