Analisis pembentukan portofolio berbasis risk dan return pada saham-saham yang terdaftar di jakarta islamic index (jii) periode juni 2011-mei 2016

Yuliani, Fitria (2016) Analisis pembentukan portofolio berbasis risk dan return pada saham-saham yang terdaftar di jakarta islamic index (jii) periode juni 2011-mei 2016. Masters thesis, Institut Pertanian Bogor.

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Abstract

The background of this study is the lack of sharia capital market product that compared to total sharia product and conventional products. Until the end of December 2014, the market share of sharia mutual funds amounted 8.31% of the issuance and 4.92% of the net asset value. Number of outstanding sukuk amounted 9.14% of the issuance of sukuk and bonds. However, the market share of sharia stocks has reached 58.89% of the shares of all listed companies with a market capitalization around Rp. 2,946.89 trillion 56.37% of total market capitalization. Value market share of high stocks indicate that the shares of sharia is a promising investment instruments. In stock investing is need for a good understanding of the management of investment risk for capital market investors both Islamic and conventional. One strategy is the management of investment risk diversification strategy is to expand investment in various assets which are then referred to as a portfolio with a hope has spread overall investment risk. Minimum risk level can be achieved by forming an optimal portfolio. Jakarta Islamic Index (JII) as the stock exchanges of sharia provide a solution for investors who want to invest in halal, which in the formation of this index are the fundamental concept that must be met, namely: 1) wealth and clear ownership, 2) the prohibition of usury, 3) prohibition maysir (gambling) and gharar, and 4) regarding the contract or transaction. Terms stock selection JII more emphasis on the type of business issuers that do not conflict with Islamic law, by using a screening process and cleansing, including not firm was a gamble, not a conventional financial institutions, not businesses that produce, distribute and trade food / drink that are unclean and not a form of businesses that manufacture, distribute or provide goods or services that damage morale and harm nature. This study aims to: 1) analyze risk and return on stocks listed in the Jakarta Islamic Index (JII) with Markowitz model and Single Index Model, 2) form a stock portfolio that is optimal, 3) determine the composition of capital that can be invested, 4) analyzing risk and the return generated by the optimal portfolio, and 5) to formulate managerial implication can be useful for decision making to invest in Jakarta Islamic Index (JII). The fifth goal is expected to provide sufficient information for investors to invest in stocks JII. The approach used in this research is using Markowitz Model and Single Index Model, where data used consisted of monthly closing stock price data, composite stock price index and SBIS as yields on risk-free. Both of these models will be compared based on the portfolio is formed. The results showed that the stock investment by establishing a portfolio effectively reduce the level of risk of individual stocks. It is seen from the portfolio risk is smaller than the total risk of each stock. The formation of the portfolio with a Single Index Model generates one portfolio consisting of shares: UNVR (64.2%), LPKR (14.7%), ASRI (9.4%), LSIP (1.4%), INTP (5.8%) and SMGR (4.2%), while the Model Markowitz formed two portfolios consisting of shares: ASRI (4.52% and 4.3%), INTP (9.4% and 8.62%), LSIP (11.64% & 11.359%), SMGR (25.31% & 24.059%), and UNVR (49.1% & 51.649%). Based on these results it can be formulated managerial implications, namely: 1) Investors should make up the portfolio before making any investment in the shares due to effectively lower the level of risk, 2) From the analysis of the efficient frontier using data monthly return stock group JII recommended stocks that can selected by the investor is a stock ASRI, INTP, LSIP, SMGR, and UNVR with alternative proportions of the different funds. 3) For investors who do not like risk (risk averse) can choose a portfolio that has a risk level of the smallest is the level of risk that is formed on the portfolio using Single Index Model For investors who like risk (risk seekers) can choose the portfolio that is formed with the Markowitz model because it yields the greatest expected return to the level of risk is also high. 3) Based on testing going forward based on the Markowitz portfolio risk giving the smallest decline when the market is bearish, although on the other hand does not provide the greatest return in a bullish market condition. With the index or portfolio-based risk based markowitz and the single index, is expected to provide an alternative for investors who want to invest in stocks but tend to be risk averse or risk-averse.

Item Type: Thesis (Masters)
Additional Information: 10(14EK)Yul a
Uncontrolled Keywords: JII, Model Indeks Tunggal, Model Markowitz, Portofolio Optimal, JII, Single IndexModel, Markowitz Model, An Optimal Portfolio.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 15 Mar 2017 07:43
Last Modified: 25 Oct 2019 01:59
URI: http://repository.sb.ipb.ac.id/id/eprint/2862

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