Perbandingan kinerja portofolio saham syariah model black-litterman view arima-arch, mean variance dan capm pada pasar bullish dan bearish

Widodo, Bima Wahyu (2017) Perbandingan kinerja portofolio saham syariah model black-litterman view arima-arch, mean variance dan capm pada pasar bullish dan bearish. Masters thesis, Institut Pertanian Bogor.

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Abstract

Indonesian middle class has grown significantly over the last few years, but less than ten percent of them has invested their fund. They are very potential to invest their fund in stock exchange so that the industry of stock exchange investment does have to depend on foreign investors. At the moment, the new effect account of is about five hundred investors, while based on the data taken from Deposit Insurance Agency (2015), there are more than three point half million bank accounts whose their deposit is more than one hundred million rupiah in which of that number, two millions have deposit above five billion rupiah. This number is more than enough to invest in Indonesia Stock Exchange. One of the ways to increase the role of middle up class in Indonesia is by forming islamic stock exchange because most of people in Indonesia are moslem. According to the expert, islamic stock has low risk against the crisis compared to non islamic stock because the regulation of debt composition limitation is based on the interest of islamic company issuers. Moreover, the islamic share is very desirable by middle east investors. At present, the number of islamic share has reached 336 issuers with the capitalization value of 56.4% from the capitalization of total share in stock exchange. There will be an investion simulation in stock exchange in this research by using the stock portfolio diversification method which predicts the stocks with positive return. Stocks selected are the stocks which can be invested in a long term period. The aims of this research were: 1) analyze the performance of individual stocks in the portfolio as sample syariah based on data from observations in 2013-2016 2) to form the portfolio combination of optimal islamic share using the method of Black-Litterman with ARIMA-ARCH in bullish and bearish market condition 4) to compare the formed portfolio performance of islamic shares with some benchmark indices. The result of this research showed that the forecast of share return of ARIMA and ARCH model can be used as the input of Black-Litterman model view and can determine the trust level of share forecasting based on the value of Mean Absolute Deviation using the Model of ARIMA-GARCH on Black-Litterman Portfolio during 4 weeks at the bullish condition and 4 weeks at the bearish condition in which this can generally give a performance above Mean Variance, Black-Litterman non view and the benchmark index, like IHSG, JII, and LQ45

Item Type: Thesis (Masters)
Uncontrolled Keywords: ARIMA-ARCH, black-litterman, portofolio optimal, saham syariah portofolio optimal, saham syariah, Black-Litterman, ARIMA-ARCH
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 13 Feb 2019 03:28
Last Modified: 13 Feb 2019 03:28
URI: http://repository.sb.ipb.ac.id/id/eprint/3268

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