scholarly journals Analysis of Portfolio Expected Returns as a Material Consideration for Investors in Choosing Investments in the Pandemic Period (Formation of Optimal Portfolios Using the Black Litterman Model on Hang Seng Stocks for the 2017-2019 Period)

Academia Open ◽  
2021 ◽  
Vol 5 ◽  
Author(s):  
Wiji Rahayu ◽  
Wiwit Hariyanto
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Expected Returns ◽  
Expected Return ◽  
Model Method ◽  
Stock Portfolios ◽  
Company Limited ◽  
Available Information ◽  
Stock Investments ◽  
World Development

. This study attempts to find out how a method of Black Litterman in the formation of stock portfolios. This research was conducted on the basis of increasing the number of investors' funds in the capital market for certain stocks, showing that it increases positive sentiment on stock investments compared to other investments. The Black Litterman Model method is one of the options that can be used in the formation of portfolio. The Black Litterman model method is a method that formulates the existence of an element of return equilibrium and investor views in an investment. By using the Black Litterman Model, investors can take advantage of all available information as the basis for forming a maximum portfolio. The object of this research is Hang Seng (HSI) stock price data for the period 2017 – 2019. The research sample is 35 companies. The results of this study resulted in 10 stocks included in the Black Litterman model portfolio with the expected return on the portfolio (which consisted of 10 stocks with the Black Litterman model) of 0.062387. Where the highest proportion of returns given by Shenzhou International Group Holdings Limited (SEHK: 2313) is 23% and the expected return is 0.017933. While the lowest level is occupied by New World Development Company Limited (SEHK: 17) with a proportion of 1% and an expected return of 0.000687.

scholarly journals Optimization of Stock Portfolio Using the Markowitz Model in the Era of the COVID-19 Pandemic

2021 ◽  
Vol 5 (1) ◽  
pp. 37
Author(s):  
Aisha Hanif ◽  
Nur Ravita Hanun ◽  
Rizki Eka Febriansah
Keyword(s):  
Standard Deviation ◽  
Capital Market ◽  
Financial Literacy ◽  
Optimal Portfolio ◽  
Expected Return ◽  
Markowitz Model ◽  
Analysis Technique ◽  
High Return ◽  
Available Information ◽  
Stock Portfolio

Stocks are one of the popular investment instruments traded in the capital market. The popularity of stock purchase has developed along with the massive financial literacy movement. However, the massiveness of this movement must be balanced with knowledge and expertise in managing stock instruments since they have a high return rate and high risk. One way to manage stocks is by developing an optimal stock portfolio based on the Markowitz model. The Markowitz model is a method that formulates the elements of return and risk in an investment, and specifically the elements of risk can be minimized through diversification and combination of various investment instruments into a portfolio. By using the Markowitz method, investors can take advantage of all available information as a basis for maximizing the portfolio. This study aimed to determine which stocks can form an optimal portfolio, especially in the era of the COVID 19 pandemic and the optimal proportion of the portfolio that is feasible to obtain from stocks listed in the LQ 45 Index. The study samples involved stocks listed in the LQ 45 Index. The data analysis technique applied in this study was portfolio optimization using the Markowitz model. The results of this study showed that the optimal portfolio consisted of BBCA with a weight of 78.09% and BRPT with a weight of 21.91% which produced an expected return of 2.35% and a standard deviation of 7.01%.

scholarly journals ANALISIS INVESTASI SAHAM PERUSAHAAN GO PUBLIC SEKTOR PERTANIAN DI BURSA EFEK JAKARTA

2017 ◽  
Vol 11 (3) ◽  
pp. 391
Author(s):  
Artie Arditha ◽  
Endang Asliana
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Human Error ◽  
Stock Exchange ◽  
Portfolio Analysis ◽  
Investment Analysis ◽  
Statistical Software ◽  
Stock Investment ◽  
Stock Investments ◽  
Stock Price Movements

Investors, in a capital market, have to observe and analyze the companies’ stock price movements in order to minimize the risk in having stock investments. One of the techniques in analyzing companies’ performance is the stock investment analysis or portfolio analysis. By using the portfolio analysis, this research finds out the best combination of stock investment of PT PP London Sumatera Tbk. (LSIP) and PT Astra Agro Lestari Tbk. (AALI), as go public agricultural companies listed in Jakarta Stock Exchange. After finding the best combination of stock investment of those companies, this research also finds out whether the combination is at the optimum portfolio which would be on the least risk and a particular return or on the highest return and a particular risk. The research was held in 2006 and the data was taken from January 2004 to December 2005. The data was processed by using statistical software in order to minimize the human error. The result shows that there are two best combinations of stock investment on those companies. Those combinations are at the optimum portfolio. The first combination shows 30% of stock investment in LSIP and 70% stock investment in AALI, while the second combination shows 20% stock investment LSIP and 80% stock investment AALI. Investors should choose one of these combinations, because according to the research, these combinations would give them the best return at the least risk.

The Effect of Tax-Exempt Investors and Risk on Stock Ownership and Expected Returns

2010 ◽  
Vol 85 (3) ◽  
pp. 849-875 ◽  
Author(s):  
David A. Guenther ◽  
Richard Sansing
Keyword(s):  
Stock Price ◽  
Empirical Studies ◽  
Weighted Average ◽  
Expected Returns ◽  
Expected Return ◽  
Tax Rate ◽  
Tax Exempt ◽  
Shareholder Taxes ◽  
Empirical Tests ◽  
Dividend Tax

ABSTRACT: We investigate how shareholder taxes and risk preferences affect both a stock’s expected return, which reflects the capitalization of the dividend tax penalty into stock price, and the fraction of a firm’s stock held by tax-exempt investors. Our model demonstrates that the dividend tax capitalization effect reflects the weighted average tax rate of all investors, where the weighting depends on investors’ risk tolerances. This weighted average tax rate is not affected by the fraction of stock held by tax-exempt investors; however, tax-exempt investor ownership can be correlated with the weighted average tax rate if differences in tax-exempt investor ownership for different stocks reflect differences in investor risk tolerances for those stocks. Our empirical tests are consistent with the model’s predictions, and provide an equilibrium framework for interpreting prior empirical studies in accounting.

scholarly journals REAKSI PASAR MODAL INDONESIA TERHADAP PELUNCURAN RUDAL KOREA UTARA

2020 ◽  
Vol 2 (1) ◽  
pp. 22-40
Author(s):  
Nicholas Arditya Dwianto ◽  
Ima Kristina Yulita
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Price ◽  
Bad News ◽  
Market Model ◽  
Model Estimation ◽  
Expected Return ◽  
Hydrogen Bomb ◽  
The North ◽  
Negative Signal

This study aimed to examine the Indonesia capital market reaction to the North Korean missile launching. The type of this research is an event study by using the market model estimation to estimate the expected return. This research used 100 days as the estimated period and 9 days as the windows period. The sample of this research consisted of 76 companies listed in the Index Kompas 100. The result shew that the stock price did not react negatively toward North Korean missile launching. In this research, the emergence of disturbing events at t+3 and t+4 that North Korea succeded in testing hydrogen bomb disturb the events observed by the author. At t +3 and t+4, the stock price react negatively and significantly. The result of this research supported the Signaling theory that the information about a country’s particular events such as information about North Korea’s succes in testing a hydrogen bomb was interpreted as a negative signal (bad news)

scholarly journals PORTFOLIO INVESTMENT ANALYSIS ON THE BASIS OF THE BLACK-LITTERMAN MODEL

2019 ◽  
Vol 8 (6) ◽  
Author(s):  
Alexey G. Isavnin ◽  
Damir R. Galiev ◽  
Anton N. Karamyshev ◽  
Ilnur I. Makhmutov
Keyword(s):  
Capital Market ◽  
Expected Returns ◽  
Portfolio Investment ◽  
Statistical Features ◽  
Return On Assets ◽  
Expected Return ◽  
Investment Theory ◽  
Expert Opinions ◽  
Accurate Knowledge ◽  
Expert Assessments

The works of Markowitz, Tobin, Sharp in the field of portfolio investment theory are awarded the Nobel Prize in economics. The popularity of these models is explained by their mathematical simplicity and logical harmony. But these models require accurate knowledge of the statistical features of assets and use assumptions about ideal market behavior. A large number of questions immediately arise on how to evaluate the input parameters of these models in the practical use of these models. In the Black-Litterman model, an attempt is made to combine the theory of equilibrium in the capital market with the subjective opinions of analysts regarding the expected return on assets and their relationship to each other. The Black-Litterman model makes it possible to combine the theory of market equilibrium and the subjective opinions of investors about asset behavior in the market. The result is a diversified portfolio with a subjective opinion on the situation. This model is a new word in portfolio theory, which is relatively complex and focused on professionals. Due to the Bayesian approach, it is formed a new, more realistic mixed estimate of expected returns, taking into account the opinions of expert analysts. In Western literature, the Black-Litterman model is recognized as an important and powerful tool in the process of portfolio investment management. In particular, the work discusses in detail the issues of collecting, analyzing and preparing expert opinions. The ability to take into account the expert assessments is the main advantage of this model over all others

scholarly journals ANALISIS INVESTASI SAHAM PERUSAHAAN GO PUBLIC SEKTOR PERTANIAN DI BURSA EFEK JAKARTA

2018 ◽  
Vol 11 (3) ◽  
pp. 391-410
Author(s):  
Artie Arditha R ◽  
Endang Asliana
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Human Error ◽  
Stock Exchange ◽  
Portfolio Analysis ◽  
Investment Analysis ◽  
Statistical Software ◽  
Stock Investment ◽  
Stock Investments ◽  
Stock Price Movements

Investors, in a capital market, have to observe and analyze the companies’ stock price movements in order to minimize the risk in having stock investments. One of the techniques in analyzing companies’ performance is the stock investment analysis or portfolio analysis. By using the portfolio analysis, this research finds out the best combination of stock investment of PT PP London Sumatera Tbk. (LSIP) and PT Astra Agro Lestari Tbk. (AALI), as go public agricultural companies listed in Jakarta Stock Exchange. After finding the best combination of stock investment of those companies, this research also finds out whether the combination is at the optimum portfolio which would be on the least risk and a particular return or on the highest return and a particular risk. The research was held in 2006 and the data was taken from January 2004 to December 2005. The data was processed by using statistical software in order to minimize the human error. The result shows that there are two best combinations of stock investment on those companies. Those combinations are at the optimum portfolio. The first combination shows 30% of stock investment in LSIP and 70% stock investment in AALI, while the second combination shows 20% stock investment LSIP and 80% stock investment AALI. Investors should choose one of these combinations, because according to the research, these combinations would give them the best return at the least risk.

scholarly journals REAKSI PASAR MODAL INDONESIA (BEI) TERHADAP RESHUFFLE KABINET

2013 ◽  
Vol 1 (2) ◽  
Author(s):  
Uke Prajogo
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Effective Means ◽  
Abnormal Returns ◽  
Share Price ◽  
Expected Return ◽  
Before And After ◽  
The Right ◽  
The Capital Market

The capital  market  is one of the important  financial  sector in the economy of a country. The capital market  is one of the effective  means to facilitate  long-term  funds held  by the public  to be channeled   in productive   sectors.  Capital  market  as one of the economic  instruments  is influenced  by events that  contain  information  for investors.  In- creasingly  important  role of capital  markets  in the economy  of a country, the more sensi- tive the capital  market  to various  events around  him. This study aims to assess the capital market  reaction  to the announcement   of United  Indonesia  Cabinet  reshuffle  vol 2 which took  place  on  October   19, 2011.  This  research  is quantitative   descriptive.   Assessment Cabinet  Reshuffle  reaction  to the announcement   of the stock price movement  LQ45 done through  observation   of price  movements,   abnormal  returns  (abnormal  returns),  Capital Asset  Pricing  Model  (CAPM),  and to Varibility  Reward  Ratio  (RV) during  the observa- tion period of 14 days before and 14 days after the announcement  date. The results showed that the announcement   of the cabinet  reshuffle,  do not give too strong  an influence  on the movement  of stock prices,  this  is evidenced   in the average  stock  price  and the average abnormal  return  is experiencing   fluctuating  movements  in the period of United Indonesia Cabinet  reshuffle  Volume  2. There  is no visible  trend  of the market  overreacted   to the emergence   of a significant  price  fall or rise  significantly.   Based  on this, there  is no sig- nificantrelationship    between abnormal  returns before and after the cabinet reshuffle which was conducted  on October  19, 2011.  Pessimistic   attitude  toward  improved  market  per- formance  of the post-reshuffle   cabinet  ministers  are also an indication  that the market  is not  overl    action  resulted  in the  announcement   of the    overnment's   cabinet  reshuffle. This study also showed  that agriculture,  mining, and chemical  industry  base, a variety of industries,   finance  and trade  in services  and investment   sector  was  the most  good  for investment  because  of the calculation  CAPM  expected  return  E (Ri) produced  smaller than  the average  expected  return  is realized  (Av.Ri) per sector  and the  low share  price means  the right time to invest. For Industrial  and Chemical  sector is a sector that is at the top rank has a value of -0.15987  and is the most affected  sectors.  While a good stock for investment  is INTP, SMGR, KRAS,  and CPIN. Top ranked  stocks are INTP that has the highest     value    that    is  equal    to   -0.09966     and   is   the   most    affected     stocks.

ANALISA PREDIKSI INDEKS HARGA SAHAM GABUNGAN MENGGUNAKAN METODE ARIMA

2020 ◽  
Vol 2 (2) ◽  
pp. 454
Author(s):  
Julkifli Purnama ◽  
Ahmad Juliana
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Time Series Data ◽  
Arima Model ◽  
Secondary Data ◽  
Actual Data ◽  
Series Data ◽  
Analysis Technique ◽  
The Right ◽  
The Capital Market

Investment in the capital market every manager needs to analyze to make decisions so that the right target to produce profits in accordance with what is expected. For that, we need a way to predict the decisions that will be taken in the future. The research objective is to find the best model and forecasting of the composite stock price index (CSPI). Data analysis technique The ARIMA Model time series data from historical data is the basis for forecasting. Secondary data is the closing price of the JCI on July 16 2018 to July 16 2019 to see how accurate the forecasting is done on the actual data at that time. The results of the study that the best Arima model is Arima 2.1.2 with an R-squared value of 0.014500, Schwarz criterion 10.83497 and Akaike info criterion of 10.77973. Results of forecasting actual data are 6394,609, dynamic forecast 6387,551 selisish -7,05799, statistics forecas 6400,653 difference of 6,043909. For investors or the public can use the ARIMA method to be able to predict or predict the capital market that will occur in the next period.

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