scholarly journals ANALISIS RASIONALITAS INVSETOR DALAM PEMILIHAN DAN PENENTUAN PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM JAKARTA ISLAMIC INDEX

2016 ◽  
Vol 2 (2) ◽  
pp. 1
Author(s):  
Raden Arfan Rifqiawan
Keyword(s):  
Central Bank ◽  
Empirical Evidence ◽  
Lower Risk ◽  
Stock Exchange ◽  
Trade Volume ◽  
Index Model ◽  
Single Index Model ◽  
Risk Free Rate ◽  
Asset Data ◽  
Free Rate

<p>The purpose of this study is to determine that  wether investor rationality exist in undergoing the stock choice in  Jakarta Islamic Index at Indonesia Stock Exchange. Population to be chosen in the study is 44 firms listed on JII. However, the sample included are only 19 firms that present 30 times consecutively of simultan monitoring on JII. From 19 firms  after analyzed with single index model  found 11 has firms has  ERB &gt; Ci*, that mean if investor invests  in 11 stocks will  get return higher with lower risk in comparison with investment in risk free  asset. Data to be used in the study is the secondary one, which is collected from Indonesia Stock Exchange Monthly Statistic and risk free rate report from Central Bank of Indonesia.Result to be obtained from the study demonstrates on empirical evidence of investor rationally in choosing the stock on JII. The value is  showed averagely stocks trade  volume that has  ERB &gt; Ci* higher is compared averagely stocks trade  volume that has  ERB&lt; Ci*.</p>

scholarly journals ANALISIS RASIONALITAS INVSETOR DALAM PEMILIHAN DAN PENENTUAN PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM JAKARTA ISLAMIC INDEX

2016 ◽  
Vol 1 (1) ◽  
pp. 75
Author(s):  
Raden Arfan Rifqiawan
Keyword(s):  
Central Bank ◽  
Empirical Evidence ◽  
Lower Risk ◽  
Stock Exchange ◽  
Trade Volume ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Rate ◽  
Asset Data

The purpose of this study is to determine whether investor rationality exist in undergoing the stock choice in Jakarta Islamic Index at Indonesia Stock Exchange. The chosen populations in the study are 44 firms listed on JII. However, the samples are only 19 firms that present 30 times consecutively of simultaneous monitoring on JII. From 19 firms after being analyzed with single index model, there are 11 firms have ERB &gt; Ci*, it means if investor invests in 11 stocks will get return higher with lower risk in comparison with investment in free risk asset. Data which is used, is the<br />secondary one and collected from Indonesia Stock Exchange Monthly Statistic and free risk rate report from Central Bank of Indonesia. The result demonstrates on empirical evidence of investor rationally in choosing the stock on JII. The value is showed averagely by stocks trade volume that has ERB &gt; Ci* higher than averagely stocks trade volume that has ERB&lt; Ci*.

scholarly journals Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

2012 ◽  
Vol 3 (3) ◽  
pp. 29-42
Author(s):  
Javed Bin Kamal
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Rate Of Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Price Bubble ◽  
Ex Ante ◽  
Risk Free Rate ◽  
Free Rate

The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange) as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates a unique cut off point (cut off rate of return) and selects stocks having excess of their expected return over risk-free rate of return surpassing this cut-off point. Here, risk free rate considered to be 8.5% per annum (Treasury bill rate in 2009). Percentage of an investment in each of the selected stocks is then decided on the basis of respective weights assigned to each stock depending on respective ‘β’ value, stock movement variance representing unsystematic risk, return on stock and risk free return vis-à-vis the cut off rate of return. Interestingly, most of the stocks selected turned out to be bank stocks. Again we went for single index model applied to same stocks those made to the optimum portfolio in ex ante stock price bubble scenario considering data for the period of January 2010 to June 2012. We found that all stocks failed to make the pass Single Index Model criteria i.e. excess return over beta must be higher than the risk free rate. Here for the period of 2010 to 2012, the risk free rate considered to be 11.5 % per annum (Treasury bill rate during 2012).

scholarly journals The Optimal Portfolio of JII Shares Listed on the Indonesian Stock Exchange: The Single Index Model Approach

2020 ◽  
Vol 5 (6) ◽  
Author(s):  
Tri Agus Setyo ◽  
Augustina Kurniasih
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Portfolio Risk ◽  
Risk And Return ◽  
Monthly Data ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Free Rate

This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, is (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E(Rp) 0.0128 is greater than the value of E(RM) 0.0003 and the value of the risk free rate is 0.0048. The value of σp 0.0438 is greater than the value of σ2M 0.0364. The portfolio performance value with the Treynor index of 0.0091 is greater when compared to the market of -0.0045.

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

scholarly journals Beta Stability Over Bull and Bear Market on the Warsaw Stock Exchange

2016 ◽  
Vol 16 (1) ◽  
pp. 75-92 ◽  
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Stock Exchange ◽  
Point Of View ◽  
Financial Investment ◽  
Bear Market ◽  
Index Model ◽  
Parameter Stability ◽  
Single Index Model ◽  
Warsaw Stock Exchange ◽  
Measuring Frequency ◽  
Investment Portfolios

Abstract Beta parameter is one of the commonly used measures of the investment risk of individual stock or portfolio. It plays a crucial role in modern portfolio theory particularly in management of financial investment portfolios. In the field of beta parameter, numerous studies have been conducted, especially beta properties stability in the context of the stock market cycle phases, measuring frequency of rate of return, and the length of a sample period. There are much fewer studies concerned beta parameter in the countries of Central and Eastern Europe which have undergone systemic transformation at the end of the previous century. From a scientific point of view, it is interesting to know how the beta parameter behaves in these countries. The main goal of this article is to examine the beta parameter stability over bull and bear market conditions on the Warsaw Stock Exchange. The paper presents an analysis of beta stability for 134 stocks of the largest companies listed at the WSE during years 2005–2013. To verify statistically the hypothesis of beta parameter stability, we used monthly returns in the Sharpe’s single-index model. In the first part of the article, we present a brief review of the literature and methodology of the study, while in the second part, the obtained results and conclusions are shown.

scholarly journals ANALISIS PERBANDINGAN RISK&RETURN PORTOFOLIO SAHAM FIRST LINER& SECOND LINER DENGAN METODE INDEKS TUNGGAL (Studi Kasus Pada Saham-Saham Perusahaan Makanan dan Minuman yang Terdaftar di BEI Periode 2012-2014)

2018 ◽  
Vol 2 (1) ◽  
Author(s):  
Erwin dyah Astawinetu ◽  
Ni wayan Soebrati
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Significant Risk ◽  
T Test ◽  
Minimal Risk ◽  
Significance Level ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Significant Return

ABSTRACTInvestors generally will invest their fund in stocks that have high return with minimal risk in the capital market. In order to reduce level of risk then the stocks should be formed into portfolio. The purpose of this research is to analyze the risks & return of stocks of the first & the second liner of food & beverages companies that are listed in Indonesia stock exchange (IDX) from 2012 to 2014. A single index model is used for research method. The data observed based on historical data of the closing stock-price of food & beverages companies listed. Technique of taking sample uses purposive sampling. The sample used in this research is 12 (twelve) stocks of the food & beverages companies from 2012 to 2014 which are listed in Indonesia stock exchange (IDX).Data analysis using T-test (independent sample t-test) with significance level of 5%. The first hypothesis using Independent t-test shows that there is no significant return between first liner and second liner stocks. The second hypothesis using Independent t-test shows that there is no significant risk between the two as well.This research shows that investing in the second liner stocks are more profitable than investing in the first liner stocks because the return of the second liner stocks are higher than the first liners’ while the risks of the second liner stocks are lower than the first liners’.  Keywords : Single Index Model, First Liner Stock, Second Liner Stock   

scholarly journals Return and Risk Comparative Analysis in the Formation of Optimal Share Portfolio with Random Model, Markowitz Model, and Single Index Model

2020 ◽  
Vol 17 (2) ◽  
pp. 184-203
Author(s):  
Abdul Muslim
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Random Model ◽  
Expected Return ◽  
Markowitz Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Composition ◽  
Stock Portfolio

This research was conducted to determine the composition of the stock portfolio formed by the Random model, the Markowitz model, and the Single Index model and which portfolio composition was optimal from the results of calculations using the Random model, the Markowitz model, and the Single Index model. The method used is a quantitative analysis using stock price data in the LQ45 Index group listed on the Indonesia Stock Exchange (IDX). In the first random process the results of calculating the expected return value for each share and obtained portfolio candidates can produce a total expected return of 0.2726 or 27.26%. The Markowitz method produces 14 shares that have a positive value, which means it enters into portfolio-forming shares, while the Single Index Model obtains diversified investments in the form of a portfolio of 6 shares 

scholarly journals ANALISIS VARIANS MULTIVARIAT TERHADAP RETURN DAN RISIKO PORTOFOLIO YANG DITENTUKAN DENGAN ELTON GRUEBER PADBERG MODEL PADA EMPAT KELOMPOK INDEKS (LQ 45, SRI-KEHATI, JII, DAN ISSI)

2018 ◽  
Vol 4 (1) ◽  
pp. 32-52
Author(s):  
Baiq Nurul Suryawati
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Risk Index ◽  
Risk And Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Significant Difference ◽  
The Difference ◽  
Individual Index

AbstractThis research emphasizes the difference between risk and return on four group of index, which are LQ 45, SRI KEHATI, JII and ISSI. Test of significance conduct by doing Analysis of Varians Multivariate. The Analysis of Varians Multivariate results more accurate than repeatedly t-test among group. EGP Model mostly explained as Single Index Model in various textbook. Thus, Single Index Model only clarified influence of a Single Market Index for Individual Index, EGP Model use Reward to Volatility (RVOL) for measuring excess return to systematic risk.  The results shows that after 15 years from sharia index introduce in Indonesian Stock Exchange, it shows significant difference between sharia index and conventional stock market. However, LQ 45 shows it persistence as high return high risk index consistently. The Analysis VariansMultivariate also shows SRI KEHATI, as an ethic businesses representative in Indonesian Stock Exchange as a weaker index. SRI KEHATI shows that various group portfolio form by EGP Model could not exceed JII performance. Therefore, it concludes that indexes provide by capital market to facilitise the preference of investor whereas,it is tremendously various. To invest in stock market, investor need to clarify their wants and needs. Whether their wants is to gain more return or to accommodate their risk, and their preferrence to invest in various kind of business or  certain business such as business based on ethic or faith.Keywords: Analysis of Varians Multivariate; Risk and Return; EGP Model; Indexes; LQ 45; Sri-Kehati; Jakarta Islamic Index (JII); and Indeks Saham Syariah Indonesia (ISSI)

scholarly journals Development of the Risk Accumulation Method for Calculating the Capitalization Rate

2021 ◽  
pp. 7-14
Author(s):  
Nikolai Yu. Trifonov
Keyword(s):  
Risk Adjustment ◽  
Risk Premium ◽  
Stock Exchange ◽  
Country Risk ◽  
Monetary Unit ◽  
Capitalization Rate ◽  
Country Risk Premium ◽  
Risk Free Rate ◽  
The Relationship ◽  
Free Rate

Risk build-up method is the most used for calculating the capitalization rates. With the help of the literature analysis, the origin of this method is considered. The method was based on the relationship between risk and profitability of a stock in exchange trading, proven statistically. Later, when formulating the build-up method, this idea was transferred without any justification to the valuation of enterprises that do not list their securities on stock exchange. In other words, the formulas traditionally used in the application of the build-up method are empirical in nature and not precise.It is more accurate to write them down by analogy with Irwin Fisher's equation of returns. Based on the principle of dependence, one of the main ones for the valuation procedure, the essence of which is that the value of the valuation subject depends on its economic location, a set of four independent risks is given for use in the build-up method in general case: risk-free rate, country risk premium, branch risk premium, and subject risk adjustment. It is noted that the numerical value of these parameters used in the method fundamentally depends on the monetary unit used in the calculation (the valuation currency). Recommendations are given on finding a risk-free rate for various currencies, on calculating country risk premium, branch risk premium, and subject risk adjustment. The article is intended for academics, lecturers, and practitioners in such areas as corporate finance, business microeconomics, valuation, and investment analysis.

scholarly journals PENGARUH PEMILIHAN INDEKS PASAR DALAM PEMBENTUKAN PORTOFOLIO MODEL INDEKS TUNGGAL

2020 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Ezra Putranda Setiawan
Keyword(s):  
Empirical Study ◽  
Standard Error ◽  
Stock Exchange ◽  
Optimization Method ◽  
Optimal Portfolio ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Market Index ◽  
Index Value

Portfolio is a type of investment consists of several assets, such as stocks. Single index model is a portfolio optimization method that uses the market index value to calculate beta as a measure of asset’s performance. However, there are several market index available in Indonesia Stock Exchange. In this study, we examine and compare the performance of several market index to the portfolio’s performance that calculated using Single-Index Model. We choose several stocks that used in several market index, obtain the return data, and obtain the beta using several market index. The calculation of the optimal portfolio were repeated using 15 sets of data to obtain consistency. Based on the empirical study, we obtain that the way to choose the market index could affect the estimated beta as well as its standard error. However, it has a very small effect on the weight and the performance of the optimal portfolio.

Sign in / Sign up

Export Citation Format

Share Document