VOLATILITY SHOCK PERSISTENCE IN INVESTMENT DECISION MAKING: A COMPARISON BETWEEN THE CONSUMER GOODS AND PROPERTY-REAL ESTATE SECTORS OF THE  INDONESIAN CAPITAL MARKET

Research about volatility shock persistence is very important, since it could reflect the risks that can be used to estimate the fluctuations of stock returns in the future. This paper investigates a comparison of the volatility shock persistence sectoral indexes between the consumer goods (CONS) and property-real estate (PROP) sectors, using a single index model analyzed using GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and I-GARCH (Integrated-Generalized Autoregressive Conditional Heteroscedasticity). By using index return data from January 2010-December 2015, the research shows that CONS and PROP tend to produce the same results. The CONS and PROP indexes’ responses to volatility shocks tended to be quite fast. Hence, the single index model of the CONS and the PROP indexes can quickly return to its normal stability. It means that, in the presence of certain information which could affect the volatility of the return from these sectors, the market will respond and adapt immediately. This might be attributed to the fact that CONS is a sector that involves fast moving products. Furthermore, the PROP sector has an indirect effect by increasing the real sectoral economic activity and economic growth in Indonesia, which has a large population. Thus, it is recommended that investors who are risk averse and risk neutral should invest in these sectors, because the volatility of both indexes can be monitored based on the existing information.

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Empirical Evidence of Asset Pricing Based on Single Index Model, Fama, and French Three and Five-Factor Models in Indonesia Stock Exchange

Akurasi : Jurnal Studi Akuntansi dan Keuangan ◽

10.29303/akurasi.v4i1.82 ◽

2021 ◽

Vol 4 (1) ◽

pp. 87-98

Author(s):

Ani Silvia ◽

Chikita Tiara Griska

Keyword(s):

Asset Pricing ◽

Real Estate ◽

Stock Returns ◽

Five Factor Model ◽

Factor Models ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Thomson Reuters ◽

Fama And French

This empirical test aims to estimate the beta parameters of the risk premium and other risk factors and compare the performance of the single-index model, Fama and Frech three and five-factor models. The sample used as the study object is companies in the property and real estate subsector with data collected from datastream Thomson Reuters from January 2014 to December 2018. The results are consistent with the previous studies that asset pricing using the Fama and French five-factor model can better explain stock returns than the other two models. The property and real estate subsector seems to provide a positive and statistically significant abnormal return, indicating that asset pricing with the three models is irrelevant to Indonesia. These results suggest that the stock market in Indonesia is still inefficient.

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HASIL DAN RISIKO PORTOFOLIO BERBASIS SINGLE-INDEX MODEL SEBAGAI STRATEGI INVESTASI PADA PASAR MODAL

DIALEKTIKA : Jurnal Ekonomi dan Ilmu Sosial ◽

10.36636/dialektika.v4i1.288 ◽

2019 ◽

Vol 4 (1) ◽

pp. 96-121

Author(s):

Doni Teguh Wibowo ◽

Adita Nafisa ◽

RM. Mahrus Alie

Keyword(s):

Capital Market ◽

Decision Process ◽

Capital Investment ◽

Historical Data ◽

Investment Decision ◽

Risk Level ◽

Investment Strategies ◽

Single Index ◽

Index Model ◽

Single Index Model

ABSTRACTThis research aims to analyze how much the return and risk level of stocks listed on index LQ45, index shares, in order to determine the portofolio optimal using a single index model, to analyze the combination of stocks included in the portofolio optimal to give return and risk portofolio.The investment decision process is a continuous decision process. This investment decision process goes on and on until the best investment decision. Stock return is income that is expressed as a percentage of the initial capital investment, profits can be in the form of return that have already or expected. Realized return is a profit that has occurred, calculated based on historical data which is also useful as a basis for determining expected profits and risk in the future. Beta is a measure of the systematic risk of a stock portofolio relative to the market risk. General, beta measures the sensitivity of the profit level of a stock against the level of profit sensitivity of a market portofolio. Beta stocks are very useful to measure how much the level of courage of investors about risk. To anticipating the risk that will be faced by investors, a method is needed to minimize the risk, while still optimizing the return to be obtained. To minimize risk and optimize the return of the investments is to diversify stocks, namely to arrange an portofolio optimal consisting of stock instruments traded on the IDX, while the method is an optimal portofolio based on a single index model, this method is calculation the stocks to help investors to determine whether a stocks can be included in the portofolio optimal and determine which stock combinations provide to optimal return. In addition to, forming a portofolio and stock combination investors are expected to make investment strategies in the capital market both active strategies or passive strategies.From the results of the analysis of the study of 45 stocks incorporated in the LQ45 index there were 37 liquid stocks from January 2017 to December 2017, obtained 14 stocks from 37 stocks formed in the portofolio optimal based on the cut off point value of 0.81883 with a return portofolio rate of 13.16 % with risk portofolio level of 0.000047%, this risk is smaller than investment in individual stocks directly. That on individual stocks the higher the risk value, the higher the level of return.Key words: return, risk, single index model, portofolio optimal, and investment strategies

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Analisis Pembentukan Portofolio Optimal dengan Metode Stochastic Dominance dan Single Index Model Pada Saham Industri Real Estate and Property diBursa Efek Indonesia

Permana : Jurnal Perpajakan, Manajemen, dan Akuntansi ◽

10.24905/permana.v10i2.82 ◽

2018 ◽

Vol 10 (2) ◽

pp. 202-217

Author(s):

Eftika Riya Ningrum ◽

Yuni Utami

Keyword(s):

Real Estate ◽

Stochastic Dominance ◽

Optimal Portfolio ◽

Stochastic Method ◽

Test Results ◽

Index Method ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Portfolio Return

This study aims to see whether there is a difference between the stochastic dominance method and the single index method in forming an optimal portfolio. And see which method is more optimal. The sample used in the study was a real estate and property company listed on the IDX period (2013 -2017) using purposive sampling and analysis sampling techniques using the average difference test. After being tested with each method both modelstochastic and single index model, the results showed that there were differences in returns from the formation of an optimal portfolio with the test results which obtained the results of 0.048 under a significant level of 0.05. And the results of the portfolio return calculation formed by the stochastic method smaller 0.0079 than the portfolio return formed by the single index method of 0.0173 which means that the single index method is more optimal than the stochastic method.

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ANALISIS PORTOFOLIO OPTIMAL SAHAM-SAHAM LQ-45 PADA PERIODE AGUTUS 2005- JULI 2006 DENGAN METODE SINGLE INDEX MODEL DI BURSA EFEK JAKARTA

Business Management Journal ◽

10.30813/bmj.v4i1.648 ◽

2017 ◽

Vol 4 (1) ◽

Author(s):

Robby Iskandar

Keyword(s):

Capital Market ◽

Investment Decision ◽

Optimum Combination ◽

Capital Gain ◽

Rate Of Return ◽

Investment Portfolio ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Risk Rate

When we choose to invest our asset in capital market, we will expect the return, such as dividend and capital gain. Rational investor must be expecting the highest return from the investment they’ve done. Risk possibility and return deviate from expectation are the possibilities should face by investment as a part of investment decision which made by investor.The purpose of this research is to find the most optimum combination to create portfolio in LQ-45 index stocks in August 2005 till July 2006 in Bursa Efek Jakarta (BEJ). From stocks population in LQ-45 index, from 43 stocks listed in August 2005 till July 2006, we choose 7 stocks which fulfill the criteria to build an optimum portfolio. Optimum portfolio will periode 8,98714% rate of return in a month, and 5,1516% risk rate in a month. Keywords : Investment, Portfolio, LQ-45, Rate of Return.

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Single Index Model Analysis for Optimum Portfolio in Pharmaceutical Companies Registered in Indonesia Stock Exchange

Jurnal Riset Ekonomi Manajemen (REKOMEN) ◽

10.31002/rn.v4i2.3680 ◽

2021 ◽

Vol 4 (2) ◽

pp. 172-181

Author(s):

Agus Parhan Saepul Anwar ◽

Ana Yuliana Jazuni ◽

Andy Juniarso

Keyword(s):

Consumer Goods ◽

Stock Exchange ◽

Virus Disease ◽

Optimal Portfolio ◽

Pharmaceutical Companies ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Consumer Goods Industry

Investment is an interesting thing to analyze during the Corona Virus Disease (COVID-19) pandemic because at this time the economy is experiencing a decline so specifically for investors, they must consider the level of risk in their shares. The purpose of this study is to determine the condition of Consumer Goods Industry stocks with a concentration of pharmaceutical companies that can form an optimal portfolio and to determine the proportion of each selected stock and the level of return and risk of the resulting portfolio. The method that used is Single Index Model approach. The results of the analysis show that using the Single Index Model, Consumer Goods Industry stocks with a concentration of pharmaceutical companies from December 2016 to November 2020 can form an optimal portfolio consisting of SIDO with a proportion of 26.10%, PYFA with a proportion of 23 , 02%, DVLA with a proportion of 50.89% and a portfolio expected return of 5.79% and a risk of 6.95%

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Analysis of Optimal Portfolio Formation Using a Single Index Model as a Basis for Investment Decision Making [Study on the Jakarta Islamic Index (JII) 2015-2017]

Proceedings of the ICECRS ◽

10.21070/icecrs2021893 ◽

2021 ◽

Vol 9 ◽

Author(s):

Ayun Niyawati ◽

Wisnu Panggah Setiyono

Keyword(s):

Investment Decision ◽

Optimal Portfolio ◽

Portfolio Risk ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Investment Decision Making ◽

Analysis Technique ◽

Quantitative Descriptive ◽

Portfolio Return

The aim of this research is to know the performance ofstocks that become the member ofJakarta Islamic Index (JII) and determine what stocks are part of the optimal portfolio. This research is a quantitative descriptive study. The technique of taking samples is using purpose sampling techniques, with determined criteria. The population needed in this study is 42 stocks. After doing the sampling purposes, the sample is 20 stocks. The analysis technique used is the Single Index Model. The results of this study reveal that there are 5 stocks which eligible to become optimal portfolio members. These shares are UNTR, AKRA, UNVR, TLKM, and ADRO. Then the proportion offunds in each consecutive share is 31.58%, 15.18%, 28.02%, 17.7% and 7.52%. While the portfolio of the portfolio formed (expected portfolio return) is 0. 0203 or 2. 03% with portfolio risk of0. 0006 or 0. 06%.

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CONSTRUCTION OF OPTIMAL PORTFOLIO JAKARTA ISLAMIC STOCKS USING SINGLE INDEX MODEL TO STOCKS INVESTMENT DECISION MAKING

Dinasti International Journal of Digital Business Management ◽

10.31933/dijdbm.v2i1.644 ◽

2020 ◽

Vol 2 (1) ◽

pp. 167-181

Author(s):

Tri Agus Setyo ◽

Abitur Asianto ◽

Augustina Kurniasih

Keyword(s):

Investment Decision ◽

Optimal Portfolio ◽

Portfolio Performance ◽

Portfolio Risk ◽

Risk And Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Investment Decision Making ◽

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, namely (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 value of portfolio performance with the Treynor index is 0.0091.

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

JEM17: Jurnal Ekonomi Manajemen ◽

10.30996/jem17.v4i2.3023 ◽

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.

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ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

JMM17: Jurnal Ilmu Ekonomi dan Manajemen ◽

10.30996/jmm.v6i02.2995 ◽

2019 ◽

Vol 6 (02) ◽

Author(s):

Rony Mahendra ◽

Erwin Dyah Astawinetu

Keyword(s):

Wall Street Journal ◽

Optimal Portfolio ◽

Stock Index ◽

Wall Street ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Indices ◽

The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

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