scholarly journals Apakah Kinerja Saham Syariah Lebih Baik Dibandingkan Saham Non-Syariah pada Tahun 2018-2019?

Telaah Bisnis ◽  
2021 ◽  
Vol 21 (1) ◽  
pp. 57
Author(s):  
Eka Maya Sari ◽  
Tri Gunarsih
Keyword(s):  
Capital Market ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Portfolio Investment ◽  
Index Model ◽  
Stock Portfolios ◽  
Single Index Model ◽  
Stock Indices ◽  
Significant Difference ◽  
Stock Portfolio

There are two considerations that investors need to notice if they want to invest in the capital market, namely, return and risk. An investor needs to diversify to gain benefits and minimize risk by forming the optimal stock portfolios. This research analyzes the differences between Islamic stock (based on JII) and non-Islamic stock (based on LQ45) stock portfolio investment using the single index model. The samples were consistently listed on the JII and LQ45 stock indices in January 2018-December 2019. There are 35 stocks for the LQ45 stock index and 25 stocks on the JII stock index. Sharia stocks' optimal portfolio comprises three stocks, while the optimal portfolio of non-Islamic stocks shall consist of four stocks. The Independent Sample T-Test was implemented to analyze the differences between the Islamic (JII) and non-Islamic (LQ45) optimal stock portfolios based on the Sharpe Ratio, Jensen Ratio, and Treynor Ratio. The results show that there is no significant difference between Islamic and non-Islamic stocks.

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

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

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

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

scholarly journals Aplikasi Single Index Model dalam Pembentukan Portofolio Optimal Saham LQ45 pada Bursa Efek Indonesia

2019 ◽  
Vol 2 (01) ◽  
pp. 47
Author(s):  
Atika Lusi Tania
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Market Prices ◽  
Single Index ◽  
Index Model ◽  
Stock Portfolios ◽  
Single Index Model ◽  
Market Index ◽  
Stock Investment ◽  
Stock Portfolio

Single Index Model is a stock return model that divides the effect on returns into a systematic factor (as measured by yields on the market index) and company-specific factors. The shares used in the formation of the portfolio of the Single Index Model are stocks included in the LQ45 Index in the Indonesia Stock Exchange because this Index has always increased from year to year. However, not all shares in the LQ45 Index can be used, there must be a determination to get the most suitable shares to be used as a portfolio. Therefore, the author uses the Single Index Model Application in the Formation of the LQ45 Optimal Stock Portfolio on the Indonesia Stock Exchange so that investors know how to form an optimal portfolio using a simpler model of the single index model. This study aims to apply the application of a single index model in the formation of a stock portfolio registered in LQ45, determine the proportion of stock investment in the number of lots based on the proportion of stock portfolios, and determine the funds needed for stock investment based on the number of lots. Based on the results of data analysis using the Single Index Model Optimal Portfolio, the results show that out of 45 stocks in LQ45, 13 optimal stocks will be purchased by investors. Thirteen shares and market prices include LPPF Rp.3,400, INTP Rp20,025, LPKR Rp274, INCO Rp3,030, PTPP Rp.2,180, SCMA Rp1,615, TBIG Rp.3,850, AALI Rp.10,350, CTRA Rp1. 070, PWON Rp725, TAXI Rp50, WIKA Rp2,340, and WSKT Rp1,970. The proportion of shares is 9% LPPF, 7% INTP, 5% LPKR, 13% INCO, 19% PTPP, 12% SCMA, 9% TBIG, 7% AALI, 4% CTRA, 6% PWON, 3% TAXI, 4% WIKA , WSKT 2%. The funds to be invested are IDR 1,000,000, the total number of shares to be purchased is 1,271 sheets, or if in the lot lot there are around 12 lots.

scholarly journals PENGGUNAAN MODEL INDEKS TUNGGAL DALAM MENILAI RESIKO DAN RETURN SAHAM UNTUK PILIHAN BERINVESTASI

2018 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Anny Widiasmara ◽  
Putri Widyasari
Keyword(s):  
Optimal Portfolio ◽  
Quantitative Approach ◽  
Minimal Risk ◽  
Portfolio Investment ◽  
Risk And Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Return

<p><strong>ABSTRACT</strong></p><p><strong></strong><br />The purpose of this study was to assess the risk and return stock that could be an option to invest by using single index model Compass 100 on the IDX in 2010-2014. This type of research used in this research is descriptive quantitative approach. Samples taken as many as 44 companies of the index Compass 100. The results showed that of the 44 samples selected companies, there were 13 companies that have an optimal return and minimal risk to the proportion of each stock: UNVR of 0.2372039%, ANTM of 0.0057649% , BMTR of 0.14997799%, GGRM of 0.1226567%, MNCN of 0.1571756%, JSMR of 0.2749157%, KLBF of 0.0493033%, CPIN at 98.771899%, CTRA of 0.1009368%, GJTL of 0.0607808%, MEDC of 0.0209188%, KIJA of 0.0253161%, LPKR 0.0231518%. Based on the portfolio has been formed on the calculation of portfolio return of 4.74% and the risk of a portfolio of 0.0019683%.</p><p><br /><strong>Keywords : Singe Index Model, Optimal Portfolio, Investment Options</strong></p>

scholarly journals PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45 PERIODE TAHUN 2015 DENGAN MENGGUNAKAN SINGLE-INDEX MODEL

2019 ◽  
Vol 6 (01) ◽  
Author(s):  
Erma Yuliaty ◽  
Erwin Dyah Astawinetu ◽  
Sri Hadijono
Keyword(s):  
Capital Market ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Reduce Risk ◽  
The Capital Market ◽  
Profit Rates

Investors basically pay more attention to risks than returns (profit rates). For this purpose,investors form a portfolio. A trusted portfolio can reduce risk and increase return. In forming aportfolio to reduce risk, it is expected to diversify. Due to rational investors, investors try to getan optimal portfolio, namely a portfolio that will produce the most minimal risk. Whereas ininvesting in the capital market, investors will be faced with many shares. The LQ-45 index is anindex containing 45 stocks with high liquidity and large capitalization. In connection with thismatter, in this study a research is conducted on the formation of an optimal portfolio using LQ45sharesandusingtheSingle-IndexModelapproach.Theresultsofthisstudyindicatethatoutof40LQ-45stocksthatsuccessfullyenteredastheresearchobject,10stockcandidateshavethepotentialto form an optimal portfolio. However, after being tested against Zi, only one stockwas chosen to form the optimal portfolio, namely AKRA shares. Thus AKRA's hundred percentshare becomes the optimal portfolio that generates returns of 0.2531% with a risk of 0.51%. Keywords: LQ-45 Index, Single-Index Model, optimal portfoli

scholarly journals Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

2022 ◽  
Vol 10 (8) ◽  
pp. 188-199
Author(s):  
Yunan Najamuddin ◽  
Neni Meidawati ◽  
Nahar Savira Putri ◽  
Yuni Nustini ◽  
Muamar Nur Kholid
Keyword(s):  
Model Test ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Expected Return ◽  
Purposive Sampling ◽  
Index Model ◽  
Single Index Model

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.  

scholarly journals Portfolio Analysis Using the Single Index Method in the COVID-19 Pandemic Period

2021 ◽  
Vol 8 (6) ◽  
pp. 215-225
Author(s):  
Sulistyo Adi Nugroho ◽  
Tony Irawan SE MappEc ◽  
Ir Aruddy, Msi
Keyword(s):  
Capital Market ◽  
Economic Activity ◽  
Optimal Portfolio ◽  
Share Price ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
The Impact ◽  
Rotation Strategy

The COVID-19 outbreak that occurred in early 2020 put pressure on economic activity in many countries, including Indonesia. The pressure on economic activity can be seen from the index movement in the capital market. The JCI as a composite index that reflects transaction activity in the Indonesian capital market has weakened due to the impact of the COVID-19 outbreak in a number of business sectors. The decline in the index is a warning for investors to rearrange the composition of assets in their portfolios so that returns can remain optimal during a pandemic. The single index model (SIM) can be used by investors to make investment decisions, including to rearrange their investment portfolios. The share price data analyzed covers the period from 2 September 2019 to 7 December 2020, where the government confirmed the first positive case of COVID-19 in Indonesia on 3 March 2020. The Single Index Model is used to select assets to form an optimal portfolio. Portfolio performance is measured using the Sharpe, Treynor and Jensen index. The sector rotation strategy results in five selected sectors whose assets will be selected to form an optimal portfolio, namely the consumption sector (JKCONS), the basic and chemical industry sector (JKBIND), the infrastructure sector (JKINFA), the mining sector (JKMING) and the financial sector (JKFINA). The listed companies for analysis were 25 out of 184 issuers in the five sectors. The Single Index Model selects 3 issuers for the pre-COVID period and 10 issuers for the COVID period. The allocation of portfolio funds for the pre-COVID period showed BTPS of 44.94%; CPIN 47.61% and BYAN 7.46%. 2.8% allocation of portfolio funds during the COVID period to BTPS issuers; PBID 22.57%; TKIM 15.96%; BYAN 5.86%; ITMG 17.89%; MYOH 1.56%; PTBA 1.76%; ADRO 12.54% and PPRE 19.05%. The portfolio's expected return is positive, which means that the portfolio formed has the potential to generate profits. The Sharpe, Treynor and Jensen indexes are positive, which means that portfolios formed using a single index model have the potential to have good performance. Keywords: investors, IHSG, portfolio performance, single index model, optimal portfolio.

scholarly journals ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL

2018 ◽  
Vol 23 (2) ◽  
Author(s):  
Iwan Firdaus
Keyword(s):  
Capital Market ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Rate Of Profit ◽  
Model Approach ◽  
Level Of Risk

Investors in the capital market will generally invest in stocks that have high returns with minimal risk. In order to reduce the level of risk then the shares can be formed into a portfolio. The purpose of this study was to determine the shares of LQ 45 index member to form th optimal portfolio and to determine the proportion of each stock chosen and the level of return the analysis showed that using Single Index Model approach. Stocks member LQ 45 period every January 2012 to January 2016 ti establish an optimal portfolio is comprised of ASII with a proportion 80,39%, with the proportion of BBCA 0,006% , with the proportion of ICBP 5,07%, with the proportion of UNTR 5,06%, with the proportion of UNVR 9,42% and the rate of profit (expected return) portfolio amounted to 3,65% with a risk of 0,01%.

PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45 PERIODE TAHUN 2015 DENGAN MENGGUNAKAN SINGLE-INDEX MODEL

2019 ◽  
Vol 6 (01) ◽  
Author(s):  
Erma Yuliaty ◽  
Erwin Dyah Astawinetu ◽  
Sri Hadijono
Keyword(s):  
Capital Market ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Reduce Risk ◽  
The Capital Market ◽  
Profit Rates

Investors basically pay more attention to risks than returns (profit rates). For this purpose,investors form a portfolio. A trusted portfolio can reduce risk and increase return. In forming aportfolio to reduce risk, it is expected to diversify. Due to rational investors, investors try to getan optimal portfolio, namely a portfolio that will produce the most minimal risk. Whereas ininvesting in the capital market, investors will be faced with many shares. The LQ-45 index is anindex containing 45 stocks with high liquidity and large capitalization. In connection with thismatter, in this study a research is conducted on the formation of an optimal portfolio using LQ45sharesandusingtheSingle-IndexModelapproach.Theresultsofthisstudyindicatethatoutof40LQ-45stocksthatsuccessfullyenteredastheresearchobject,10stockcandidateshavethepotentialto form an optimal portfolio. However, after being tested against Zi, only one stockwas chosen to form the optimal portfolio, namely AKRA shares. Thus AKRA's hundred percentshare becomes the optimal portfolio that generates returns of 0.2531% with a risk of 0.51%. Keywords: LQ-45 Index, Single-Index Model, optimal portfoli

Dynamic diversification benefits of Sukuk and conventional bonds for the financial performance of MENA region companies: empirical evidence from COVID-19 pandemic period

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mahdi Ghaemi Asl ◽  
Muhammad Mahdi Rashidi
Keyword(s):  
Stock Market ◽  
Optimal Portfolio ◽  
Stock Index ◽  
High Yield ◽  
Stock Market Index ◽  
Mena Region ◽  
Content Type ◽  
Stock Portfolios ◽  
Stock Indices ◽  
Asymmetric Shock

Purpose This study aims to investigate the spillover between the Middle East and North Africa (MENA) stock index and several security indices, including Sukuk and conventional bond, and ultimately compare the hedge effectiveness of Sukuk and conventional bond. Design/methodology/approach The study uses VAR (1)-asymmetric Baba, Engle, Kraft and Kroner-multivariate generalized autoregressive conditional heteroskedasticity (1,1) model to analyze the volatility and shock and asymmetric shock spillover between Sukuk index and several bond indices in the MENA region including, Bond, All Bond, High Yield Bond and Bond and Sukuk and MENA stock market index and ultimately compare the hedging capabilities of Sukuk and conventional bonds by calculating the optimal portfolio weights for securities indices and stock portfolios and hedge effectiveness of security indices. Findings Results indicate that there is no shock, volatility and asymmetric shock spillover between the Sukuk index and MENA stock index, implying that Sukuk indices behave independently from MENA stock indices; however, there is shock and asymmetric shock spillover between MENA stock indices and security indices that include conventional bonds. The result of optimal portfolio weights and corresponding hedge effectiveness indicate that Sukuk is the most significant asset among other security indices in diversifying and hedging stock MENA portfolios. Moreover, the hedge effectiveness of Sukuk shows persistent trends during both the normal and crisis periods. Practical implications The study suggests that MENA stock market investors and investment managers should add Sukuk instead of the conventional bond to their portfolio to hedge their portfolio against investment risks during both normal and crisis periods. Originality/value Although many studies compare many aspects of Sukuk and conventional bonds, this is the first study that compares the hedge effectiveness of Sukuk and conventional bond based on the time-varying optimal portfolio weights strategy.

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