The Analysis Of Optimal Portfolio Forming With Single Index Model (Study of Companies Listed on Jakarta Islamic Index 2014-2020)

Ulya, Imarotul and , Imronudin, S.E., M.Si., Ph.D (2023) The Analysis Of Optimal Portfolio Forming With Single Index Model (Study of Companies Listed on Jakarta Islamic Index 2014-2020). Skripsi thesis, Universitas Muhammadiyah Surakarta.

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Abstract

The purpose of research is to determine the optimal portfolio composition using the Single Index Model on JII the 2014-2020. The research sample was determined using the purposive sampling method with criteria companies consistently listed on JII during June 2014-Novemeber 2020, companies do not conduct a stock split and having completed historical data. Based on the criteria, a sample of nine stocks was obtained. The results showed that there were three stocks included in the optimal portfolio according to SIM, namely INCO, ADRO and WIKA because these three stocks had a higher ERB value than C*. The proportion of funds invested in each share, namely: INCO (63.91%), AKRA (32.65%) and WIKA (3.44%). The return from the optimal portfolio that has been formed is 1.10% per month, while the risk that must be borne by investors from the optimal portfolio is 2.56%. From the results of the different tests, it is known that there are differences in trading volume between optimal and non-optimal stocks which indicate that there is investor irrationality in stock selection. Keywords: single index model, optimal portfolio, JII, expected return, investor irrationality

Item Type:	Thesis (Skripsi)
Uncontrolled Keywords:	single index model, optimal portfolio, JII, expected return, investor irrationality
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor > HD28 Management
Divisions:	Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User:	IMAROTUL ULYA
Date Deposited:	17 Feb 2023 00:53
Last Modified:	17 Feb 2023 00:53
URI:	http://eprints.ums.ac.id/id/eprint/107511

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