Proceedings of The ICECRS
Vol 9 (2021): Social Science Research
Articles

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]
Analisis Pembentukan Portofolio Optimal Menggunakan Model lndeks Tunggal Sebagai Dasar Pengambilan Keputusan Investasi [Studi Pada Jakarta Islamic Index (JII) Tahun 2015-2017]


PDF
  • Ayun Niyawati,
  • Wisnu Panggah Setiyono
Ayun Niyawati
Universitas Muhammadiyah Sidoarjo, Indonesia
Wisnu Panggah Setiyono
Universitas Muhammadiyah Sidoarjo, Indonesia
Picture in here are illustration from public domain image or provided by the author, as part of their works
DOI: https://doi.org/10.21070/icecrs2021893
Published April 30, 2021
Keywords
  • Portofolio Optimal,
  • Single Index Model
How to Cite
Niyawati, A., & Setiyono, W. P. (2021). 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, 9. https://doi.org/10.21070/icecrs2021893

Copyright (c) 2021 Ayun Niyawati, Wisnu Panggah Setiyono

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Crossref
Scopus
Google Scholar
Europe PMC

Abstract

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%.

PDF

Downloads

Download data is not yet available.

References

[1] Y. A. Sudono, "Kapitalisasi Pasar Modal Menciptakan Rekor Baru," in Pernyataan Resmi, 2017.
[2] W. Santoso, "OJK: Pasar Modal Indonesia Tumbuh Tertinggi Ke-4 di Asia Pasifik," m Permbukaan
Perdagangan 2018, 2018.
[3] Fahrni and Hadi, Teori Portofolio dan Analisis Investasi, 2nd ed. Bandung: Alfabeta, 2011.
[4] W. P. Setiyono, "Analisis Portofolio Saham Dengan Model Indeks Tunggal Sebagai Dasar Pengambilan
Keputusan Investasi (Studi Pada Bursa Efek Jakarta)," J. Emisi, vol. 1, no. 1, 2008.
[5] H. Jogiyanto, Teori Potofolio dan Analisis Investasi, 7th ed. Yogyakarta: BPFE-Yogyakarta, 2013.
[6] E. Natalia, "Penentuan Portofolio Saham Yang Optimal Dengan Model Markowitz Sebagai Dasar Penetapan
Investasi Saham (Studi Pada Perusahaan Food and Beverage Yang Terdaftar Di Bursa Efek Indonesia Tahun
2012)," J. Adm. Bisnis, vol. 9, no. 1, 2014.
[7] Nurfarida, "Pasar Modal Syariah Indonesia Kian Menggiurkan," in Festival Pasar Modal Syariah, 2016.
[8] Y. Finance, "Histori Harga saham indeks JII tahun 2015-2018,"finance.yahoo.com, 2018. [Online]. Available:
https://finance. yahoo.com/quote/%5EJKII/. [Accessed: 06-Jul-2018].
[9] P. Setyosari, Metode Penelitian Pendidikan dan Pengmbangan. Jakarta: Kencana, 2010. [10] Sugiyono, Metode Penelititan Kuantitatifdan R&D. Bandung: Alfabeta, 2010.
[11] 0. V. Gunawan, L. Gede, and S. Artini, "Pembentukan Portofolio Optimal Dengan Pendekatan Model Indeks
Tunggal Pada Saham LQ-45 di Bursa Efek Indonesia," vol. 5, no. 9, pp. 5554-5584, 2016.