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BukuAnalisis Pembentukan Portofolio Saham Optimal Berdasarkan Model Indeks Tunggal pada Bursa Efek Indonesia (BEI)
Bibliografi
Author: TAMPUBOLON, CKRISTONI ; Dossugi, Samuel (Advisor)
Topik: Investment; Portfolio and Single index model; Investasi; portofolio dan model indeks tunggal
Bahasa: (ID )    
Penerbit: Program Studi Magister Manajemen Sekolah Pascasarjana Universitas Katolik Indonesia Atma Jaya     Tempat Terbit: Jakarta    Tahun Terbit: 2009    
Jenis: Theses - Master Thesis
Fulltext: Christoni Tampubolon Master Theses.pdf (727.5KB; 66 download)
Ketersediaan
  • Perpustakaan Pusat (Semanggi)
    • Nomor Panggil: MM-529
    • Non-tandon: tidak ada
    • Tandon: 1
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Abstract
During the period of this research in 2005-2007, the economic condition in Indonesia actually was indicated the satisfaction yet. Nevertheless, there were essential improvement or increasing and be better any time, especially the change which can affect the condition of investment in the stock becomes more interesting and develop. One of the change was known by merger of the Surabaya Stock Exchange(SSX) and Jakarta Stock Exchange (JSX) in last october 2007. So that the consequences of stock market condition more develop and many investment alternative, specially for the stock market. The condition, of course will arouse the extra effort for the investor to determine or choosing the interesting stock to be invest with always considerate the fundamental analysis, for special return and risk analysis of investment or portfolio in the stock. Therefore the case will be explained by this research which aim to selection the appropriate and benefit stock, so that can be used to design the optimal stock of portfolio. For achieve the objective in this research, using the single index model to determine the appropriate stock for invest until to form the portfolio and the rate of return in the stock of portfolio. This research performed with case study method to observe and analysis forward 17 of stock as sample. For choosing the samples done with using non probability sampling by purposive sampling technique to simplify selecting of the sample process. The result of this research indicate that there are eight appropriate stocks to be invest according to the single index model analysis (HMSP, LSIP, AALI, UNSP, PTBA, BUMI, INDF and BBCA). Thus, based on the portfolio analysis of single index model with determine and compare values of excess return to beta (ERB) with cut-off point, there are fives optimal of the stock portfolio in LSIP, HMSP, PTBA, INDF and BBCA with each of composition 38.85 %, 28.64 %, 23.60 %, 1.84 %, 7.07 %. The performance of the investment diversification from the optimal of the stock portfolio provide the expected rate of return 0.053178 or 5.31 % which higher than the risk free rate of return (0.008016 or 0.08016 %). Generally, the portfolio also has expected return higher than expected return in a single of the stock. (with out portfolio). Even that the risk of portfolio (variance) is 0.004338 or 0.06 58 (6.58 %) as standard of deviation lower than the average of the stock investment risk without portfolio.
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