ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM DENGAN MENGGUNAKAN SINGEL INDEX MODEL DAN CAPITAL ASSET PRICING MODEL (Studi Empiris Pada Perusahaan Yang Terdapat Dalam Indeks LQ-45 Di Bursa Efek Indonesia Periode Februari 2013 – Agustus 2017)
| Main Author: | NURITANINGRUM, SUCI |
|---|---|
| Format: | Thesis NonPeerReviewed Book |
| Bahasa: | eng |
| Terbitan: |
, 2019
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| Subjects: | |
| Online Access: |
https://eprints.untirta.ac.id/2856/1/ANALISIS%20PERBANDINGAN%20PEMBENTUKAN%20PORTOFOLIO%20OPTIMAL%20SAHAM%20DENGAN%20MENGGUNAKAN%20SINGEL%20INDEX%20MODEL%20DAN%20CAPITAL%20ASSET%20PRICING%20MODEL.PDF https://eprints.untirta.ac.id/2856/ https://feb.untirta.ac.id/ |
Daftar Isi:
- Suci Nuritaningrum, 5551150144, Thesis, Comparative Analysis of the Formation of Optimal Stock Portfolios by Using the Single Index Model and Capital Asset Pricing Model (Empirical Study of Companies in the LQ-45 Index on the Indonesia Stock Exchange for February 2013 - August 2017), under the guidance of Drs . H. Sriyanto, M.Sc and Enok Nurhayati, S.E ,. M.Sc., Department of Management, Faculty of Economics and Business, Sultan Ageng Tirtayasa University, 2019. This study aims to analyze the formation of an efficient portfolio so as to produce an optimal portfolio of assets using the Single Index Model and the Capital Asset Pricing Model. Apart from that, this study also aims to find out the results of an optimal portfolio formation analysis seen from the difference in Return and to find out which stocks are included in the LQ-45 Index on the Indonesia Stock Exchange which are classified as optimal portfolios. The population used in this study is the company listed in the ILQ-45 list, namely the classification of 45 stocks that are most actively traded on the Indonesia Stock Exchange in the period February 2013 - August 2017. The sample selection technique in this study is using purposive sampling method and obtained a sample of 39 out of 69 population numbers. The data used is a monthly data closing price according to the period of the study period. The results of this study indicate that stocks that meet the optimal portfolio criteria amount to 23 shares which are used with the Single Index Model method and there are 2 shares with the Capital Asset Pricing Model method. Shares that are included in the optimal portfolio candidate are stocks that have been previously tested and have ERB results> Ci. The Single Index Model cannot provide good results in explaining the relationship between stock returns and risks in LQ-45 companies compared to the Capital Asset Pricing Model. Thus it can be concluded that investors must think rationally to analyze in using the right method and easy to invest, resulting in the formation of an optimal stock portfolio with a certain level of risk. Keywords: Optimal Portfolio, Efficient Portfolio, Single Index Model, Capital Asset Pricing Model, Risk and Returns, Expected Benefit Level, Excess Return To Beta, Cut-Off-Rate