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

FINANSIA: Jurnal Akuntansi dan Perbankan Syariah Pub Date : 2019-09-12 DOI:10.32332/finansia.v2i01.1502

Atika Lusi Tania

{"title":"Aplikasi Single Index Model dalam Pembentukan Portofolio Optimal Saham LQ45 pada Bursa Efek Indonesia","authors":"Atika Lusi Tania","doi":"10.32332/finansia.v2i01.1502","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":265722,"journal":{"name":"FINANSIA: Jurnal Akuntansi dan Perbankan Syariah","volume":"31 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"FINANSIA: Jurnal Akuntansi dan Perbankan Syariah","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.32332/finansia.v2i01.1502","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 3

Abstract

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.

查看原文本刊更多论文

单指数模型是一种股票回报模型，它将对回报的影响分为系统因素(以市场指数的收益率衡量)和公司特定因素。单指数模型组合中使用的股票是印尼证券交易所LQ45指数中包含的股票，因为该指数一直是逐年上升的。然而，并不是LQ45指数中的所有股票都可以使用，必须有一个决定，以获得最合适的股票作为投资组合。因此，作者在印度尼西亚证券交易所使用单指数模型在LQ45最优股票投资组合形成中的应用，让投资者知道如何使用单指数模型的更简单的模型来形成最优投资组合。本研究旨在将单一指数模型应用于LQ45注册的股票投资组合的形成，根据股票投资组合的比例确定股票投资占手数的比例，根据手数确定股票投资所需的资金。根据单指数模型最优投资组合的数据分析结果，结果表明LQ45的45只股票中，有13只最优股票将被投资者购买。13只股票和市场价格包括:LPPF rp3400、INTP rp20025、LPKR Rp274、INCO rp3030、PTPP rp2180、SCMA rp1615、TBIG rp3850、AALI rp10350、CTRA Rp1。070、PWON Rp725、TAXI Rp50、WIKA rp2340、WSKT rp1970。股份比例为:LPPF 9%、INTP 7%、LPKR 5%、INCO 13%、PTPP 19%、SCMA 12%、TBIG 9%、AALI 7%、CTRA 4%、PWON 6%、TAXI 3%、威卡4%、WSKT 2%。投资资金为100万印尼盾，购买的股票总数为1271股，或者如果在一个批次中有12手左右。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

FINANSIA: Jurnal Akuntansi dan Perbankan Syariah

自引率

0.00%

发文量