Yuliansyah, Fikry (2018) Perbandingan pembentukan portofolio dengan menggunakan metode indeks tunggal dan Capital Asset Pricing Model (CAPM): Studi pada saham Jakarta Islamic Index (JII) periode 2013-2016. Undergraduate thesis, Universitas Islam Negeri Maulana Malik Ibrahim.
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Abstract
INDONESIA:
Penelitian ini bertujuan untuk mengetahui saham-saham yang masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia yang tergolong dalam portofolio optimal dengan menggunakan model indeks tunggal dan portofolio efisien menggunakan metode Capital Asset Pricing Model (CAPM) periode Juni 2013 - November 2016.
Desain penelitian ini adalah penelitian deskriptif kuantitatif. Populasi penelitian ini adalah seluruh saham yang masuk dalam penghitungan Jakarta Islamic Index (JII) yang dipublikasikan 6 bulan sekali yang berjumlah 30 saham. Teknik pemilihan sampel penelitian ini menggunakan metode purposive sampling dan diperoleh 11 saham sebagai sampel penelitian. Variabel dalam penelitian ini adalah return saham, return pasar, risiko saham, dan risiko pasar. Metode analisis data menggunakan model Indeks Tunggal dan Capital Asset Pricing Model (CAPM).
Hasil penelitian menunjukkan bahwa terdapat 2 saham yang memenuhi kriteria pembentukan portofolio optimal dengan menggunakan metode indeks tunggal yaitu saham ADRO (Adaro Energy, Tbk) dan TLKM (Telekomunikasi Indonesia (Persero) Tbk) dengan proporsi dana 0,215367 (21,54%) untuk saham ADRO dan 0,784633 (78,46%) untuk saham TLKM. Hasil penelitian menggunakan metode Capital Asset Pricing Model menunjukkan terdapat 10 saham yang termasuk ke dalam portofolio efisien yaitu saham ADRO, ASII, ICBP, INDF, KLBF, LSIP, TLKM, UNTR, UNVR, WIKA. Saham perusahaan yang masuk ke dalam portofolio efisien ini merupakan saham yang memiliki nilai return individual lebih besar daripada return yang diharapkan.
ENGLISH:
The objective of the research is to know the stocks that are included in Jakarta Islamic Index (JII) in Indonesia Stock Exchange which has been classified in optimal portfolio by using single index model, and efficient portfolio has used Capital Asset Pricing Model (CAPM) method during June 2013 - November 2016.
The design of the research is quantitative descriptive research. The population of the research is all shares that are included in the calculation of Jakarta Islamic Index (JII) that is published in six months once, amounting to 30 shares. The technique in selecting the sample of the research used purposive sampling method and obtained 11 shares as a sample of research. The variables in this research are stock return, market return, stock risk, and market risk. Data analysis method used Single Index model and Capital Asset Pricing Model (CAPM).
The research results of the research showed that there are 2 stocks that meet the criteria of optimal portfolio formation by using single index method, namely ADRO (Adaro Energy, Tbk) and TLKM (Telekomunikasi Indonesia (Persero) Tbk) with the fund proportion of 0,215367 (21,54%) is for ADRO share, and 0.784633 (78.46%) is for TLKM share. The results of the research by using Capital Asset Pricing Model method showed that there are 10 stocks that are included in efficient portfolio, namely the stocks of ADRO, ASII, ICBP, INDF, KLBF, LSIP, TLKM, UNTR, UNVR, WIKA. The stock companies in efficient portfolio is the stocks that have the greater individual return value than the expected return
Item Type: | Thesis (Undergraduate) | ||||||
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Supervisor: | Prajawati, Maretha Ika | ||||||
Contributors: |
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Keywords: | Model Indeks Tunggal; Capital Asset Pricing Model (CAPM); Portofolio Optimal; Portofolio Efisien; Single Index Model; Capital Asset Pricing Model (CAPM); Optimal Portfolio; Efficient Portfolio | ||||||
Departement: | Fakultas Ekonomi > Jurusan Manajemen | ||||||
Depositing User: | Zuhria Sulkha Amalia | ||||||
Date Deposited: | 11 Jul 2018 14:27 | ||||||
Last Modified: | 11 Jul 2018 14:27 | ||||||
URI: | http://etheses.uin-malang.ac.id/id/eprint/11450 |
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