Optimal portfolio selection by using multiple index model: The evidence of Jakarta Islamic Index 2013-2015

INDONESIA:

Tujuan dari penelitian ini adalah Untuk mengetahui pengaruh variabel Return on Equity, Return on Investment, Inflasi dan Sertifikat Bank Indonesia terhadap harga saham perusahaan sehingga dapat membentuk portofolio optimal dan Untuk mengetahui saham yang dapat membentuk portofolio optimal berdasarkan model indeks ganda pada saham Jakarta Islamic Index.

Jenis penelitian ini adalah penelitian deskriptif kuantitatif yang didasarkan atas survey terhadap objek penelitian dengan pendekatan kuantitaif. Penelitian ini sesuai dengan tujuan penelitian, yaitu untuk melihat pengaruh Return on Equity, Return on Investment, Inflasi dan Sertifikat Bank Indonesia serta menjelaskan bagaimana membentuk portofolio yang optimal agar dapat meminimalisir resiko investasi pada tingkat return tertentu bagi investor. Populasi dalam penelitian ini adalah seluruh saham yang masuk dalam Jakarta Islamic Index (JII) mulai periode 2013 sampai 2015. Pada setiap periode yang berjangka 12 bulan terhadap 30 saham perusahaan yang masuk dalam indeks JII.

Berdasarkan analisis data dan pengujian hipotesis yang telah dilakukan dalam penelitian ini, ditemukan bahwa variabel-variabel bebas (ROE, ROI, Inflasi dan SBI) secara simultan atau bersama-sama berpengaruh positif dan signifikan terhadap variabel terikat (Harga saham) dan hipotesis yang menyatakan bahwa ROE, ROI, Inflasi dan SBI berpengaruh secara simultan terhadap harga saham diterima. Berdasarkan hasil penelitian menunjukkan bahwa perhitungan return ekspektasi menggunakan model indeks ganda pada saham JII ternyata menghasilkan 10 saham pembentuk portofolio optimal yaitu ADRO, ASII, ICBP, INDF, ITMG, KLBF, PGAS, TLKM, UNTR, UNVR.

ENGLISH:

The objective in this research are to know the influence of variable Return on Equity, Return on Investment, inflation and Certificates of Bank Indonesia against the company's stock price so that it can establish the optimal portfolio and to find out the stocks that can form optimal portfolio model based on binary index on the Jakarta Islamic Index stocks.

Type of this research is quantitative descriptive research based on survey research with object against a quantitative approach. This research in accordance with the research objectives, i.e., to see the influence of Return on Equity, Return on Investment, Inflation and Certificates of Bank Indonesia as well as explaining how to form the optimal portfolio in order to minimize investment risks on the level of a certain return to investors. The population in this research are all stocks included in the Jakarta Islamic Index (JII) began the period of 2013 and 2015. In each period with a maturity of 12 months against the 30 companies included in the index JII.

Based on data analysis and hypothesis testing that has been done in this research, it was found that the independent variables (ROE, ROI, Inflation and Certificate of Bank Indonesia) simultaneously or together have a positive and significant effect on the stock price as dependent variable and the hypothesis that ROE, ROI, Inflation and CBI simultaneous effect on stock prices is received. Based on the results of the research showed that the expected return calculations using a double index model at stocks of JII turned out to generate 10 stocks forming the optimal portfolio they are ADRO, ASII, ICBP, INDF, ITMG, KLBF, PGAS, TLKM, UNTR, UNVR.