Analisis return dan risk portofolio optimal saham syariah berdasarkan single index model

Putri, Risa Berliana and Sartika, Farahiyah ORCID: https://orcid.org/0000-0002-2849-8811 (2023) Analisis return dan risk portofolio optimal saham syariah berdasarkan single index model. Ekonomi, Keuangan, Investasi dan Syariah (EKUITAS), 5 (1). pp. 223-232. ISSN 2685-869X

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Abstract

This study aims to determine what combinations of stocks can form an optimal portfolio using a single index model, to determine differences in the return and risk levels of portfolios formed using a single index model. The formulation of this research is What are the Islamic stocks that form the optimal portfolio using a single index model? and Is there a difference in the rate of return for portfolios formed using a single index model? This research uses quantitative methods with secondary data on Islamic stock prices obtained at the Jakarta Islamic Index. The research sample was taken using a purposive sampling method, with 30 population stocks during the study period so that 14 stock samples were obtained. share. Data analysis used by researchers is a single index model and independent T test. The results of the study using the single index model on Jakarta Islamic Index stocks with 14 samples can be obtained 5 stocks that are included in the optimal portfolio candidates and 9 stocks that are not included in the optimal portfolio candidates and there is a difference in returns that are included in the candidates and those that are not included in the portfolio candidates according to a significance value of 0.000 < 0.05. Meanwhile, there is no difference in stock risk between the risks that enter the candidate and those that do not enter the portfolio according to a significance value of 0.282 <0.05.

Item Type:	Journal Article
Keywords:	return; optimal portfolio risk; single index model
Subjects:	15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
Divisions:	Faculty of Economics > Department of Management
Depositing User:	Farahiyah Sartika
Date Deposited:	27 Sep 2023 09:23

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