ANALISIS RASIONALITAS INVSETOR DALAM PEMILIHAN DAN PENENTUAN PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM JAKARTA ISLAMIC INDEX

Raden Arfan Rifqiawan

Abstract


The purpose of this study is to determine that  wether investor rationality exist in undergoing the stock choice in  Jakarta Islamic Index at Indonesia Stock Exchange. Population to be chosen in the study is 44 firms listed on JII. However, the sample included are only 19 firms that present 30 times consecutively of simultan monitoring on JII. From 19 firms  after analyzed with single index model  found 11 has firms has  ERB > Ci*, that mean if investor invests  in 11 stocks will  get return higher with lower risk in comparison with investment in risk free  asset. Data to be used in the study is the secondary one, which is collected from Indonesia Stock Exchange Monthly Statistic and risk free rate report from Central Bank of Indonesia.Result to be obtained from the study demonstrates on empirical evidence of investor rationally in choosing the stock on JII. The value is  showed averagely stocks trade  volume that has  ERB > Ci* higher is compared averagely stocks trade  volume that has  ERB< Ci*.


Keywords


Return, Risk Free Return, Optimal Portfolio, Excess return to Beta, Jakarta Islamic Index (JII).

Full Text:

PDF

References


Bawazier, Said dan Sitanggang, (1994), Memilih Saham-Saham untuk Portofolio Optimal, Jurnal Usahawan Vol. XI, hal 34-40. Januari.

Bringham, F. Eugene dan Gapenski C. Louis, (1993), Intermediate Financial Management, New York , Harcourt Brace College.

Elton , J. Edwin, dan J Martin Gruber, (1995), Modern Portofolio Theory and The Investment Analisys. New York , John Wiley & Sons. Inc.

Fauzi,Ahmad Johan Arifin, dan M. Fakhrudin (2004), Aplikasi Excel dalam Finansial Terapan, Jakarta, PT. Elex media Komputindo.

Husnan, Suad, (2001), Dasar-dasar Teori Portofolio, Yogyakarta : UPP AMP YKPN.

Manurung, Adler Haymans, (1997), Kapitalisasi Besar, Kecil, dan Campuran, Jurnal Usahawan, No. 12 Th XXVI Desember.

Mao, T.C. James, (1970), Essentials of Portfolio Diversification Strategy, The Journal of Finance 2.

Markowitz, M. Harry,(1959), Portofolio Security : Efficient Diversification of Investment, New York: John Wiley & Sons. Inc.

Poon, S, S.J. Taylor dan C.W.R. Ward (1992), Portofolio Diversification: A Pictorial Analysis of the U.K. Stock market, Journal of Business Finance and Accounting.

Sartono, R. Agus, & Sri Zulaihati, (1998), Rasionalitas Investor Terhadap Pemilihan dan Penentuan Portafolio Optimal Dengan Model Indeks Tunggal di BEJ. Kelola No. 17/VII/1998

Sartono, R. Agus, & Sri Zulaihati, (1998), Rasionalitas Investor Terhadap Pemilihan dan Penentuan Portafolio Optimal Dengan Model Indeks Tunggal di BEJ. Kelola No. 17/VII/1998

Sharpe R. William F. Gordon J. Alexender, dan Jeffry V. Bailey, (1963), Investment. New York : Prentice Hall.

Trone, Donald B. dan William R. Allbright (1996), The Producerally Prudent Investment Process, Journal Abstract of Asset, Prentice Hall, hal..53-58

Van Horne. James C & John Wachowitz Jr., (1992), Financial Management and Policy, Englewood: Prentice Hall.




DOI: http://dx.doi.org/10.21580/economica.2012.2.2.826

Refbacks

  • There are currently no refbacks.




Copyright (c) 2016 Economica

Economica: Jurnal Ekonomi Islam Indexed by:

Journal Terindex di DOAJ Journal Terindex di Neliti Journal Terindex di Base Journal Terindex di Crossref Journal Terindex di Google Scholar Journal Terindex di Portal Garuda Journal Terindex di Moraref    

Copyright (c) 2018 Economica: Jurnal Ekonomi Islam

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License

shopify analytics ecommerce View My Stats