Raden Arfan Rifqiawan*  -  IAIN Walisongo Semarang, Indonesia

(*) Corresponding Author

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).

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Open Access Copyright (c) 2016 Economica

Economica: Jurnal Ekonomi Islam
Published by the Institute of Islamic Economic Research and Development (LP2EI), Faculty of Islamic Economics and Business UIN Walisongo Semarang
Jl Prof. Dr. Hamka Kampus III Ngaliyan Semarang 50185
Phone: +62 857-1999-1679

ISSN: 2085-9325 (Print)
ISSN: 2541-4666 (Online)
DOI: 10.21580/economica

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

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