ANALISIS RASIONALITAS INVSETOR DALAM PEMILIHAN DAN PENENTUAN PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM JAKARTA ISLAMIC INDEX
DOI:
https://doi.org/10.21580/economica.2010.1.1.834Keywords:
Return, Risk Free Return, Optimal Portfolio, Excess return to Beta, Jakarta Islamic Index (JII)Abstract
The purpose of this study is to determine whether investor rationality exist in undergoing the stock choice in Jakarta Islamic Index at Indonesia Stock Exchange. The chosen populations in the study are 44 firms listed on JII. However, the samples are only 19 firms that present 30 times consecutively of simultaneous monitoring on JII. From 19 firms after being analyzed with single index model, there are 11 firms have ERB > Ci*, it means if investor invests in 11 stocks will get return higher with lower risk in comparison with investment in free risk asset. Data which is used, is thesecondary one and collected from Indonesia Stock Exchange Monthly Statistic and free risk rate report from Central Bank of Indonesia. The result demonstrates on empirical evidence of investor rationally in choosing the stock on JII. The value is showed averagely by stocks trade volume that has ERB > Ci* higher than averagely stocks trade volume that has ERB< Ci*.
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