Text
ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI (TUDI BUMN YANG TERDAFTAR DI BEI)
ABSTRACT
This research is entitled “The Analysis of the Establishment of Optimal Portfolio by Using Single Index Model
in the Making of Investment Decision on State-owned Government Commercial Banks which are listed in
Indonesia Stock Exchange”.The purpose of this research is to apply the single index model in the decisionmaking
of optimal investment in considering of stock investment on State-owned Government Commercial
Banks which are listed in Indonesia Stock Exchange. The data in this research is Composite Stock Price Index
(IHSG), dividend payment, and individual stock price and interest rates level in 2010-2013 periods. This
research is located in Indonesia Stock Exchange at STIESIA (Indonesia Schools of Economic) Surabaya.The
calculation has been carried out by using the profit level and risk level of individual stock formulas. Then, the
Excess Return to Beta and Cut off Point (Ci) is calculated. The stocks that own ERB is bigger than Ci is
categorized in optimal portfolio.The result of the research of 3 commercial Banks describes that 2 optimal stocks
in which their ERB value is higher than Ci value have been obtained. The stock which is categorized into the
optimal portfolio are Bank Rakyat Indonesia (BRI) and Bank Negara Indonesia.
Keywords: Single Index Model, Investment, Stock.
ABSTRAK
Tujuan penelitian ini adalah mengaplikasikan model indeks tunggal untuk pengambilan keputusan
investasi yang optimal dalam pertimbangan investasi saham pada Bank Umum BUMN di Bursa Efek
Indonesia. Data dalam penelitian ini yaitu Indeks Harga Saham Gabungan (IHSG), pembagian
dividen, serta harga saham individu dan tingkat suku bunga tahun 2010 – 2013. Penelitian ini
berlokasi di Bursa Efek Indonesia (BEI) yang terdapat di STIESIA (Sekolah Tinggi Ilmu Ekonomi
Indonesia) Surabaya.Perhitungan dilakukan dengan menggunakan rumus – rumus tingkat
keuntungan dan tingkat risiko saham individu. Setelah itu menghitung nilai Excess Return To Beta dan
Cut Off Point (Ci). Saham yang memiliki ERB lebih besar daripada Ci masuk dalam kategori portofolio
optimal.Hasil penelitian dari 3 Bank Umum yang menjadi sampel diperoleh 2 saham yang optimal
yaitu saham yang memiliki nilai ERB lebih tinggi daripada nilai Ci. Saham yang masuk dalam
portofolio optimal adalah Bank Rakyat Indonesia (BRI) dan Bank Negara Indonesia.
Kata kunci : Model Indeks Tunggal, Investasi, Saham
Tidak ada salinan data
Tidak tersedia versi lain