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Herlina Rasjid
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Religion Agriculture, Biological Sciences & Forestry Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Public Health Social Sciences Transportation Other

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Journal : Islamic Economics and Finance Journal

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Analisis Penerapan Metode Single Index Model dan Constant Correlation Model dalam Optimalisasi Portofolio Saham Indeks LQ-45 di Bursa Efek Indonesia (BEI) Periode 2019-2021 Yuningsih Wagafir; Yayu Isyana Pongoliu; Herlina Rasjid
Jurnal Ekonomi Islam Vol 1 No 2 (2022): August 2022
Publisher : Scimadly Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (422.545 KB) | DOI: 10.55657/iefj.v1i2.40

Abstract

This study aims to determine the optimal stock portfolio using the single index model method and the constant correlation model method during the covid-19 pandemic. The data used is secondary data obtained from the company's stock price data on the Indonesia Stock Exchange. The sample in this study are companies that are included in the LQ-45 index during the 2019-2021 period. Data analysis in this study used the single index model method and the constant correlation model method in the Excel and SPSS programs. The results show 1) that stocks on the LQ-45 index that can form an optimal portfolio using the single index model method during the covid-19 pandemic are TBIG shares, MIKA shares, and MDKA shares. The portfolio return of the three stocks is 1.54%. Meanwhile, the portfolio risk value of the three stocks is 0.30%. 2) stocks on the LQ-45 index that can form an optimal portfolio using the constant correlation model method during the covid-19 pandemic are MDKA shares, TBIG shares and ANTM shares. The portfolio return of the three stocks is 1.99%. Meanwhile, the portfolio risk of the three stocks is 1.15%. There is no significant differences in return and risk in the single index model method and the constant correlation model method during the covid-19 pandemic.
Co-Authors Aditya Saputera Pakaya Adrianto Lasaleng Agus Hakri Bokingo Al Ramdan Hadju Amran, Nanda Pratiwi Andi Yusniar Mendo Ardiansyah Ardiansyah Djoko Lesmana Radji Dondick w Wiroto Dungga, Meriyana Fransisca Fitria Ali Hais Dama Hapsawati Taan Harun Blongkod Ibrahim, Gabriela Idham Masri Ishak Indriyani M. Mosi Jullia Kabula, Hajrawati Karmila Karmila Kayla Az Zahra Abd. Latief Lanto Mariatin Amali Lanto Miriatin Amali Lisda L. Asi Luthfiyyah Muhadzdzab Masri Ishak, Idham Masse, Hamka Meyvi Fransiska Tarau Moh. Reza Saputra Basiru Muhamad Irgi Fahreji Mokoagow Naini, Khoirunnisa Nilasari Paputungan Nurwijayanti Pongoliu, Yayu Isyana D. Pratiwi Husain, Siti Raflin Hinelo Rahmatia Rahmatia Ramdita, Sri Rasyid, Sitti Rizqi Aulia Regian Sofyananda Alim Rizan Machmud Saputra, Briyan Dwi Sartin H Pontoh Selvi Selvi Selvi Sila, Yulia Monica Silvana Ahmad Simbuang, Bella Sri Lestari Srie Isnawaty Pakaya Srie Isnawaty Pakaya Stevania Ahmad Tri Handayani Amaliah Tri Maulina Abdullah Valentina Monoarfa Wiyono, Pazrin Yayu Isyana D. Pongoliu Yuli Ratna Dewi Yulinda L. Ismail Yuningsih Wagafir Zulfia K. Abdussamad