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All Journal Journal of Business and Management The Indonesian Journal of Business Administration International Journal of Economic, Business, Accounting, Agriculture Management and Sharia Administration (IJEBAS) Jurnal Impresi Indonesia Journal Research of Social Science, Economics, and Management Eduvest - Journal of Universal Studies Journal Integration of Social Studies and Business Development IIJSE
Subiakto Sukarno
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Religion Aerospace Engineering Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Environmental Science Health Professions Law, Crime, Criminology & Criminal Justice Neuroscience Social Sciences

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Optimal Investment Portfolio Analysis Using The Markowitz Model For Stock In Each Sector In The Indonesia Stock Market During Covid 19 (2020-2021) Meliala, Fitria Ulina; Sukarno, Subiakto
Journal Research of Social Science, Economics, and Management Vol. 2 No. 8 (2023): Journal Research of Social Science, Economics, and Management
Publisher : Publikasi Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59141/jrssem.v2i08.399

Abstract

The COVID 19 pandemic in early March 2020 starting from Wuhan had a very large impact on the global economy and the Indonesian economy, the COVID 19 pandemic forced the government to establish a PPKM policy (Implementation of Restrictions on Community Activities) to suppress the spread of Covid 19 in Indonesia. Indonesia's State Gross Domestic Product fell in the second quarter 2021 amounting to -5.32% and also having an impact on the stock market in Indonesia at January 02 2020 the JCI was recorded at 6283 fell to 3937 in March 24 2020 (minus 36.77%) in March 2020. The results of this study using 22 of the stocks representing 11 sectors in the stock market in Indonesia obtained a maximum Sharpe ratio calculation of 31.57% with a weekly yield of 1.48% and a standard deviation of 4.39% and a maximum yield with a Sharpe ratio of 31.29% and a yield weekly yield of 1.37% and a standard deviation of 4.08%, the result of the minimum standard deviation with a Sharpe ratio of 5.92% with a weekly yield of 0.24% and a standard deviation of 2.51% and the results of Portfolio in the efficient frontier namely portfolio 6 with a Sharpe ratio of 30.94% and weekly yield of 1.3% and a standard deviation of 3.9%. For investors who want to optimize their portfolio, they can choose stocks with optimal Sharpe ratios that already pay attention to risk-adjusted return.
Co-Authors Adriansyah Ekaputra Ajianto Puspoyo Al Farisy, Haidar Alam Akbar Halimawan Anisa Adiningrum, Anisa Bambang Tri Basuki, Bambang Tri Barkah Muharam, Barkah Evin Kartina Fatris, Evin Kartina Ferdo, Redian Giovanni Permata Dewi, Giovanni Permata Jermia, Jermia Jota, Astrid Laregan Ludi Maulana Biran, Ludi Maulana Maggie Rosalina Halim, Maggie Rosalina Meliala, Fitria Ulina Mohammad Rusyad Salim Muhammad Rizky Adisaputra Nurrahman, Ahmad Rizki Sumirat, Erman Arif Yulianto, Tomi Zaidaan Rizq Vinsa Putra Zenda Christian Adhiatama