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p-Index From 2020 - 2025
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All Journal Journal of Economics and Economic Policy
Pramuditha Dwi Anggraini
Unknown Affiliation
Economics, Econometrics & Finance Social Sciences

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RISK ANALYSIS OF SINGLE STOCKS AND PORTFOLIOS IN LQ45 INDEX Astuti, Tri Heni; Pramuditha Dwi Anggraini
Journal of Economic and Economic Policy Vol. 2 No. 4 (2025): Journal of Economics and Economic Policy
Publisher : PT ANTIS INTERNATIONAL PUBLISHER

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61796/ijecep.v2i4.82

Abstract

Objective:  This study aims to measure and compare the Value at Risk (VaR) between single stocks and a portfolio within the LQ45 index using the Variance-Covariance method. Method: Daily closing prices of three companies—PT Bank Rakyat Indonesia (BBRI), PT Bank Central Asia (BBCA), and PT Astra International (ASII)—from January to October 2024 were analyzed. The Kolmogorov-Smirnov test confirmed the normal distribution of returns, validating the use of the Variance-Covariance approach. Risk for individual stocks was calculated using standard deviation, while portfolio risk incorporated covariance between asset returns. Results: The results show VaR values of Rp3,057,807 (BBRI), Rp2,243,478 (BBCA), and Rp2,928,485 (ASII) for single stocks, while the combined portfolio had a lower VaR of Rp1,985,061. Novelty: These findings indicate that diversification effectively reduces investment risk. The study provides practical insights for investors aiming to manage potential losses through portfolio construction.
RISK ANALYSIS OF SINGLE STOCKS AND PORTFOLIOS IN LQ45 INDEX Astuti, Tri Heni; Pramuditha Dwi Anggraini
Journal of Economic and Economic Policy Vol. 2 No. 4 (2025): Journal of Economics and Economic Policy
Publisher : PT. Antis International Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61796/ijecep.v2i4.82

Abstract

Objective:  This study aims to measure and compare the Value at Risk (VaR) between single stocks and a portfolio within the LQ45 index using the Variance-Covariance method. Method: Daily closing prices of three companies—PT Bank Rakyat Indonesia (BBRI), PT Bank Central Asia (BBCA), and PT Astra International (ASII)—from January to October 2024 were analyzed. The Kolmogorov-Smirnov test confirmed the normal distribution of returns, validating the use of the Variance-Covariance approach. Risk for individual stocks was calculated using standard deviation, while portfolio risk incorporated covariance between asset returns. Results: The results show VaR values of Rp3,057,807 (BBRI), Rp2,243,478 (BBCA), and Rp2,928,485 (ASII) for single stocks, while the combined portfolio had a lower VaR of Rp1,985,061. Novelty: These findings indicate that diversification effectively reduces investment risk. The study provides practical insights for investors aiming to manage potential losses through portfolio construction.
Co-Authors Astuti, Tri Heni