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All Journal Journal of International Conference Proceedings Journal of Economics and Management Scienties
Ariantara, Made Arvin
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Electrical & Electronics Engineering Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Library & Information Science Social Sciences

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Application of The Single Index Model to Determine Optimal Portfolio Composition in IDXG30 Stocks (2021-2024) Ariantara, Made Arvin; Oktayanti, Ni Putu Riza; Astawa, I Made; Rahim, Laode
Journal of Economics and Management Scienties Volume 7 No. 4, September 2025
Publisher : SAFE-Network

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37034/jems.v7i4.190

Abstract

This study investigates optimal portfolio construction using the Single Index Model (SIM) with a focus on IDXG30 stocks in Indonesia, an index known for its high liquidity and market capitalization. In the context of growing investor interest in efficient yet practical portfolio strategies, this research aims to determine the composition of an optimal portfolio, allocate fund proportions accordingly, and assess the expected return and risk associated with the resulting investment. The study adopts a descriptive methodology with a quantitative approach. Secondary data were collected from 30 IDXG30-listed companies during the 2021–2024 period, including monthly stock prices, Jakarta Composite Index (JCI) values, and Bank Indonesia’s 7-Day Reverse Repo Rate (BI7DRR) as the risk-free rate. The analysis follows the SIM framework, utilizing Excess Return to Beta (ERB) as the key selection metric. Results show that 15 companies qualified for the optimal portfolio, with the top five weighted stocks being NISP (53.96%), MIDI (7.57%), AUTO (7.53%), BBCA (6.61%), and MAPA (4.86%). The expected return of the constructed portfolio is 1.99%, with an estimated risk of 0.0765%. These findings demonstrate that the SIM can effectively guide investors in identifying high-performing stocks and achieving favorable risk-return trade-offs, particularly in emerging markets. The study provides relevant insights for fund managers and policymakers in designing index-based investment instruments.
Analysis Of Abnormal Stock Returns One Week After The First Confirmed Covid-19 Case in Indonesia Ariantara, Made Arvin; Oktayanti, Ni Putu Riza; Astawa, I Made; Manuaba, I Gede Made Bagus Wira; Ariestiani, Ni Wayan; Widiadana, Kadek Alexs Padma
Journal of International Conference Proceedings Vol 8, No 4 (2025): 2025 ICPM Hong Kong
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/jicp.v8i4.4337

Abstract

This study examines the reaction of the Indonesian capital market to the announcement of the first confirmed COVID-19 case in Indonesia on March 2, 2020, by applying an event study approach to stocks included in the IDX SRI-KEHATI index. The sample consists of 25 companies, with an observation window of 11 trading days (t?5 to t+5) and an estimation period of 60 days. Abnormal returns were calculated using the market model to identify short-term market reactions to unexpected public information. The results indicate that the majority of stocks experienced negative abnormal returns around the event date, reflecting heightened investor uncertainty. On the announcement day (t?), several major stocks recorded significant negative abnormal returns, such as BBRI (?0.03361), BBNI (?0.03042), BTPS (?0.04307), and a negative accumulated abnormal return (ARTN) of ?0.02313. Although a limited number of stocks, including ASII (0.05942) and ANTM (0.03915), showed positive abnormal returns, the overall average abnormal return (AAR) declined sharply after the event. The cumulative average abnormal return (CAAR) continued to decrease throughout the post-event period, indicating a sustained negative market response. These findings support the semi-strong form of the Efficient Market Hypothesis, suggesting that the Indonesian capital market reacts quickly but unevenly to systemic crisis information
Co-Authors Ariestiani, Ni Wayan Astawa, I Made Manuaba, I Gede Made Bagus Wira Oktayanti, Ni Putu Riza Rahim, Laode Widiadana, Kadek Alexs Padma