Optimal Portfolio Formation with Single Index Model Approach on Lq-45 Stocks on Indonesia Stock Exchange


Authors : Rizkar Abrami; Bambang Santoso Marsoem

Volume/Issue : Volume 6 - 2021, Issue 3 - March

Google Scholar : http://bitly.ws/9nMw

Scribd : https://bit.ly/3nE3YP7

This study aims to find out the combination of average trading volume, ratio, expected profit level and optimal portfolio risk of the formed stock group and not an optimal portfolio candidate. A single index model is used to determine the optimal portfolio by comparing excess return to beta (ERB) with cut-off points (Ci). The research is that all stocks listed in the LQ45 index group in the period February 2019 - July 2019. sampling of data is carried out purposive sampling. Sample benchmarks are stocks listed in the LQ45 Index continuously during the research period, and there are 29 stocks that can be included in the research sample selection criteria. Data analysis and testing is carried out by determining which stocks are included in the optimal portfolio and which stocks are not included in the optimal portfolio, as well as comparing the average stock trading volume between stocks that are optimal portfolio candidates with stocks that are not candidates for optimal portfolios. Portfolio. From the calculation using a single index model, 8 stocks are optimally included in the portfolio and the ratio is BBCA 62%, WSKT 10%, ICBP 7%, TLKM 7%, BBTN 7%, BMRI 4%, PTBA 2% and BBRI.1%. Where the expected profit ratio is 1.88% and the risk is 0.12%. From the results of different tests, it is known that there is a difference in average transaction volume between stocks included in the optimal portfolio candidate and stocks that are not included in the optimal portfolio candidate. Therefore, investors should choose stocks that belong to optimal portfolio candidates".

Keywords : Single Index Model, Optimal Portfolio, LQ45 Index, ERB, Ci, Expected Profit Level, Portfolio Risk, Trading Volume

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