Analisis Return dan Risk Portofolio Optimal Saham Syariah Berdasarkan Single Index Model


  • Risa Berliana Putri Universitas Islam Negeri Maulana Malik Ibrahim Malang, Malang, Indonesia
  • Farahiyah Sartika * Mail Universitas Islam Negeri Maulana Malik Ibrahim Malang, Malang, Indonesia https://orcid.org/0000-0002-2849-8811
  • (*) Corresponding Author
Keywords: Return; Optimal Portfolio Risk; Single Index Model

Abstract

This study aims to determine what combinations of stocks can form an optimal portfolio using a single index model, to determine differences in the return and risk levels of portfolios formed using a single index model. The formulation of this research is What are the Islamic stocks that form the optimal portfolio using a single index model? and Is there a difference in the rate of return for portfolios formed using a single index model? This research uses quantitative methods with secondary data on Islamic stock prices obtained at the Jakarta Islamic Index. The research sample was taken using a purposive sampling method, with 30 population stocks during the study period so that 14 stock samples were obtained. share. Data analysis used by researchers is a single index model and independent T test. The results of the study using the single index model on Jakarta Islamic Index stocks with 14 samples can be obtained 5 stocks that are included in the optimal portfolio candidates and 9 stocks that are not included in the optimal portfolio candidates and there is a difference in returns that are included in the candidates and those that are not included in the portfolio candidates according to a significance value of 0.000 < 0.05. Meanwhile, there is no difference in stock risk between the risks that enter the candidate and those that do not enter the portfolio according to a significance value of 0.282 <0.05.

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Article History
Submitted: 2023-07-27
Published: 2023-08-29
Abstract View: 194 times
PDF Download: 106 times
How to Cite
Putri, R., & Sartika, F. (2023). Analisis Return dan Risk Portofolio Optimal Saham Syariah Berdasarkan Single Index Model. Ekonomi, Keuangan, Investasi Dan Syariah (EKUITAS), 5(1), 223-232. https://doi.org/10.47065/ekuitas.v5i1.3946
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