CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH

Keunis

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Field Value
 
Title CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH
 
Creator Setyowati, Ery Indah
Husnurrosyidah, Husnurrosyidah
 
Subject Keuangan
optimal portfolio; single index model; portfolio return; portfolio risk; treynor index; Capital Asset Pricing Model (CAPM)
 
Description This study aims to analyze the optimal portfolio of stocks using a single index model and the Capital Asset Pricing Model (CAPM) in making investment decisions as well as the expected profit and risk of the optimal portfolio formed on Islamic stocks in the Indonesian Sharia Stock Index (ISSI) on the Indonesia Stock Exchange. 2016-2020 period. This research design is descriptive quantitative research. The study population was all stocks that were consistently included in the Indonesian Sharia Stock Index (ISSI), amounting to 207 stocks. The number of samples of this study was 136 stocks using the Slovin method. The results show that there are 54 stocks that meet the criteria for optimal portfolio formation. The optimal portfolio of ISSI index stocks has a portfolio return rate of 21.95% and a portfolio risk of 10.49%. The portfolio performance based on the Treynor index shows that the best of the 54 stocks is PTSP shares amounting to 32.73% of the trading sector. While the results in determining investment decisions using the Capital Asset Pricing Model (CAPM) method and 136 company shares, there are 65 undervalued stocks, and 71 stocks are overvalued. 
 
Publisher Jurusan Akuntansi Politeknik Negeri Semarang
 
Contributor
 
Date 2021-02-27
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://jurnal.polines.ac.id/index.php/keunis/article/view/2222
10.32497/keunis.v9i1.2222
 
Source KEUNIS; Vol 9, No 1 (2021): JANUARI 2021; 63-84
2714-7274
2302-9315
10.32497/keunis.v9i1
 
Language eng
 
Relation https://jurnal.polines.ac.id/index.php/keunis/article/view/2222/107241
https://jurnal.polines.ac.id/index.php/keunis/article/downloadSuppFile/2222/151
 
Rights Copyright (c) 2021 The Author(s)
http://creativecommons.org/licenses/by-sa/4.0
 

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