STOCK PORTFOLIO PERFORMANCE BASED ON STOCK VOLATILITY: A STUDY OF INDONESIA STOCK MARKET

JURNAL RISET MANAJEMEN DAN BISNIS (JRMB) FE-UNIAT

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Field Value
 
Title STOCK PORTFOLIO PERFORMANCE BASED ON STOCK VOLATILITY: A STUDY OF INDONESIA STOCK MARKET
 
Creator Kusno, John Iwan
Teja, Adrian
 
Description The aim of the study was to investigate the relevancy of capital asset pricing model (CAPM) in Indonesia. CAPM states investor who has willingness to take higher risk should compensate with higher return as compensation. Hypothesis testing uses the one sample t-test to validate the return portfolio is not equal to zero. The result of the study revealed that portfolio with highest risk did not provide highest return. Supposition of the results is because limitation of CAPM theory (frictionless market and everyone has risk averse profile). This creates low risk anomaly phenomenon in Indonesia stock market which lower risk portfolio can provide higher return and contractive monetary policy magnify the portfolio performance differences.
 
Publisher Economic Faculty, Attahiriyah Islamic University
 
Date 2019-02-23
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://jrmb.ejournal-feuniat.net/index.php/JRMB/article/view/238
10.36226/jrmb.v4i1.238
 
Source Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi UNIAT; Vol 4 No 1 (2019); 21 - 30
2581-2165
2527-7502
 
Language eng
 
Relation http://jrmb.ejournal-feuniat.net/index.php/JRMB/article/view/238/114
 
Rights Copyright (c) 2019 Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi UNIAT
http://creativecommons.org/licenses/by-nc-sa/4.0
 

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