Abstract
AbstractThis research emphasizes the difference between risk and return on four group of index, which are LQ 45, SRI KEHATI, JII and ISSI. Test of significance conduct by doing Analysis of Varians Multivariate. The Analysis of Varians Multivariate results more accurate than repeatedly t-test among group. EGP Model mostly explained as Single Index Model in various textbook. Thus, Single Index Model only clarified influence of a Single Market Index for Individual Index, EGP Model use Reward to Volatility (RVOL) for measuring excess return to systematic risk. The results shows that after 15 years from sharia index introduce in Indonesian Stock Exchange, it shows significant difference between sharia index and conventional stock market. However, LQ 45 shows it persistence as high return high risk index consistently. The Analysis VariansMultivariate also shows SRI KEHATI, as an ethic businesses representative in Indonesian Stock Exchange as a weaker index. SRI KEHATI shows that various group portfolio form by EGP Model could not exceed JII performance. Therefore, it concludes that indexes provide by capital market to facilitise the preference of investor whereas,it is tremendously various. To invest in stock market, investor need to clarify their wants and needs. Whether their wants is to gain more return or to accommodate their risk, and their preferrence to invest in various kind of business or certain business such as business based on ethic or faith.Keywords: Analysis of Varians Multivariate; Risk and Return; EGP Model; Indexes; LQ 45; Sri-Kehati; Jakarta Islamic Index (JII); and Indeks Saham Syariah Indonesia (ISSI)
Highlights
This research emphasizes the difference between risk and return on four group of index, which are LQ 45, SRI KEHATI, Jakarta Islamic Index (JII) and Indeks Saham Syariah Indonesia (ISSI)
The results shows that after 15 years from sharia index introduce in Indonesian Stock Exchange, it shows significant difference between sharia index and conventional stock market
LQ 45 shows it persistence as high return high risk index consistently
Summary
Menurut Suad Husnan (2005:49): “portofolio adalah sekumpulan investasi” Francis (1993:28) menyatakan bahwa: “a portfolio is a collection of diversified investments assets” Dengan demikian diartikan bahwa portofolio terbentuk dari kombinasi berbagai aset investasi yang terdiversifikasi. Investor berharap untuk mengurangi risiko dengan cara melakukan diversifikasi dalam investasi yang dilakukan. Return merupakan penghasilan yang diterima atas investasi ditambah setiap perubahan harganya sebagai salah satu faktor yang memotivasi investor berinvestasi. Tandelilin (2001:60) mendefinisikan diversifikasi sebagai pembentukan portofolio sedemikian rupa sehingga risiko portofolio dapat diminimalkan tanpa mengurangi return yang diharapkan. Diversifikasi adalah pembentukan portofolio dalam rangka mengurangi risiko dengan penyebaran investasi. Model lain yang dapat digunakan dalam pembentukan portofolio optimal adalah Model Indeks Tunggal (Single Index Model) dan Elton-Gruber-Padberg (EGP) Model. Menurut Mc. Gowan, Jr and Toung (1992:52) langkah-langkah dalam proses EGP secara teoritis adalah Menghitung kinerja saham individual atau RVOL = (R – Rf )/ β, Mengklarifikasikan urutan kinerja saham individual berdasarkan peringkat RVOL, Menentukan Cut – off Point, Memilih Cut – Off Point maksimal ( C* ), Menentukan asset yang masuk portofolio, membandingkan besarnya RVOL individual dengan cut – Off Point maksimal. Berikut akan digambarkan melalui gambar kerangka konsep penelitian untuk memperjelas konsep didalam penelitian ini
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
