SIMILARITY RESULT OF_THE ANALYSIS OF OPTIMAL STOCK-BOND PORTFOLIO STRATEGY: EMPIRICAL STUDY IN LQ 45 INDEX COMPANIES AND GOVERNMENT BONDS LISTED ON INDONESIA STOCK EXCHANG

PRATAMA, YOGA YUDHA and Andriana, Isni and Umrie, Rasyid HS (2023) SIMILARITY RESULT OF_THE ANALYSIS OF OPTIMAL STOCK-BOND PORTFOLIO STRATEGY: EMPIRICAL STUDY IN LQ 45 INDEX COMPANIES AND GOVERNMENT BONDS LISTED ON INDONESIA STOCK EXCHANG. Turnitin Universitas Sriwijaya.

Text Similarity result of_The Analysis of Optimal Stock-Bond Portfolio Strategy_ Empirical Study in LQ 45 Index Companies and Government Bonds Listed on Indonesia Stock Exchang.pdf Download (3MB)

Abstract

Purpose - This study aims to analyze the strategy in determining the optimal stocks portfolio performance through Single Index Model technique from LQ 45 Index stocks and optimal bonds portfolio performance of bonds through Buy and Hold technique from government bonds in Indonesia Stock Exchange in the 2014-2018 period. The strategy generates performance which generally consists of optimal return (yield), risk and portfolio proportion. Design/methodology/approach - The population used in the study are companies stock in LQ 45 Index which produced 23 samples and government bonds produced 7 samples. The methodology research in this study is descriptive analysis. The type of data used in this study is quantitative and data sources of this study is secondary data. Purposive sampling method used as the sampling method. Finding - This research found that optimal stock portfolio performance with expected return and optimal portfolio risk values at 0.01497 and 0.006395 while optimal bonds portfolio performance showed optimal portfolio yields and risk with values at 0.090063991 and -0.003063991. The proportions of fund that invested in the optimal stock portfolio are BBCA (27%), GGRM (12%), TLKM (11%), ICBP (14%), PTBA (5%), UNVR (10%), BBRI (9%), BBNI (6%), BMRI (5%) and UNTR (2%) while the optimal bonds portofolio proportions are FR0073 (90%) and FR0072 (10%). Research limitations/implications – This study only analyzes optimal portfolio performance on LQ 45 Index stocks and government bonds by observing the value of the expected return, yield and optimal portfolio risk as the main components for this study. For further research, it can use another stock indexes and bonds type in finding the optimal portfolio and use other methods such as the Markowitz method and the Immunization method in finding the optimal portfolio of stocks and bonds. This study also focuses on determining the proportion of the allocation of funds to be invested in stocks and bonds that meet optimal criteria. Originality/value – This study contributes to literacy in analyzing optimal portfolio performance by using a Single Index Model & Buy and Hold techniques. This analysis gives the results that the value of the expected return on shares exceeds the value of the expected market return. The yield generated from the bond portfolio is also more optimal when it is compared to the yield of one bond. This study provides a clear view to researchers or investors that combining a security asset with other security assets can increase the return and minimize the risk.

Item Type:	Other
Uncontrolled Keywords:	Single Index Model, Buy and Hold, LQ 45 Index, Government Bonds and Optimal Portfolio Performance
Subjects:	#3 Repository of Lecturer Academic Credit Systems (TPAK) > Articles Access for TPAK (Not Open Sources) #3 Repository of Lecturer Academic Credit Systems (TPAK) > Results of Ithenticate Plagiarism and Similarity Checker
Divisions:	01-Faculty of Economics > 61001-Management (S3)
Depositing User:	Mrs Isni Andriana
Date Deposited:	28 Apr 2023 08:34
Last Modified:	28 Apr 2023 08:34
URI:	http://repository.unsri.ac.id/id/eprint/97816

Actions (login required)

View Item