Analisis pengaruh inflasi, nilai tukar rupiah dan bunga deposito terhadap portofolio optimum saham-saham blue chips di bursa efek.
Masters thesis, Institut Pertanian Bogor.
Analysis Influences of Inflation, Exchange Rate and Deposit Rate on Optimum Portfolio Blue-Chips Stock at Jakarta Stock Exchange By Zulfi Skendra
The optimum portfolio is very helpful mean to security investors in their effort to maximize return at given level of risks or to minimize risk to ear given level to return. Base on the rationale, this research is aimed at knowing how many shares that could achieve the optimum portfolio at the Jakarta Stock Exchange. It is also aimed at know : the influences of inflation, exchange rate and deposit rate on market return, and whether there is change in the amount of share at the optimum portfolio.
The analysis conclude the followings: the rate of return of a number of share listed in the Jakarta Stock Exchange, particularly these the Blue-chips stock, during three years studied (2002 through 2004), were in average positive. Analysis portfolio of single index model, among the ten types of share, only five them were able to provide certain profit at minimum investment risk. The types of share were those of ASII, AALI, ISAT, TLKM and SMGR.
Inflation was not found to have significant effect on the market return. Exchange rate and deposit rate was found to have significant effect on the market return.
Given the effects of exchange rate and deposit rate on the share return, some component of optimum portfolio such as the market return beta and its residual variant changed. The analysis indicated that strong effect of exchange rate and deposit rate increased the number of shares in optimum portfolio from only five types to six. The last type is UNVR.
Based on the results of the analysis, it is suggested to investors in the stock exchange to take care of exchange rate and deposit rate; when exchange rate and deposit rate is expected to persist they'd better sell the shares, or diversify their portfolio to minimize risk.
Thesis or Disertation
||Blue-chips, BEJ, Portofolio Optimum, Indeks Tunggal, Return Saham, Return Pasar, ERB, C, Indeks Sharpe, Indeks Treynor, Indeks Jensen, Studi Kasus
||01 Aug 2011 08:24
||01 Aug 2011 08:24
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