Building an Optimal Portfolio on Indonesia Sharia Stock Index (ISSI)
Abstract: Indonesian economy
is particularly susceptible to capital outflow and net sell position due to the
relatively high share of foreign ownership in the stock and government debt
market. One of the efforts to reduce the vulnerability is to increase the
involvement of public participation in the capital market. The purpose of this
study was to establish the optimal portfolio generated from stocks listed on
Indonesia Sharia Stock Index (ISSI) and measure its performance in order to
determine its potential as an instrument for the major community to invest in
the stock market. Calculations using single index model approach, daily stock
price data and inflation rate as a proxy of the risk free rate, produce the
optimal portofolio composed of forty three stocks with preferable yield and
risk than the markets (Jakarta Composite Index). The number of stocks and the
value of risk which is smaller than the market risk indicate that the portfolio
are well diversified. The results of the performance test using Jensen’s Alpha
method shows that the portfolio are able to outperform the market, JII, and
ISSI.
Author: Asto Hadiyoso,
Muhammad Firdaus, Hendro Sasongko
Journal Code: jpadministrasinegaragg150049
