ANALISIS MODEL INDEKS TUNGGAL SEBAGAI DASAR INVESTASI SAHAMPADA PERUSAHAAN BUMN

Abstract

The purpose of this research is to find out how to form an efficient portfolio for prospective investor by
using single index model as the basis of consideration of stock investment on state owned enterprises
(BUMN) which are listed in Indonesia Stock Exchange.The samples are the stocks of state owned
enterprises which are listed in Indonesia Stock Exchange and the state owned enterprises which have
shared dividend in 2012 period with the criteria which has been determined by the researcher so there
are 5 stocks which are included in the criteria. This research is located in STIESIA IDX Corner, Jl.
Menur Pumpungan 30 Surabaya 60118.The calculation in this research has been carried out by using
single index model formulas; one of the formulas is the calculation of individual return, market return,
alpha and beta, and so on. Beta character becomes the comparative how sensitive the stock to the
movement of the market. When beta has a score more than 1, it means that the stock can give high
profit level compare to the overall profit level in the stock market, on the other hand when beta has a
score less than 1, it means that the stock can give low profit level compare to the overall profit level in
the stock market. The result of the research of 5 samples stocks, all samples are categorized in optimal
portfolio with the investment proportion of each stock: Adhi Karya (ADHI) 29.56%, PT Wijaya Karya
(WIKA) 26.34%, PT Perusahaan Gas Negara (PGAS) 15.90%, PT Pembangunan Perumahan (PT
PP) 18.68%, and PT Semen Indonesia (SMGR) 9.52% with the profit level of the expected portfolio is
0.6230 and the risk level is 0.0046.
Keywords: Single Index Model Portfolio, Investment, Stocks