ANALISIS PORTOFOLIO MODEL INDEKS TUNGGAL SEBAGAI DASAR OPTIMALISASI INVESTASI SAHAM PERBANKAN

Abstract

One of the investment characteristics on securities is the easiness to create investment portfolio, it means that the investors can easily to deploy (conduct diversification) their investments in various opportunities of investment. The single index portfolio model is based on the idea that the profit level of securities is influenced by the level of market profit. When the market is getting better, the stock prices increase and moreover, It shows that the profit level of a stock is correlated to the market change. The samples are 6 go public banking companies.The data is the individual stock price, the amount of dividend which has been shared, the interest of Bank Indonesia rates, the Composite Stock Price 2013 Index which have been obtained from the STIESIA IDX Investment Gallery Surabaya. The result of this research shows that the optimal portfolio cannot be formed since the sample of stocks has the negative value of ERB. It shows that the stock return level of these stocks are under the risk-free rate of return on assets in this case is the interest of Bank Indonesia rates. Therefore, the investors had better to invest their capital in the bank since it is more profitable.
Keywords: Single Index Model, Stock, and Negative ERB.