THE ANALYSIS OF OPTIMAL PORTFOLIO ESTABLISHMENT USING THE SINGLE INDEX MODEL TO DECIDE TO INVEST IN SHARE JAKARTA ISLAMIC INDEX PERIOD OF 2012-2015

Abstract

This research aims to find out the shares of companies listed in the Jakarta Islamic Index (JII) in the Indonesia Stock Exchange selected in the formation of an optimal portfolio period January 2012 - December 2014 and the proportion of each share in the optimal portfolio. This research is quantitative descriptive research. The population of this study is all shares included in the calculation of Jakarta Islamic Index (JII) published six months, amounting to 30 shares. The technique of selecting the sample of this study uses purposive sampling method and obtained 19 shares as sample research. The variables in this research are stock return, market return, stock risk, and market risk. The method of data analysis uses Single Index model.

The results of this study indicate that: (1) there are 4 stocks that meet the criteria of optimal portfolio formation ie UNVR shares (Unilever Indonesia Tbk), ICBP (Indofood CBP Sukses Makmur, Tbk) and INTP Indocement Tunggal Prakarsa Tbk). (2) The proportion of funds worth investing in the shares is 28.28% or 0.28277 for the shares of UNVR (Unilever Indonesia Tbk), 29.94% or 0.29944 for PGAS (Perusahaan Gas Negara (Persero) Tbk) , 41.03% or 0.041033 for ICBP shares (Indofood CBP Sukses Makmur Tbk) and 0.75% or 0.00746 for INTP Indocement Tunggal Prakarsa Tbk shares).

Keywords: Optimal Portfolio, Single Index Model, Jakarta Islamic Index