ANALISISPERBEDAANVOLUMEPERDAGANGANSAHAM-SAHAMYANGOPTIMALPADAJAKARTAISLAMICINDEX(JII)DIBURSAEFEKINDONESIA(BEI)

Rifqiawan, R.Arfan (2008) ANALISISPERBEDAANVOLUMEPERDAGANGANSAHAM-SAHAMYANGOPTIMALPADAJAKARTAISLAMICINDEX(JII)DIBURSAEFEKINDONESIA(BEI). Masters thesis, Program Pasca Sarjana Universitas Diponegoro .

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Abstract

ThepurposeofthisstudyistodeterminethatwhetherinvestorrationalityexistinundergoingthestockchoiceinJakartaIslamicIndexatIndonesiatockExchange. Populationtobechoseninthestudyis44firmslistedonJII.However,thesampleincludedareonly19firmsthatpresent30timesconsecutivelyofsimultanmonitoringonJII.From19firmsafteranalyzedwithsingleindexmodelfound11hasfirmshasERB>Ci*,thatmeanifinvestorinvestsin11stockswillgetreturnhigherwithlowerriskincomparisonwithinvestmentinriskfreeasset.Datatobeusedinthestudyisthesecondaryone,whichiscollectedfromIndonesiaStockExchangeMonthlyStatisticandriskfreeratereportfromCentralBankofIndonesia.ResulttobeobtainedfromthestudydemonstratesonempiricalevidenceofinvestorrationallyinchoosingthestockonJII.ThevalueisshowedaveragelystockstradevolumethathasERB>Ci*higheriscomparedaveragelystockstrade v olumethathasERB<Ci*. Penelitianinibertujuanuntukmenentukanadatidaknyarasionalitasinvestordalammelakukanpemilihansaham-sahamyangtergabungdalamJakartaIslamicIndex(JII)diBursaEfekIndonesia. Populasipenelitianiniterdiridari44perusahaanyangsahamnyamasukdalamjajaranJII.Dari44perusahaantersebutsetelahdiamatiselama30kalipengamatanbulananterdapat19perusahaanyangsahamnyasenantiasamunculdalamJIIsecaaterusmenerus.Dari19perusahaantersebutsetelahdianalisadenganModelIndeksTunggalterdapat11perusahaanyangsahamnyamemilikinilaiERB>Ci*,yangberartijikainvestorberinvestasipada11sahamtersebutakanmemperolehreturnlebihtinggidenganrisikolebihrendahjikadibandingkandenanberinvestasipadaasetbebasrisiko.DatayangdigunakandalampenelitianiniadalahdatasekunderyangdiperolehdarimajalahMonthlyyangditerbitkanolehBursaEfekIndonesiadandatriskfreeratebulanandariBankIndonesia.TeknikanalisisdalampenelitianinimenggunakanMannWhitneyModelAnalisys. Hasilpenelitianinimenunjukkanadanyarasionalitasinvestordalammelakukanpemilihansaham-sahamyangtergabungdalamJakartaIslamicIndex(JII)diBursaEfekIndonesia.Haliniditunjukkandenganrata-ratavolumeperdagangansaham-sahamyangmemilikinilaiERB>Ci*lebihtinggidibandingkandenganrata-ratavolumeperdagangansaham-sahamyangmemilikinilaiERB<Ci*.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HF Commerce > HF5601 Accounting
Divisions:Postgraduate Program > Master Program in Accounting
ID Code:18409
Deposited By:Mr upt perpus 4
Deposited On:14 Dec 2010 04:00
Last Modified:14 Dec 2010 04:00

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