Analesis Pembentukan Portofolio Optimal Pada Saham-Saham Sebelum Dan Sesudah Krisis Ekonomi Di Bursa Efek Jakarta : Studi Kasus Pada Saham-Saham Industri Barang Konsumsi

Abstract

Portfolio is an investment association in the framework to ininiinize risks and to maxiinize the return of an investment. The combination between risk and ret urn through the investment divers ulcation often known as optimal portfolio. On the thesis about the optimal portfolio establishment analysis through this single index method we want to • : know how the combination of shares which are forining the optimal Portfolio, and how the allocation of the shares investment scale which are forining the Portfolio as well as how the activities of each share which have formed a Portfolio at the period prior to the econoinic crisis and after the econoinic crisis. • Convinced in this thesis there is a signicant c4fference in Portfolio establishment before and after econoinic crisis, since the econoinic crisis in Indonesia has a big effect on market return (global shares index) as well as individual shares • (companies shares) and djfference of risk as a res tilt of individual problems of each company because of the company debt policy or because of the reduction market purchasing power. This thesis takes a case study of consumer goods industry based on the assumption that consumer goods industries are more survive than any other industries shares in the period of econoinic crisis. Total of these industries on the Jakarta stock exchange list in the analysis period June 1995 until June 1997 and November 1997 until November 1999 (the period before and after econoinic crisis) are 37 (thirty seven) companies and as the analysis 20 (twenty) companies had been taken as a sample based • on descending sequence of total market capitalization criteria selection. By using the optimal Portfolio establishment procedure especially through single index method, using the data of individual shares cost index to get the return of individual shares and global share cost index to get the return of market shares, so with the aid program, the optimal Portfolio calculation has been obtained, excess return to beta, cut off rate and at last the shares establishing an optimal Portfolio as well as the total investment on each share allocation can be obtained. With the aid of formula, activities of each shares forming the Portfolio can also be obtained.