Penentuan Janoka Waktu Pembentukan Portfolio. Yang Meminimalkan Resiko Investasi Di Bursa Efek Jakarta : Berdasarkan penilaian terhadap Resiko, Tingkat Pengembalian dan Kinerja Portfolio Saham Jangka Waktu Investasi 1 minygu, 2 minggu dan I Bulan)

Abstract

ABSTRACT This research examines whether the investment horizon have an effect to the stock portfolio risk and returns. Previous research (Wayne YLee,199O), (Levy and Gunthorpe, 1994) and (Marshall, 1994) found that lengthening the period of investment horizon did not reduced risk and on the other band shortening the period of investment horizon might reduced risk, The main purpose of this research is to detennine the optimal investnzent horizon which have minimized the risk of portfolio on stocks by using Single Index Model. This study coared risk, return and the performance of stocks portfolio which the horizon of port folio investment is divided by weekly, Li-weekly, and monthly observed data from July 1997 to December 1999 period. The results from this research is consistent with previous research, Eupirical evidences significantly indicated when risk is defined as variability in holding-period returns, the risk of portfolio would increases it investment horizon lengthened and the risk of portfolio decreases as investment horizon shortened. It showed by the variance of the portfolio which increases if the horizon investment lengthened, on the other hand, the risk of portfolio would decreases if the horizon invesent shortened. 111 ABS2RAK Penelitian mi nengkaji apakab anqka waktu investasi z memiliki danpak terhadap resiko dan tingkat pengembalian portfolio saham. Rasil penelitian terdahulu (Wayne Y Lee, 1990), (Levy dan Gtzthorpe, 1994) dan (Marshall, 1994) mengungkapkan bahwa semakin panjarxg periode jangka waktu investasi tidak akan mengurangi resiko dan niezrpexpendek j angka waktu investasi akan xnengurangi resiko. Tuuan utasna dalain penelitian mi adalah untuk menemukan jangka waktu investasi yanq mesnininalkan resiko pada portfolio sahain yang dibentuk dengan inenggtnakan Model Indeks Tuuggal. Penelitian mi nesnbandingkan resiko (Variance Portfolio, tingkat pengeinbalian (Return Portfolio) dan kineija portfolio (Indeks Treynor) saham dalam jangka waktu investasi 1 minggu, jangka. waktu investasi 2 minggu dan jangka waktu investasi 1 bulan selama 30 periode pengamatan dalain kurun waktu bulan Juli 1997 sanpai dengan Deseinber 1999. fiasil dan penelitian mi konsistea dangan penelitian terdahulu. Bukti eniris zuengindikasikan secara signifikan baiiwa jangka waktu investasi inenilliki danpak terhadap resiko dan tingkat pengextalian portfolio sahazn, Penelitian mi znenunjukkan bahwa resiko portfolio yang diukur dengan nilai Variance Portfolio iueningkat bila jangka waktu investaat diperpaijang dan resiko portfolio berkurang bila jangka waktu investasi diperpendek.