PENENTUAN PORTOFOLIO OPTIMAL DAN RASIONALITAS INVESTOR VALUTA ASING DI INDONESIA

PUDJIASTUTI, ANY (2002) PENENTUAN PORTOFOLIO OPTIMAL DAN RASIONALITAS INVESTOR VALUTA ASING DI INDONESIA. Masters thesis, program Pascasarjana Universitas Diponegoro.

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Abstract

The observation intended to define optimum exchange portfolio by using Markowitz model, as well as to observe the rationality of the investor in investing his money to buy foreign exchange, by using 16 samples of foreign exchange which are being traded by 646 money changers in Indonesia from June up to December, 2000. In this thesis, the hypothesis used is there is an investor rationality in choosing the foreign bank notes they are going to buy from money changer. The data being applied in the observation is a daily middle exchange rate taken from Bank Indonesia, and the mean of foreign exchange buying. The result in calculating the foreign exchange by applying "Portfolio " software which is being observed can get the optimum portfolio composition which consist of 11 foreign exchange as follows : JPY: 32,688%, USD: 17,696%, BND: 12,020%, DEM: 11,809%, NLG: 9,605%, HKD: 6,488%. CAD: 1,790%, CHF: 2,169%, NOK: 2,462%, DKK: 1,148% and ATS : 1,407%. Based on the statistical examination, there are no significant differences between the return of foreign exchange involved in efficient poryblio and the less efficient portfolio at the degree level of 95%. Meanwhile, the observation towards the average of efficient foreign exchange buying value and the less efficient one can be concluded that the investor is irrational, because in general buying rate of the foreign exchange by the investors is a case of imitation. In addition, they don't consider other factors which may influence such as fundamental economy. Moreover, buying foreign exchange in the money changers, the investors tend to choose the foreign exchange which has the less risk though the return rate they will get is also smaller, which indicates the significant different between the risk of foreign exchange involved in efficient portfolio and the less efficient portfolio with t value 3,004 and probability value 0,009, so can be concluded that risk of both populations are not identical, or in other world there is significant differences between the risk of foreign exchange involved in efficient portfolio and the less efficient portfolio at the degree level of 95%.Penelitian ini bertujuan untuk menentukan portofolio optimal dan menganalisis rasionalitas investor yang membeli valuta asing di Pedagang Valuta Asing di Indonesia dalam menentukan portofolio optimalnya. Adapun sampel yang diambil sebanyak 16 valuta asing dari 25 valuta asing yang diperdagangkan di 646 Pedagang Valuta Asing di seluruh Indonesia dan periode pengamatan bulan Juni s/d Desember 2000. Dalam tesis ini hipotesis yang dipakai adalah terdapat rasionalitas investor dalam memilih valuta asing yang diperdagangkan di Pedagang Valuta Asing, dan terdapat perbedaan return maupun resiko dari valuta asing yang masuk pada portofolio efisien dan yang kurang efisien. Data yang digunakan dalam penelitian ini adalah data kurs tengah harian Bank Indonesia dan rata-rata nilai pembelian valuta asing di Pedagang Valuta Asing. Dari hasil perhitungan dengan menggunakan software "Portfolio", maka dari 16 valuta asing yang diteliti diperoleh komposisi portofolio optimal yang terdiri dari 11 valuta asing sebagai berikut : JPY: 32,688%, USD: 17,696%, BND: 12,020%, DEM: 11,809%, NLG: 9,605%, HKD: 6,488%. CAD: 1,790%, CHF: 2,169%, NOK: 2,462%, DKK: 1,148% dan ATS : 1,407%. Bedasarkan uji statistik, tidak terdapat perbedaan signifikan antara rata-rata return dari valuta asing yang masuk pada portofolio dengan valuta asing yang tidak masuk pada portofolio pada derajat kepercayaan 95 persen. Selain itu dari uji beda rata-rata nilai pembelian valuta asing yang efisien dan tidak efisien, dapat disimpulkan bahwa investor tidak rasional karena dalam pembelian valuta asing para investor lebih bersifat latah atau ikut¬ikutan, dan kurang memperhatikan faktor-faktor lain misalnya faktor fundamental ekonomi. Selain itu dalam pembelian valuta asing di Pedagang Valuta Asing investor cenderung pada valuta asing yang resikonya lebih kecil meskipun tingkat returnnya juga kecil. Hal ini sesuai dengan hasil uji beda terhadap resiko dari valuta asing yang efisien dan kurang efisien pada tingkat signifikansi 95 persen menunjukkan nilai t hitting sebesar 3,004 dengan probabilitas 0,009 sehingga hipotesa Ho (kedua resiko populasi adalah identik) ditolak, atau dengan kata lain resiko portofolio yang efisien dan kurang efisien berbeda nyata.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:8948
Deposited By:Mr UPT Perpus 1
Deposited On:21 Apr 2010 18:40
Last Modified:21 Apr 2010 18:40

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