Pembentukan Saham Optimal Dengan Model Indeks Tunggal Pada Perusahaan Farmasi yang Terdaftar di Bursa Efek Indonesia

  • Mirwanto Paulima Adveliften Sidabutar Diponegoro University
  • Di Asih I Maruddani Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Semarang, Indonesia
DOI: https://doi.org/10.33005/senada.v4i1.369

Abstract

Single Index Portfolio Analysis Technique assumes that the returns of all stocks in the portfolio have a linear relationship with market returns. This method will be applied to daily stock price data from six pharmaceutical companies listed on the IDX using Ms.Excel software. The study results show that TSPC and KAEF shares are potential portfolio candidates with a cut-off point value of -0,000585324. The optimal portfolio is formed by these two stocks with different fund proportions. The stock with the most significant proportion is TSPC stock, with a proportion of 0.075075857. The optimal portfolio formed using the single index model has a higher return and lower risk than the market portfolio. This shows that the single index model can form an optimal portfolio of stocks of basic and pharmaceutical companies listed on the IDX.

Keywords: Market Return, Single Index Model, Pharmaceutical Company, Indonesia Stock Exchange

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Published
2025-01-02
How to Cite
Sidabutar, M., & Maruddani, D. (2025, January 2). Pembentukan Saham Optimal Dengan Model Indeks Tunggal Pada Perusahaan Farmasi yang Terdaftar di Bursa Efek Indonesia. PROSIDING SEMINAR NASIONAL SAINS DATA, 4(1), 1198 - 1204. https://doi.org/https://doi.org/10.33005/senada.v4i1.369
Issue
Vol 4 No 1 (2024): Prosiding Seminar Nasional Sains Data
Section
Articles