BISNIS & BIROKRASI: Jurnal Ilmu Administrasi dan Organisasi, Vol 22, No 2 (2015)

Font Size:  Small  Medium  Large

Building an Optimal Portfolio on Indonesia Sharia Stock Index (ISSI)

Asto Hadiyoso, Muhammad Firdaus, Hendro Sasongko


Abstract. Indonesian economy is particularly susceptible to capital outflow and net sell position due to the relatively high share of foreign ownership in the stock and government debt market. One of the efforts to reduce the vulnerability is to increase the involvement of public participation in the capital market. The purpose of this study was to establish the optimal portfolio generated from stocks listed on Indonesia Sharia Stock Index (ISSI) and measure its performance in order to determine its potential as an instrument for the major community to invest in the stock market. Calculations using single index model approach, daily stock price data and inflation rate as a proxy of the risk free rate, produce the optimal portofolio composed of forty three stocks with preferable yield and risk than the markets (Jakarta Composite Index). The number of stocks and the value of risk which is smaller than the market risk indicate that the portfolio are well diversified. The results of the performance test using Jensen’s Alpha method shows that the portfolio are able to outperform the market, JII, and ISSI.

Keywords: portfolio optimization, sharia stock, single index model


Abstrak. Perekonomian Indonesia memiliki kerentanan yang cukup tinggi terhadap posisi net sell serta arus keluar modal akibat tingginya porsi kepemilikan asing terhadap aset-aset di pasar saham maupun pasar obligasi domestik. Salah satu upaya yang dapat dilakukan untuk mengurangi kerentanan tersebut adalah dengan meningkatkan partisipasi publik di pasar modal. Penelitian ini bertujuan untuk membentuk portofolio optimal dari saham-saham yang tercatat pada Indeks Saham Syariah Indonesia (ISSI) serta mengukur kinerjanya guna mengamati potensinya sebagai instrumen bagi masyarakat dalam berinvestasi di pasar saham. Penggunaan pendekatan model indeks tunggal, data harga saham harian serta tingkat inflasi sebagai proksi dari risk free rate menghasilkan portofolio optimal yang terdiri dari 43 saham dengan tingkat imbal hasil dan risiko yang lebih baik dibandingkan imbal hasil dan risiko yang dimiliki pasar (IHSG). Jumlah saham penyusun yang cukup besar serta nilai risiko yang lebih kecil dibandingkan risiko pasar menunjukkan bahwa portofolio terdiversifikasi dengan baik. Hasil uji kinerja menggunakan metode Alpha Jensen juga memperlihatkan bahwa portofolio mampu mengungguli pasar, JII, dan ISSI.

Kata kunci: model indeks tunggal, portofolio optimal, saham syariah

Full Text: PDF


  • There are currently no refbacks.

Bisnis & Birokrasi: Jurnal Ilmu Administrasi dan Organisasi Print ISSN: 0854-3844 / Online ISSN: 2355-7826

analytics View My Stats


Indexed in and a member of:

   google_scholar_234               crossref-logo-landscape-100_100                 logogaruda-kecil_94   

proquest_120          aci-logo-v4_120          sinta_logo_120


All submitted articles will be screened for plagiarism and similarities check through:

ithenticate_170    turnitin_225                                                                    


Suggested Tools:





This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.



Copyright Notice

All manuscripts are published under Creative Commons license: Attribution Share-Alike 4.0 International (CC-BY-SA 4.0).

Authors retain the copyrights of their published works and allow others to share the work with an acknowledgemnt of the work's authorship and initial publication in this journal.

Authors are free to use, reuse and share their articles without any embargo period, provided that journal is acknowledged as the original venue of publication. This freedom includes, for example, posting the article in an institutional repository or publishing it in a book, even for commercial purposes.

Authors are also permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to, during, and after the submission process and publication of the article.