SIMULASI MONTE CARLO DALAM ANALISIS RISIKO PORTOFOLIO SAHAM JAKARTA ISLAMIC INDEX

ABDULLAH NABIL AL HABIB, . (2021) SIMULASI MONTE CARLO DALAM ANALISIS RISIKO PORTOFOLIO SAHAM JAKARTA ISLAMIC INDEX. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

	Text COVER.pdf Download (1MB)
	Text BAB 1.pdf Download (198kB)
	Text BAB 2.pdf Restricted to Registered users only Download (324kB) | Request a copy
	Text BAB 3.pdf Restricted to Registered users only Download (427kB) | Request a copy
	Text BAB 4.pdf Restricted to Registered users only Download (392kB) | Request a copy
	Text BAB 5.pdf Restricted to Registered users only Download (189kB) | Request a copy
	Text DAFTAR PUSTAKA.pdf Download (102kB)
	Text LAMPIRAN.pdf Restricted to Registered users only Download (687kB) | Request a copy

Abstract

Perkembangan investasi, khususnya saham syariah, di Indonesia memiliki perkembangan yang cukup pesat karena didorong dengan populasi umat muslim terbesar di dunia. Pergerakan harga saham syariah, Jakarta Islamic Index (JII) yang memiliki performa yang cukup tinggi, di Bursa Efek Indonesia sangatlah fluktuatif sehingga tingkat pengembalian (return) yang dihasilkan sangat bervariasi dan memungkinkan terjadinya kerugian atau risiko, dimana dapat diukur oleh Value at Risk. Salah satu cara mengatasinya adalah melakukan diversifikasi bila ingin berinvestasi saham, yaitu dengan membuat portofolio. Single Index Model merupakan model regresi linier sederhana yang dapat digunakan sebagai pendekatan dalam membuat portofolio saham. Data yang digunakan dalam penelitian ini berjumlah 27 saham yang terdaftar dalam JII selama periode bulan Januari-Desember 2020 secara konsisten. Berdasarkan hasil uji normalitas, hanya 22 saham JII pada tahun 2020 yang akan digunakan dalam membentuk portofolio saham. Setelah diseleksi, portofolio saham yang terbentuk terdiri dari 11 saham JII dengan proporsinya masing-masing. Berdasarkan simulasi Monte Carlo yang diperoleh, estimasi risiko portofolio adalah kerugian yang melebihi dari Rp19.693.710 memiliki peluang 5%. Hasil simulasi Monte Carlo ini memiliki nilai bias sebesar 0,51% dan tingkat kesalahan prediksi (RMSE) sebesar 0,23% sehingga dapat dikatakan memiliki tingkat keakuratan yang cukup baik karena kedua nilai tersebut mendekati nol. Kata Kunci: Jakarta Islamic Index, Portofolio, Return, Risiko, Single Index Model, Monte Carlo, Value at Risk ********* The development of investment, especially Islamic stocks, in Indonesia has developed quite rapidly because it is driven by the largest Muslim population in the world. The movement of sharia stock prices, the Jakarta Islamic Index (JII), which has a fairly high performance, on the Indonesia Stock Exchange is very volatile so that the resulting rate of return varies greatly and allows for losses or risks, which can be measured by Value at Risk. One way to overcome this is to diversify if you want to invest in stocks, namely by creating a portfolio. Single Index Model is a simple linear regression model that can be used as an approach in making a stock portfolio. The data used in this study amounted to 27 stocks listed in JII during the January-December 2020 period consistently. Based on the results of the normality test, only 22 JII shares in 2020 will be used to form a stock portfolio. After being selected, the stock portfolio formed consists of 11 JII shares with their respective proportions. Based on the Monte Carlo simulation obtained, the estimated portfolio risk is a loss that exceeds Rp. 19,693,710 has a 5% chance. The results of this Monte Carlo simulation have a bias value of 0.51% and a prediction error rate (RMSE) of 0.23% so that it can be said to have a fairly good level of accuracy because both values are close to zero. Keyword: Jakarta Islamic Index, Portfolio, Return, Risk, Single Index Model, Monte Carlo, Value at Risk

Item Type:	Thesis (Sarjana)
Additional Information:	1). Prof. Dr. Suyono, M.Si.; 2). Dania Siregar, S.Stat., M.Si.;
Subjects:	Sains > Matematika
Divisions:	FMIPA > S1 Statistika
Depositing User:	Users 12160 not found.
Date Deposited:	08 Sep 2021 01:49
Last Modified:	08 Sep 2021 01:49
URI:	http://repository.unj.ac.id/id/eprint/19269

Actions (login required)

View Item