Analisis Imbal Hasil dan Risiko Portofolio Saham Syariah dan Portofolio Saham Konvensional dengan Metode Efficient Frontier
Abstract
Kondisi pandemi di Indonesia, yang menjadi salah satu penyebab jumlah
investor saham naik signifikan, membuat saham syariah semakin diminati.
Kenaikan jumlah peminat tersebut harus dibarengi dengan kenaikan angka literasi
saham syariah agar umat islam di Indonesia bisa berinvestasi dan tetap
menjalankan aturannya sebagai seorang muslim. Perlu dilakukan analisis
portofolio saham syariah dan konvensional agar bisa diketahui potensi dari kedua
portofolio saham. Data yang digunakan untuk portofolio saham syariah adalah
data saham Telkom dan Unilever, sedangkan untuk portofolio saham
konvensional adalah data saham BCA dan BRI periode 1 Januari 2012-31
Desember 2018. Dilakukan pemodelan ARMA-GARCH untuk menghilangkan
efek autokorelasi dan heteroskedastisitas pada galat. Setelah itu dilakukan
pemodelan Copula untuk membentuk fungsi sebaran bersama galat baku.
Selanjutnya dibuat grafik efficient frontier dari kedua portofolio dan dianalisis
dengan asumsi risiko minimum, imbal hasil maksimum, dan reward-to-variability
ratio maksimum. Hasil analisis tersebut menunjukkan portofolio saham syariah
relatif lebih cocok dipilih bagi investor moderat, sedangkan portofolio saham
konvensional relatif lebih cocok dipilih bagi investor agresif. Pandemic conditions in Indonesia, which one of the causes the number of
stock investors increase significantly, the sharia stock becomes more interesting.
The increase in the number of enthusiasts must be accompanied by an increase in
the literacy rate of the sharia stock so that Muslims in Indonesia can invest and
continue to carry out their rules as a muslim. It is necessary to analyze the returns
and risks of sharia and conventional stock portfolio so that the potential of these
two stocks portfolio can be seen. The data used for sharia stocks portfolio are
Telkom and Unilever, whereas the data used for conventional stocks portfolio are
BCA and BRI for the period 1 January 2012-31 December 2018. ARMA-GARCH
modeling was carried out to eliminate the effects of autocorrelation and
heteroscedasticity on the errors. After that, Copula modeling was carried out to
form a joint cumulative distribution function of standard errors. Next, an efficient
frontier graphs were made of those portfolios and analyzed with the assumption of
minimum risk, maximum return, and maximum reward-to-variability ratio. The
results of the analysis show that the sharia stock portfolio is relatively more
suitable for moderate investors, while the conventional stock portfolio is relatively
more suitable aggresive investors.
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