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Analisis Portofolio Saham Syariah di Masa Pandemi Covid-19 dengan Mengunakan Multi Indeks Model

Authors

  • Muhammad Aldy Alfiansyah Matematika, Universitas Islam Bandung
  • Eti Kurniati Matematika, Universitas Islam Bandung

DOI:

https://doi.org/10.29313/jrm.v2i1.795

Keywords:

Saham, JII (Jakarta Islamic Index), Covid-19

Abstract

Abstract. Shares are a sign of equity participation in a limited liability company. The COVID-19 outbreak had an impact on the stock market and had a spill-over effect between Asian, European and American countries. However, there is no evidence that COVID-19 negatively affects these countries' stock markets any more than the global average. Three sharia stock indexes performed positively in the midst of the Covid-19 pandemic, namely the Indonesian Sharia Index (ISSI), Jakarta Islamic Index 70 (JII70), and Jakarta Islamic Index (JII). Jakarta Islamic Index (JII) is a sharia stock index that was first launched in the Indonesian capital market. JII's constituents only consist of the 30 most liquid sharia shares listed on the IDX. The purpose of this study is to analyze the efficient portfolio of the 10 stocks with the highest prices listed on the JII (Jakarta Islamic Index) during the Covid 19 pandemic. Multi-Index Models states that the movement of stock returns incorporated in the Jakarta Islamic Index (JII) stock is influenced by the index. Dow Jones Industrial Average (DJIA) and not only limited to its market index (JCI). The results of the selection process for stocks listed by JII for the period January 2020 - December 2020 which are included in the optimal portfolio of the Multi Index Model with the weight of each stock that has been formed is 9.7% UNTR, 16.22% SMGR stock, TKIM stock of 9.7% 26.41%, INKP shares 26.91% and CPIN shares 20.76%. The optimal portfolio formed from shares of UNTR, SMGR, TKIM, INKP and CPIN has a profit of 0.13% with a risk that will be borne by 14.21%.

Abstrak. Saham merupakan tanda penyertaan modal pada suatu perseroan terbatas. Wabah COVID-19 memiliki dampak pada pasar saham memiliki spill-over effect antara negara-negara Asia, Eropa dan Amerika. Namun, tidak ada bukti bahwa COVID-19 secara negatif mempengaruhi pasar saham negara-negara ini lebih dari rata-rata global. Tiga indeks saham syariah berkinerja positif di tengah pandemi Covid-19 yaitu Indeks Syariah Indonesia (ISSI), Jakarta Islamic Index 70 (JII70), dan Jakarta Islamic Index (JII). Jakarta Islamic Index (JII) adalah indeks saham syariah yang pertama kali diluncurkan di pasar modal Indonesia. Konstituen JII hanya terdiri dari 30 saham syariah paling likuid yang tercatat di BEI. Tujuan penelitian ini untuk menganalisis portopolio efisien dari 10 saham dengan harga tertinggi yang terdaftar di JII (Jakarta Islamic Index) pada saat pandemi Covid 19. Multi-Index Models menyatakan bahwa pergerakan return saham yang tergabung dalam saham Jakarta Islamic Index (JII) dipengaruhi oleh index Dow Jones Industrial Average (DJIA)  dan tidak hanya terbatas pada index pasarnya (IHSG). Hasil dari proses seleksi saham-saham yang terdaftar JII periode Januari 2020 – Desember 2020 yang dimasukkan ke dalam portofolio optimal Multi Index Model dengan bobot masing-masing saham yang telah terbentuk tersebut adalah UNTR sebesar 9.7%, saham SMGR sebesar 16.22%, saham TKIM sebesar 26.41% , saham INKP sebesar 26.91% dan saham CPIN sebesar 20.76%. Portofolio optimal yang terbentuk dari saham UNTR, SMGR, TKIM, INKP dan CPIN mempunyai keuntungan sebesar 0.13 % dengan risiko yang akan ditanggung sebesar 14.21%.

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Published

2022-07-08