Title: EFFICIENCY ANALYSIS

Authors: Andewi Rokhmawati

Item Type : Thesis (Thesis)

Affiliations: Master of Management Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia

Publisher: Universitas Airlangga

Abstract

This research is motivated by the phenomenon of stock players preferring to invest their funds in the LQ-45 index (blue-chip stock group) compared to the non-blue-chip stock group, which is reflected in the large market capitalization value and high liquidity level of the stock group. This research was conducted to determine which is more efficient between the blue-chip stock portfolio and the non-blue-chip stock portfolio. By proposing a hypothesis whether there is a difference in return, risk, and the level of portfolio efficiency between blue-chip and non-blue-chip stocks. The research sample consisted of 21 blue-chip stocks and 25 non-blue-chip stocks that had the highest average positive profit level and more than the average interest income of 1-month term deposits in 1999. The model used in this study is the Single Index Table, while the tool for testing the hypothesis used is a statistical test tool, namely the hypothesis test of the difference of two means, an independent test. Tests were conducted on expected-return, risk, and the level of portfolio efficiency both by including risk-free and non-risk-free investments. The results obtained from this study, both by including and excluding risk-free investments, are that a portfolio of non-blue-chip stocks is more efficient than a portfolio of non-blue-chip stocks. The main stocks that make up the portfolio include Tempo Scan Pasific, Tunas Readen, Multi Polar, and Matahari Putra Utama. Meanwhile, the main stocks that make up the portfolio of non-blue-chip stocks include Charoen Pokphand Indonesia, Intraco Penta, Trias Sentosa, Tembaga Mulia Semanan, Kedawung Setia Industrial, United Tractor, Bayu Buana, Alakasa Industrindo, Multibreder Adirama Indonesia, Maharani Intifinance, Ensavel Putra Mega Trading, and Pakuwon Stock. The conclusion obtained from the study is first, the portfolio that includes risk-free investments produces no difference in expected returns between the portfolio of blue-chip stocks and non-blue-chip stocks. However, without including risk-free investments, there is a difference in expected returns, where non-blue-chip stocks provide a greater average expected return on the portfolio than blue-chip stocks. Second, in portfolios incorporating risk-free investments, there is a difference in portfolio risk between blue-chip stocks and non-blue-chip stocks, where the blue-chip stock portfolio presents a higher risk. However, without risk-free investments, there is no difference in portfolio risk. Third, in portfolios incorporating risk-free investments, there is a difference in portfolio efficiency between blue-chip stocks and non-blue-chip stocks, where the non-blue-chip stock portfolio is more efficient than the blue-chip stock portfolio. The following suggestions are proposed: First, the efficient portfolio formed in this study can be used as a benchmark for stocks traded on the Jakarta Stock Exchange (JSX) and those offered by fund managers to investors, and can also be used as a consideration in making investment decisions. Second, the variable used to calculate market return and risk is the Jakarta Composite Index (JCI), which takes into account stocks that are not actively traded. The sample used is stocks included in the ILQ-45 calculation and actively traded non-blue-chip stocks. It is recommended that other studies in the same area as this study use a separate index that is a combination of the stocks that make up the ILQ-45 and the non-blue-chip stocks sampled in the study. Third, separate research is needed to determine stock investors' perceptions of the risks they face relative to their expected returns. Fourth, in-depth research is needed to examine the phenomenon of loss-averse investors rather than risk-averse investors, meaning they are willing to take higher risks to avoid losses. Fifth, investors should consider both the return or risk of each individual stock when forming a portfolio. Fifth, investors should be cautious about stocks with large market capitalizations. Large market capitalization should not be the primary consideration when selecting stocks for investment on the IDX, as this study demonstrates that blue-chip stocks do not guarantee efficient portfolio formation.

Keywords: INVESTMENT; STOCK EXCHANGES

Sources: http://repository.unair.ac.id/34813/