Title: EFFICIENCY ANALYSIS
Author: 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 stock groups that are included in the LQ-45 index calculator (leading stock group) compared to non-leading stock groups, which is reflected in the large market capitalization value and the high level of liquidity of this stock group. This research was conducted to find out which is more efficient between a superior stock portfolio and a non-leading stock portfolio. By proposing a hypothesis about whether there are differences in return, risk and level of portfolio efficiency between leading shares and non-leading shares. The research sample consisted of 21 leading stocks and 25 non-leading stocks which had the largest average positive profit rate and were more than the average 1 month deposit interest income in 1999. The model used in this research is the Single Index Table, while the tool To test the hypothesis, statistical testing tools are used, namely the hypothesis test, the difference between two averages, the independent test. Tests are carried out on expected returns, risk and portfolio efficiency levels whether including risk-free investments or not. The results obtained from this research, whether including or not including risk-free investments, are that a portfolio of non-leading stocks turns out to be more efficient than a portfolio of non-leading stocks. The main stocks that form it include Tempo Scan Pacific, Tunas Readen, Multi Polar , and Matahari Putra Utama. Meanwhile, the main stocks forming the non-leading stock portfolio 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 Shares. The first conclusion obtained from this research is that portfolios that include risk-free investments produce no difference in expected returns between portfolios of leading shares and non-leading shares. However, without including risk-free investments, it is known that there are differences in expected returns, where non-leading stocks provide a greater average portfolio expected return than leading stocks. Second, portfolios that include risk-free investments, it is known that there is a difference in portfolio risk between leading shares and non-leading shares, where superior stock portfolios, where superior stock portfolios provide higher risk. Meanwhile, without including risk-free investments, it is known that there is no difference in portfolio risk. For the three portfolios that include risk-free investments, it is known that there is a difference in the level of portfolio efficiency between leading shares and non-leading shares, where the non-leading share portfolio is more efficient than the superior stock portfolio. Meanwhile, the suggestions put forward are first, the efficient portfolio formed in this research can be used as a benchmark for shares traded on the JSE and offered by fund managers to investors, and can also be used as consideration in making investment decisions. Second, the variable used to calculate market return and risk is the IHSG, which takes into account shares that are not actively traded. Meanwhile, the samples used are shares that are included in the ILQ-45 calculator and non-leading shares that are actively traded. It would be better for other research that has the same area as this research to use a single index which is a combination of the shares that make up the ILQ-45 and the non-leading shares that are sampled in the research. Third, it is necessary to carry out separate research regarding stock investors' references to the risks that must be faced on the level of profit expected by investors. Fourth, it is necessary to carry out in-depth research regarding the phenomenon of investors who are loss averse rather than risk averse, that is, investors tend to be willing to bear higher risks to avoid losses. Fifth, investors should not only look at the return or risk of each individual stock in forming a portfolio, but must take both into account. Fifth, investors should be careful about stocks that have a large market capitalization. Don't make a large market capitalization level the main consideration in choosing shares for investment on the JSE, because it has been proven in this research that leading shares do not guarantee that these shares are able to form an efficient portfolio.
Keywords: INVESTMENT; STOCK EXCHANGES
Sources: http://repository.unair.ac.id/34813/
