Probabilitas Tingkat Laba Bursa Efek Indonesia Periode 1 Juli 1997 – 1 Juli 2011
Keywords:market return, probability distribution, Indonesian Capital Market
Capital market investor should considers whether the higher expected return, the more risk should be taken, to minimize speculative decision. The research objectives are measuring and describes the probability distribution of market return of IHSG, in July 1, 1997- July 1, 2011, according to availability of public data provided by Indonesian Stock Exchange (IDX). Classification were made with several considered assumptions, results that the largest probability movements of Indonesian Stock Exchange, represented by IHSG percentage of change, is relatively stable of 89,1%, the cumulative probability of downtrend and market crash is 6.3%, whether the cumulative probability of uptrend and booming is 4,6%. This research results the expected return based on probability distribution is 0.049% per day. Assumed 12% pa of time deposits interest rate or 0.033% per day, it means the market risk premium only 0.17% per day or 6% pa. The Capital market is suitable for risk seeker rather than risk averter or risk normal. But risk averter and risk normal may use other alternative instrument such mutual funds when they want to invest their money into capital market.
Albright, S. C, Winston, W. L., & Zappe, C. J. (2009). Data analysis & decision making with excel (3rd ed.). South-Western Cengage.
Brigham, E. F., & Ehrhardt, M. C. (2011). Financial management: Theory and practice (13th ed.). South-Westren Cengage.
Bursa Efek Indonesia. (2008). Buku panduan indeks, Bursa Efek Indonesia.
Fabozzi, F. J. (2002). Handbook of financial instruments. John Wiley & Sons.
Hirschey, M. (2009). Managerial economics (12th ed.). South-Western Cengage.
Keller, G. (2008). Statistics for management and economics (8th ed.). South-Western Cengage.
Relly, F. K., & Brown, K. C. (2008). CFA: Investment analysis and portfolio management (9th ed.). South-Western College.
Authors who publish with this journal agree to the following terms:
a. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License - Share Alike that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
b. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
c. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
All articles published Open Access will be immediately and permanently free for everyone to read and download. We are continuously working with our author communities to select the best choice of license options, currently being defined for this journal as follows: Creative Commons Attribution-Share Alike (CC BY-SA)