Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia?
DOI:
https://doi.org/10.21512/bbr.v9i1.3960Keywords:
macroeconomic factors, optimal portfolio, inflation rate, Bank of Indonesia (BI rate), Rupiah to US Dollars exchange rate, constant correlation portfolio modelAbstract
There were two objectives in this research. Those were to construct an optimal portfolio and to analyze the impact of inflation, Bank of Indonesia (BI rate), and Rupiah to US Dollars exchange rate to the optimal portfolio return in Indonesia. The constant correlation portfolio model and ordinary least square regression method were implemented. This research used the stocks from the consistently selected stocks in the Bisnis-27 Index from 2012 to 2016. Microsoft Excel 2010 was used to construct an optimal portfolio. Meanwhile, to compute the regression and statistical analysis, SPSS version 20 was utilized. The obtained results show that only the stocks from PT Telekomunikasi Indonesia, PT Kalbe Farma, PT Charoen Pokphand Indonesia, PT Bank Rakyat Indonesia, PT Bank Central Asia, and PT Bank Negara Indonesia are included in the optimal portfolio. In addition, from the three leading macroeconomic indicators, only exchange rate change (Rupiah to US Dollars rate of change) impacts the return of the constant correlation model portfolio in Bisnis-27 Index significantly and negatively.
Plum Analytics
References
Artaya, M., Purbawangsa, I. B. A., & Artini, L. G. S. (2014). Pengaruh faktor makroekonomi resiko investasi dan kinerja keuangan terhadap return saham perusahaan di Bursa Efek Indonesia (BEI). E- Jurnal Ekonomi dan Bisnis Universitas Udayana, 3(12), 689-701.
Brigham, E. F., & Houston, J. F. (2015). Fundamentals of financial management (Concise, 9th ed.). Canada: Cengage Learning.
Darmawan, I. P. P. A., & Purnawati, N. K. (2015). Pembentukan portofolio optimal pada saham-saham di Indeks LQ 45 dengan menggunakan model indeks tunggal. E–Jurnal Manajemen Unud, 4(12), 4335-4361.
Deny, S. (2017). Inflasi 2016 mencapai 3,02 persen. Retrieved from http://bisnis.liputan6.com/read/2694582/inflasi-2016-mencapai-302-persen
Dwivedi, D. N. (2010). Macroeconomics theory and policy (3rd ed.). New Delhi: Tata McGraw-Hill Publishing Company Limited.
Elton, E., Gruber, M., Brown, S., & Goetzmann, W. (2014).
Modern portfolio theory and investment analysis (9th ed.). USA: John Wiley and Sons.
Ghozali, I. (2013). Aplikasi analysis multivariate dengan program SPSS. Semarang: Badan Penerbit Universitas Diponegoro.
Haanurat, A. I. (2013). Pengaruh karakteristik perusahaan dan ekonomi makro terhadap return saham syariah yang listing di Jakarta Islamic Index. Jurnal Manajemen dan Bisnis, 3(2), 115-134.
Kalra, S. (2012). Leading macroeconomic indicators: International experience in calculating & using these indicators. In Economic Committee of the National Assembly Hanoi.
Kennedy, M. M. J. (2011). Macroeconomic theory. New Delhi: PHI Learning Private Limited.
Kewal, S. S. (2012). Pengaruh inflasi, suku bunga, kurs, dan pertumbuhan PDB terhadap indeks harga saham gabungan. Jurnal Economia, 8(1), 53-64.
Kewal, S. S. (2013). Pembentukan portofolio optimal saham-saham pada periode bullish di Bursa Efek Indonesia. Jurnal Economia, 9(1), 81-91.
Kusuma, D. R. (2016). Suku bunga deposito perbankan turun jadi 6,67%. Retrieved from https://finance.detik.com/moneter/3209820/suku-bunga-depositoperbankan-turun-jadi-667.
Levine, D. M., Stephan, D. F., & Szabat, A. K. (2014). Statistics for managers using Microsoft Excel (7th ed.). New Jersey: Pearson Education Inc.
Melani, A. (2017). Faktor ini bikin IHSG cetak rekor baru di 5.910. Retrieved from http://bisnis.liputan6.com/read/3009799/faktor-ini-bikin-ihsg-cetak-rekorbaru-di-5910
Mulyani, N. (2014). Analisis pengaruh inflasi, suku bunga, nilai tukar Rupiah, dan produk domestik bruto terhadap Jakarta Islamic Index. Jurnal Bisnis dan Manajemen Eksekutif, 1(1).
Mulyono, M. (2015). Analisa korelasi return indeks–indeks saham terhadap indeks harga saham gabungan pada Bursa Efek Indonesia. Binus Business Review, 6(2), 330-339.
Murtianingsih. (2012). Variabel ekonomi makro dan indeks harga saham gabungan. Jurnal Management dan Akuntansi, 1(3), 1-12.
Nugroho, B. A., & Trinandari. (2017). Optimalisasi portofolio saham di Jakarta Islamic Index dan determinan faktor makroekonomi. In Konferensi Ilmiah Akuntansi 4, di Universitas Pancasila, Jakarta, 2 – 3 Maret 2017.
Paramitha, F., & Anggono, A. H. (2013). Performance analysis and optimal portofolio diversification of fourteen stocks of LQ-45 Index period 2007-2012 using Markowitz modern portofolio theory. Journal
of Business and Management, 2(1), 29-38.
Pratiwi, E. A., Dzulkirom, M., & Azizah, D. F. (2014). Analisis investasi portofolio saham pasar modal syariah dengan model Markowitz dan model indeks tunggal (Studi pada saham perusahaan yang terdaftar dalam Jakarta Islamic Indeks di Bursa Efek Indonesia
Periode Mei 2011 sampai dengan November 2013). Jurnal Administrasi Bisnis, 17(1), 1-10.
Rachman, V. (2016). Pertumbuhan IHSG di BEI tertinggi kelima di dunia. Retrieved from https://swa.co.id/swa/capital-market/pertumbahan-ihsg-di-beitertinggi-kelima-di-dunia
Rachmawati, M., & Laila, N. (2015). Faktor makro ekonomi yang mempengaruhi pergerakan harga saham pada Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Syariah Teori dan Terapan, 2(11), 928-942.
Rifaldy, A., & Sedana, I. B. (2016). Optimasi portofolio saham indeks Bisnis 27 di Bursa Efek Indonesia (Pendekatan model Markowitz). E-Jurnal Manajemen Unud, 5(3), 1657-1689.
Septyanto, D., & Kertopati, B. (2014). Analisa pembentukan portofolio dengan menggunakan model Markowitz dan single index model pada saham yang masuk dalam indeks LQ45 di Bursa Efek Indonesia tahun 2009 – 2013. Finance and Banking Journal, 16(2),
-168.
Silim, L. (2013). Pengaruh variabel ekonomi makro terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia periode 2002-2011. Jurnal Mahasiswa Universitas Surabaya, 2(2), 1-18.
Yunita, I., & Pratiwi, D. A. (2013). Optimal portfolio construction (A case study of LQ45 Index in Indonesia Stock Exchange). International Journal of Science and Research, 4(6), 2525-2530.
Downloads
Published
Issue
Section
License
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.
USER RIGHTS
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)
