Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

Authors

  • Mulyono Mulyono Bina Nusantara University

DOI:

https://doi.org/10.21512/bbr.v6i2.982

Keywords:

Indonesia Stock Exchange, stock market index, Jakarta Composite Index, IHSG, LQ45 Index

Abstract

Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII), KOMPAS100 Index, BISNIS-27 Index, PEFINDO25 Index and SRI-KEHATI Index, has a close relationship with the return Jakarta Composite,Index which is a reflection of the movement of all existing stock in the market. Return of stocks index that have the highest coefficient correlation is KOMPAS100 In dex, which have return index coefficient correlation is 0.949, thus KOMPAS100 Index that consisting of 100 stocks, based on the results of the study can be used as an alternative investment to get a return that is at least equal or close to the yield given by Jakarta Composite Index

(IHSG) that consists of 445 stocks

Dimensions

Plum Analytics

Author Biography

Mulyono Mulyono, Bina Nusantara University

Management Department

References

Bakar, A., Norhidayah., Mansur, A., Masih, M. (2014). The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scalede composition Analysis. Journal Munich Personal RePEc Archive, 56977.

Bertuah, E. (2014). Sensitivitas Kinerja Bursa Efek Indonesia Terhadap Perubahan Indeks Harga Saham Di Bursa Global. Jurnal Forum Ilmiah, 11(01), Pusat Pengelola Jurnal Ilmiah Universitas Esa Unggul.

Bursa Efek Indonesia. (2010). Buku Panduan Indeks Harga Saham Bursa Efek Indonesia. IDX Statistic, Bursa Efek Indonesia.

Jones, C. P. (2010). Investments Principles and Concepts. Asia: John Wiley & Sons (Asia) Pte Ltd.

Manurung, J. J., Manurung, A. H., Saragih, F. H. (2005). Ekonometrika Teori dan Aplikasi. Jakarta: Elex Media Komputindo.

Sharpe, W. F., Alexander, G. J., Bailey, J. F. (1997). Investasi. (Jilid 2). Jakarta: Percetakan SMTG Desa Putra.

Sarwono, J. (2012). Mengenal SPSS Statistic 20. Jakarta: Elex Media Komputindo.

Sekaran, U. (2000). Research Methods For Business. USA: John Wiley & Sons Inc.

Sekaran, U., Bogie, R. (2013). Research Methods of Business: A Skill-Building Approach. (Sixth Edition). West Sussex: John Wiley and Sons Ltd.

Usman, M., Koesnadi, D., Ilyas, A., Zein, M. H., Suta, I. G. P. A., Tjager, I. N., Srihandoko. (1994). ABC Pasar Modal Indonesia. Jakarta: Institut Bankir Indonesia.

Widoatmodjo, S. (2000). Cara Sehat Investasi di Pasar Modal, Jakarta: Yayasan Mpu Ajar Artha.

Yip Ho, K., Shi, Y., Zhang, Z. (2014). Volatility and Correlation Dynamics of the Mainland Chinese and Hong Kong Stock Markets: Evidence from the A-, B-, H- and Red Chip Markets.The Journal of Wealth Management, 17(2): 55-67.

Downloads

Published

2015-08-31
Abstract 1252  .
PDF downloaded 2830  .