Efektivitas rebalancing portofolio optimal saham syariah dengan model Markowitz pada return dan risk di Jakarta Islamic Index (JII) 30 periode 2016 – 2022

Subekhi, Imam Edi (2023) Efektivitas rebalancing portofolio optimal saham syariah dengan model Markowitz pada return dan risk di Jakarta Islamic Index (JII) 30 periode 2016 – 2022. Masters thesis, Universitas Islam Negeri Walisongo Semarang.

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Abstract

Penelitian ini bertujuan untuk menguji efektivitas dari rebalancing pada portofolio optimal saham syariah yang dibentuk dengan model Markowitz khususnya untuk menguji perbedaan pada return dan risk saham syariah dengan strategi rebalancing dan tanpa rebalancing (non rebalance). Penelitian ini menggunakan pendekatan kuantitatif. Periode pengamatan penelitian dilakukan pada periode tahun 2016 hingga tahun 2022. Teknik pengambilan sampel dilakukan dengan metode purposive sampling. Teknik analisis data yang digunakan adalah dengan Wilcoxon Signed Rank Test.
Berdasarkan hasil uji Wilcoxon pada return saham didapatkan hasil bahwa terdapat perbedaan yang signifikan antara average return portofolio saham syariah dengan strategi rebalancing 6 bulanan (seminannually) dibandingkan strategi tanpa rebalancing (non rebalance). Hasil selanjutnya menunjukkan bahwa tidak ada perbedaan average return portofolio saham syariah dengan strategi rebalancing tahunan (annually) dibandingkan strategi tanpa rebalancing (non rebalance).
Sedangkan pada risk saham syariah, Wilcoxon test statistic membuktikan bahwa terdapat perbedaan yang signifikan antara deviasi standar (risk) portofolio saham syariah dengan strategi rebalancing 6 bulanan (seminannually) dibandingkan strategi tanpa rebalancing (non rebalance). Dan hasil terakhir menunjukkan bahwa adanya perbedaan yang signifikan antara deviasi standar (risk) portofolio saham syariah dengan strategi rebalancing tahunan (annually) dibandingkan strategi tanpa rebalancing (non rebalance).

ABSTRACT:
This research aims to test the effectiveness of rebalancing in the optimal portfolio of sharia shares formed using the Markowitz model, especially to test the differences in return and risk of sharia stocks with rebalancing and non-rebalancing strategies. This study uses a quantitative approach. The research observation period was carried out in the period 2016 to 2022. The sampling technique was carried out using the purposive sampling method. The data analysis technique used is the Wilcoxon Signed Rank Test.
Based on the results of the Wilcoxon test on stock returns, it was found that there was a significant difference between the average return of a sharia stock portfolio with a 6-month (seminannually) rebalancing strategy compared to a strategy without rebalancing (non-rebalance). The results further show that there is no difference in the average return of a sharia stock portfolio with an annual rebalancing strategy compared to a strategy without rebalancing (non rebalance).
Meanwhile, regarding sharia stock risk, the Wilcoxon test statistics prove that there is a significant difference between the standard deviation (risk) of sharia stock portfolios with a 6-month (seminannually) rebalancing strategy compared to a strategy without rebalancing (non-rebalance). And the latest results show that there is a significant difference between the standard deviation (risk) of sharia stock portfolios with an annual rebalancing strategy compared to a strategy without rebalancing (non rebalance).

Item Type: Thesis (Masters)
Uncontrolled Keywords: Saham syariah; Return; Risk; Rebalancing; Portofolio Markowitz
Subjects: 300 Social sciences > 330 Economics > 332 Financial economics > 332.6 Investasi
Divisions: Program Pascasarjana > Program Master (S2) > 60102 - Ekonomi Syariah (S2)
Depositing User: Miswan Miswan
Date Deposited: 07 Sep 2024 01:43
Last Modified: 07 Sep 2024 01:43
URI: https://eprints.walisongo.ac.id/id/eprint/23905

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