ANALISIS EFISIENSI KINERJA SAHAM DAN PEMBENTUKANPORTOFOLIO OPTIMAL PADA PERUSAHAAN YANG TERCATAT DI BURSA EFEK INDONESIA (STUDI KASUS 50 MOST ACTIVE STOCKS BY TRADING VOLUME TAHUN 2009-2014)

Utami, Madyaningsih Dyah (2016) ANALISIS EFISIENSI KINERJA SAHAM DAN PEMBENTUKANPORTOFOLIO OPTIMAL PADA PERUSAHAAN YANG TERCATAT DI BURSA EFEK INDONESIA (STUDI KASUS 50 MOST ACTIVE STOCKS BY TRADING VOLUME TAHUN 2009-2014). Other thesis, Universitas Sebelas Maret.

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    Abstract

    ABSTRACT THE ANALYSIS OF STOCK PERFORMANCE EFFICIENCY AND THE FORMING OF OPTIMAL PORTFOLIO ON INDONESIA STOCK EXCHANGE LISTED FIRMS (CASE STUDYON 50 MOST ACTIVE STOCKS BY TRADING VOLUME, 2009-2014) Madyaningsih Dyah Utami NIM. F0112057 Fakultas Ekonomi dan Bisnis Universitas Sebelas Maret The aim of this study is to analyze the efficiency of stock performance using Data Envelopment Analysis (DEA) and to form the optimal portfolio using single index model. This study use secondary data from Indonesia Stock Exchange. The samples are the stocks of the listed firms, 50 most active stocks by trading volume in the time period 2009-2014. The variables for DEA method are total assets, current assets, current liabilities, operating expenses, operating income, and net income to explain the financial condition of the firms. The result of the study shows there are 10 efficient stocks, they are BKSL, ENRG, BTEL, ASRI, BNBR, KIJA, ADRO, PNLF, LPKR, and PGAS as the candidates of forming optimal portfolio. 7 from 10 of the stocks with each proportions are LPKR 4,81%, KIJA 20,83%, ASRI 25,46%, PNLF 17,80%, PGAS 27,01%, ENRG 3,03% and BTEL 1,06%. Those portfolio will have the expected return as 0,0300794 and the risk of portfolio as 0,019544. Keywords: DEA, Optimal Portfolio, Single Index Model

    Item Type: Thesis (Other)
    Subjects: H Social Sciences > HB Economic Theory
    Divisions: Fakultas Ekonomi
    Fakultas Ekonomi > Ekonomi Pembangunan
    Depositing User: khoirun nisa
    Date Deposited: 04 May 2016 17:39
    Last Modified: 04 May 2016 17:39
    URI: https://eprints.uns.ac.id/id/eprint/25705

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