The Performance Of Undiversified  Portfolio In Indonesia Stock Exchange

Frensidy, Budi

doi:10.19030/jabr.v32i4.9720

Cited by 6 publications

(5 citation statements)

References 23 publications

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“…Then, a beta that is worth more than 1 can be interpreted that the beta of the stock having a risk greater than the level of market risk. If the beta has a value less than 1, it is said to be a stock that has a lower risk level than market risk (Ferson & Schadt, 1996;Frensidy, 2016;Widodo & Robiyanto, 2018).…”

Section: Hypotheses Developmentmentioning

confidence: 99%

“…Systematic risk can be calculated using the beta coefficient (β). Beta (β) is a coefficient that indicates the sensitivity of stock returns to changes in market returns (Ferson & Harvey, 1991;Frensidy, 2016;Frensidy, Utama, & Prijadi, 2017), even in the highly volatile market, and beta factor still appears be the most important single factor, driving the capital allocation decisions (Hollstein, 2020). Beta is an important factor in Capital Asset Pricing Model (CAPM), and beta used in CAPM is beta as it is, not bull (upside) beta or bear (downside) beta as studied by Bharwaj and Brooks (1993); Fletcher (2000); Gupta (2020) and Robiyanto and Pangestuti (2020).…”

Section: Introductionmentioning

confidence: 99%

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Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange

Adicondro,

Robiyanto,

Martono

2023

J. Keuang. dan Perbank.

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This study was conducted to assess the stock price index on the Indonesia Stock Exchange (IDX) which can be used as a proxy for the stock market in Indonesia. The indexes used to search for stock market proxies in Indonesia are JCI, IDX30, LQ45, IDX BUMN20, Jakarta Islamic Index (JII), KOMPAS100, MNC36, SRI-KEHATI, and PEFINDO25. The period in this study is from June 2018 to October 2021 obtained through bloomberg.com. Based on the results of the Paired Sample t-Test, the JCI returns before and during the Covid-19 pandemic did not show a difference in stock beta. Then, the results of the Standard Error Estimate (SEE) test show that JCI returns have the smallest deviation rate in the period when Covid-19 occurred and in the entire period. The results showed that the JCI return can be used as a proxy for the stock market in Indonesia compared to the returns of other stock indexes.

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Section: Hypotheses Developmentmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange

Adicondro,

Robiyanto,

Martono

2023

J. Keuang. dan Perbank.

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“…While having a large base of individual investors benefits exchanges, companies, and even countries, the number of their participation in the emerging markets are very low (Frensidy, 2016;Khan et al, 2017;MB Securities, 2018) and literature about how companies in emerging markets enlarge their retail ownership cannot be found. This issue is crucial for Indonesia as a recent study from the WFE (2017) shows that the number of retail participation in Indonesia Stock Exchange (IDX) is among the lowest of all 14 countries observed in their report despite having similar market characteristics and being the largest population.…”

Section: Introductionmentioning

confidence: 99%

Are Individual Investors Attracted to Shareholder Perks in the Emerging Markets? An Experimental Study in Indonesia

Trihermanto,

Nainggolan,

Matsuura

2023

ajtm

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Choice-Based Conjoint (CBC) analysis experiment is conducted in this study to investigate perception equivalency of shareholder perks (SP) and dividend policy among Indonesian investors and to examine whether SP as a new alternative of payout policy can attract more individual investors in Indonesia. The results show that investors prefer SP over dividend in both 2 and 4 percent yield. However, the marginal utility of SP is decreasing to yield. This result suggests that individual investors prefer to receive SP rather than no dividends but they do not expect to receive an excessive number of SP when it is possible for the company to distribute a high amount of cash dividend. Furthermore, the results grouped by gender indicates that female respondents are prefer SP to dividend and have a higher economic value on SP than their male counterpart. Practically, by investing in an SP-paying stocks, individual investors are able to buy their favourite brands and products at lower prices which might be more beneficial than receiving a small amount of cash dividends. Meanwhile, for companies, the results imply that the distribution of SP can attract a number of individual investors, particularly women. Keywords: Shareholder Perks, Dividend Policy, Individual Investor, Conjoint Analysis, Indonesia

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“…However, empirical evidence shows that most individual investors do not have optimal portfolios. Frensidy (2016) states that most investors in Indonesia do not diversify where most investors only own 4 to 5 shares with an average ownership of only 2 shares.…”

Section: Introductionmentioning

confidence: 99%

Investor Competence and Decision Familiarity Bias Analysis for Portfolio Diversification

Nurcahya¹,

Maharani²

2021

Proceedings of the First International Conference on Economics, Business and Social Humanities, ICONEBS 2020, November 4-5, 202

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Investor's decision to maximize returns and reduce investment risk is to diversify their portfolios. According to the Behavioral Finance study, the investment decision is influenced by emotional psychology. Therefore, this study aims to examine psychological factors, that is investor competence and familiarity bias towards the decision of individual investor portfolio diversification. Data were collected using a questionnaire for active investors in Malang, Surabaya and Jakarta. Research questionnaire were distributed in person or online. The results showed that the competence investors has a positive and significant effect on the decision of investor portfolio diversification. Meanwhile, familiarity bias has a significant negative effect on investor portfolio diversification decision. This reflects that investment decisions in trading are influenced by limited rationality, emotional factors, and individual personality traits. Whereas in conditions of economic and financial uncertainty, its is believed that humans cannot escape the aspects of psychological bias in the decision-making process.

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The Performance Of Undiversified Portfolio In Indonesia Stock Exchange

Cited by 6 publications

References 23 publications

Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange

Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange

Are Individual Investors Attracted to Shareholder Perks in the Emerging Markets? An Experimental Study in Indonesia

Investor Competence and Decision Familiarity Bias Analysis for Portfolio Diversification

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