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The impact of selection of indices on portfolio performances during overall, bearish, and bullish conditions: a case study of lq 45 stocks and non lq 45 stocks in Indonesia stock exchange (February 2008 - December 2009)

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This research will discuss about the influence of global indices, commodity prices andrnInternal factors like bi rate, inflation rate, the exchange rate of indonesia rupiah respective tornU.s. Dollar to the fluctuation of indonesian indices, the roles of markowitz model in creatingrnOptimal portfolios, the performance evaluation on optimal portfolios of index of lq 45 andrnIndex of non lq 45 in overall, bearish and bullish condition. So that the investor can makernStrategic decision with portfolios.rn The data is external secondary data. Pls version 2.0 is used to find out how much thernInfluence of each element to the fluctuation of indonesian indices. Microsoft excel is used as anrnOptimization tool. The spss version 17 is applied to do t test for the difference between twornMeans and two way analysis of variance or two way anova. rn Based on the research analysis, only one of six markowitz efficient frontiers representsrnOptimal portfolios according to sharpe and treynor theory.rn In condition without considering bearish and bullish or overall condition, the mostrnInfluence factor to indonesian indices is commodities. Variables of commodities and internalrnFactors significantly influence indonesian indices.rn In bearish condition, the most influence factor to indonesian indices is asia pacificrnIndices. Variables of asia pacific indices, commodities, internal factors, european indicesrnSignificantly influence indonesian indices.rn In bullish condition, the most influence factor to indonesian indices is commodity prices.rnOnly variable of commodities significantly influences indonesian indices.rn Jensen measure and m2 measure are more suitable in every condition. In overall andrnBullish condition the performance of index of lq 45 is lower than that of index of non lq 45.rnIn bearish condition the performance of index of lq 45 is the same as the performance of indexrnOf non lq 45.

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M00203

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Series Title

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Call Number

203

Publisher

: Swiss German University., 2011

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Language

English

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Classification

NONE

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Subject(s)

MBA

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