Detail Cantuman Kembali
VALUE AT RISK AND EXPECTED RETURNS OF PORTFOLIO COMPANIES LISTED ON LQ45 INDEX PERIOD 2013-2016
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ABSTRACT
VALUE AT RISK AND EXPECTED RETURNS OF PORTFOLIO
COMPANIES LISTED ON LQ45 INDEX
PERIOD 2013-2016
BY
ADINDA SALSABILA
The objective of this study is to investigate whether there is a positive relationship
between Value at Risk and Expected Portfolio Returns in Indonesia Stock
Exchange. The population of this study is companies listed on LQ45 index period
2013-2016 and the sample is 20 companies that meet the criteria. Markowitz
method was used to form 65 portfolios consist of 2 combination of stock that has
a negative correlation.
The result shows that there is no positive relationship between Value at Risk and
Expected Portfolio Returns. On the contrary, the correlation coefficient indicated
that there is a negative relationship between the variables, means that there is an
inverse relationship (high return low risk and vice versa). It proves the assumption
of a rational investor is avoiding risk (risk averse). This result is also supported by
the findings from Schroders Global Investment Trends Survey 2015 which shows
that 63 percent of investors in Indonesia prefer to allocate their investments in
instruments with low and medium risk levels. However, it does not mean the
concept of high-risk high-return is not applicable in Indonesia because the result is
not significant.
Keyword: Value at Risk, Markowitz Method, Portfolio.
ADINDA SALSABILA
ADINDA SALSABILA - Personal Name
9 MEI 2018
R 658 ADI v
658
Skripsi
English
UNILA
2018
Bandar Lampung
Skripsi
Dr. SRI HASNAWATI, S.E., M.Si.
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