Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia?
There were two objectives in this research. Those were to construct an optimal portfolio and to analyze the impact of inflation, Bank of Indonesia (BI rate), and Rupiah to US Dollars exchange rate to the optimal portfolio return in Indonesia. The constant correlation portfolio model and ordinary lea...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Bina Nusantara University
2018-03-01
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| Series: | Binus Business Review |
| Subjects: | |
| Online Access: | https://journal.binus.ac.id/index.php/BBR/article/view/3960 |
| _version_ | 1797709755731410944 |
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| author | Bayu Adi Nugroho Edhi Juwono Inung Wijayanti |
| author_facet | Bayu Adi Nugroho Edhi Juwono Inung Wijayanti |
| author_sort | Bayu Adi Nugroho |
| collection | DOAJ |
| description | There were two objectives in this research. Those were to construct an optimal portfolio and to analyze the impact of inflation, Bank of Indonesia (BI rate), and Rupiah to US Dollars exchange rate to the optimal portfolio return in Indonesia. The constant correlation portfolio model and ordinary least square regression method were implemented. This research used the stocks from the consistently selected stocks in the Bisnis-27 Index from 2012 to 2016. Microsoft Excel 2010 was used to construct an optimal portfolio. Meanwhile, to compute the regression and statistical analysis, SPSS version 20 was utilized. The obtained results show that only the stocks from PT Telekomunikasi Indonesia, PT Kalbe Farma, PT Charoen Pokphand Indonesia, PT Bank Rakyat Indonesia, PT Bank Central Asia, and PT Bank Negara Indonesia are included in the optimal portfolio. In addition, from the three leading macroeconomic indicators, only exchange rate change (Rupiah to US Dollars rate of change) impacts the return of the constant correlation model portfolio in Bisnis-27 Index significantly and negatively. |
| first_indexed | 2024-03-12T06:42:25Z |
| format | Article |
| id | doaj.art-908fb968512f4dd2b77d3559666967db |
| institution | Directory Open Access Journal |
| issn | 2087-1228 2476-9053 |
| language | English |
| last_indexed | 2024-03-12T06:42:25Z |
| publishDate | 2018-03-01 |
| publisher | Bina Nusantara University |
| record_format | Article |
| series | Binus Business Review |
| spelling | doaj.art-908fb968512f4dd2b77d3559666967db2023-09-03T00:54:59ZengBina Nusantara UniversityBinus Business Review2087-12282476-90532018-03-0191192710.21512/bbr.v9i1.39603256Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia?Bayu Adi Nugroho0Edhi Juwono1Inung Wijayanti2Perbanas InstitutePerbanas InstitutePerbanas InstituteThere were two objectives in this research. Those were to construct an optimal portfolio and to analyze the impact of inflation, Bank of Indonesia (BI rate), and Rupiah to US Dollars exchange rate to the optimal portfolio return in Indonesia. The constant correlation portfolio model and ordinary least square regression method were implemented. This research used the stocks from the consistently selected stocks in the Bisnis-27 Index from 2012 to 2016. Microsoft Excel 2010 was used to construct an optimal portfolio. Meanwhile, to compute the regression and statistical analysis, SPSS version 20 was utilized. The obtained results show that only the stocks from PT Telekomunikasi Indonesia, PT Kalbe Farma, PT Charoen Pokphand Indonesia, PT Bank Rakyat Indonesia, PT Bank Central Asia, and PT Bank Negara Indonesia are included in the optimal portfolio. In addition, from the three leading macroeconomic indicators, only exchange rate change (Rupiah to US Dollars rate of change) impacts the return of the constant correlation model portfolio in Bisnis-27 Index significantly and negatively.https://journal.binus.ac.id/index.php/BBR/article/view/3960macroeconomic factors, optimal portfolio, inflation rate, Bank of Indonesia (BI rate), Rupiah to US Dollars exchange rate, constant correlation portfolio model |
| spellingShingle | Bayu Adi Nugroho Edhi Juwono Inung Wijayanti Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia? Binus Business Review macroeconomic factors, optimal portfolio, inflation rate, Bank of Indonesia (BI rate), Rupiah to US Dollars exchange rate, constant correlation portfolio model |
| title | Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia? |
| title_full | Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia? |
| title_fullStr | Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia? |
| title_full_unstemmed | Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia? |
| title_short | Do Leading Macroeconomic Factors Impact on Optimal Portfolio Return in Indonesia? |
| title_sort | do leading macroeconomic factors impact on optimal portfolio return in indonesia |
| topic | macroeconomic factors, optimal portfolio, inflation rate, Bank of Indonesia (BI rate), Rupiah to US Dollars exchange rate, constant correlation portfolio model |
| url | https://journal.binus.ac.id/index.php/BBR/article/view/3960 |
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