S MAT 1005225 Table of content
DAFTAR ISI
ABSTRACT ............................................................. Error! Bookmark not defined.
ABSTRAK ............................................................. Error! Bookmark not defined.
KATA PENGANTAR ........................................... Error! Bookmark not defined.
DAFTAR ISI ........................................................................................................... v
DAFTAR GAMBAR ........................................................................................... viii
DAFTAR TABEL .................................................................................................. ix
DAFTAR LAMPIRAN ........................................................................................... x
BAB 1 PENDAHULUAN ..................................... Error! Bookmark not defined.
1.1 Latar Belakang ................................................. Error! Bookmark not defined.
1.2 Rumusan Masalah ............................................ Error! Bookmark not defined.
1.3 Tujuan Penelitian.............................................. Error! Bookmark not defined.
1.4 Batasan Masalah ............................................... Error! Bookmark not defined.
1.5 Manfaat Penelitian............................................ Error! Bookmark not defined.
BAB II LANDASAN TEORI ................................ Error! Bookmark not defined.
2.1 Investasi ............................................................ Error! Bookmark not defined.
2.2 Proses Investasi ................................................ Error! Bookmark not defined.
2.3 Saham... ............................................................ Error! Bookmark not defined.
2.4 Risiko... ............................................................ Error! Bookmark not defined.
2.5 Manajemen Risiko............................................ Error! Bookmark not defined.
2.6 Risiko Dalam Investasi Saham ......................... Error! Bookmark not defined.
2.7 Portofolio .......................................................... Error! Bookmark not defined.
2.8 Diversifikasi ..................................................... Error! Bookmark not defined.
2.9 Imbas Hasil (return) ......................................... Error! Bookmark not defined.
2.9.1 Perhitungan Imbas Hasil (Return) pada Satu Sekuritas . Error! Bookmark
not defined.
2.9.2 Perhitungan Imbas Hasil (Return) pada Portofolio . Error! Bookmark not
defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
2.10 Value at Risk (VaR) ....................................... Error! Bookmark not defined.
2.11 Distribusi Normal ........................................... Error! Bookmark not defined.
2.12 Confidence Level (Taraf Kepercayaan) .......... Error! Bookmark not defined.
2.13 Homoskedastis dan Heteroskedastis .............. Error! Bookmark not defined.
2.14 Standar Deviasi .............................................. Error! Bookmark not defined.
BAB III EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA)
DAN SEMI VARIANS (SV) ................................. Error! Bookmark not defined.
3.1 Exponentially Weighted Moving Average ....... Error! Bookmark not defined.
3.2 Semi Varians .................................................... Error! Bookmark not defined.
3.3 Teknik Analisis ................................................ Error! Bookmark not defined.
3.3.1 Teknik Analisis Metode Exponentially Weighted Moving Average
(EWMA).............................................. Error! Bookmark not defined.
3.3.2 Teknik Analisis Metode Semi Varians (SV) ........... Error! Bookmark not
defined.
3.3.3 Perhitungan nilai VaR ............................... Error! Bookmark not defined.
BAB IV PEMBAHASAN ...................................... Error! Bookmark not defined.
4.1 Objek Penelitian ............................................... Error! Bookmark not defined.
4.2 Analisis dan Pembahasan ................................. Error! Bookmark not defined.
4.2.1 Menentukan nilai return dan standar deviasi .......... Error! Bookmark not
defined.
4.2.2 Analisis data dengan metode EWMA ....... Error! Bookmark not defined.
4.2.2.1 Uji Stasioneritas ................................. Error! Bookmark not defined.
4.2.2.2 Uji Normalitas Data ........................... Error! Bookmark not defined.
4.2.2.3 Uji Heteroskedastisitas ....................... Error! Bookmark not defined.
4.2.2.4 Perhitungan VaR dengan Metode EWMA ....... Error! Bookmark not
defined.
4.2.3 Analisis data menggunakan metode Semi Varians (SV) Error! Bookmark
not defined.
4.2.3.1 Perhitungan VaR dengan Menggunakan Metode Semi Varians Error!
Bookmark not defined.
BAB V KESIMPULAN DAN SARAN ................. Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
5.1 Kesimpulan....................................................... Error! Bookmark not defined.
5.2 Saran....... .......................................................... Error! Bookmark not defined.
DAFTAR PUSTAKA ............................................ Error! Bookmark not defined.
LAMPIRAN ........................................................... Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
DAFTAR GAMBAR
Gambar 4. 1 Grafik return saham harian INDF ..... Error! Bookmark not defined.
Gambar 4. 2 Grafik return saham harian UNVR ... Error! Bookmark not defined.
Gambar 4. 3 Grafik return saham harian SMGR ... Error! Bookmark not defined.
Gambar 4. 4 Grafik return saham harian INTP ...... Error! Bookmark not defined.
Gambar 4. 5 Grafik return saham harian portofolio optimal Error! Bookmark not
defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
DAFTAR TABEL
Tabel 4.1 Nilai return, standar deviasi dan varians saham .. Error! Bookmark not
defined.
Tabel 4.2 Saham-saham yang menjadi kandidat portofolio . Error! Bookmark not
defined.
Tabel 4.3 Komposisi saham optimal ...................... Error! Bookmark not defined.
Tabel 4.4 Nilai return, standar deviasi dan varians portofolio optimal ......... Error!
Bookmark not defined.
Tabel 4.5 Hasil uji ADF ......................................... Error! Bookmark not defined.
Tabel 4. 6 Hasil uji deskriptif statistik data return saham ... Error! Bookmark not
defined.
Tabel 4. 7 Hasil uji normalitas data return saham . Error! Bookmark not defined.
Tabel 4. 8 Hasil Z-koreksi...................................... Error! Bookmark not defined.
Tabel 4. 9 Hasil uji heteroskedastisitas .................. Error! Bookmark not defined.
Tabel 4. 10 Hasil perhitungan valatilitas dengan metode EWMA................. Error!
Bookmark not defined.
Tabel 4. 11 Hasil perhitungan VaR EWMA .......... Error! Bookmark not defined.
Tabel 4. 12 Nilai semi varians dan standar deviasi Error! Bookmark not defined.
Tabel 4. 13 Komposisi portofolio optimal ............. Error! Bookmark not defined.
Tabel 4. 14 Nilai semi varians dan standar deviasi portofolio optimal .......... Error!
Bookmark not defined.
Tabel 4. 15 Hasil perhitungan VaR untuk SV........ Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
DAFTAR LAMPIRAN
Lampiran 1: Data harga penutupan (closing price) saham... Error! Bookmark not
defined.
Lampiran 2: Data nilai return ................................ Error! Bookmark not defined.
Lampiran 3: Perhitungan mencari komposisi bobot portofolio optimal (MVEP)
dengan menggunakan bantuan software Maple 13 Error! Bookmark not defined.
Lampiran 4: Uji Stasioneritas ADF........................ Error! Bookmark not defined.
Lampiran 5: Uji Normalitas dan Uji Deskriptif Data Return Tiap Saham dan
Portofolio Optimal ................................................. Error! Bookmark not defined.
Lampiran 6: Uji Heteroskedastisitas ...................... Error! Bookmark not defined.
Lampiran 7: Data nilai semi varians ...................... Error! Bookmark not defined.
Lampiran 8: Perhitungan komposisi bobot potofolio optimal Mean-Semivariance
dengan menggunakan Maple 13 ............................ Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
ABSTRACT ............................................................. Error! Bookmark not defined.
ABSTRAK ............................................................. Error! Bookmark not defined.
KATA PENGANTAR ........................................... Error! Bookmark not defined.
DAFTAR ISI ........................................................................................................... v
DAFTAR GAMBAR ........................................................................................... viii
DAFTAR TABEL .................................................................................................. ix
DAFTAR LAMPIRAN ........................................................................................... x
BAB 1 PENDAHULUAN ..................................... Error! Bookmark not defined.
1.1 Latar Belakang ................................................. Error! Bookmark not defined.
1.2 Rumusan Masalah ............................................ Error! Bookmark not defined.
1.3 Tujuan Penelitian.............................................. Error! Bookmark not defined.
1.4 Batasan Masalah ............................................... Error! Bookmark not defined.
1.5 Manfaat Penelitian............................................ Error! Bookmark not defined.
BAB II LANDASAN TEORI ................................ Error! Bookmark not defined.
2.1 Investasi ............................................................ Error! Bookmark not defined.
2.2 Proses Investasi ................................................ Error! Bookmark not defined.
2.3 Saham... ............................................................ Error! Bookmark not defined.
2.4 Risiko... ............................................................ Error! Bookmark not defined.
2.5 Manajemen Risiko............................................ Error! Bookmark not defined.
2.6 Risiko Dalam Investasi Saham ......................... Error! Bookmark not defined.
2.7 Portofolio .......................................................... Error! Bookmark not defined.
2.8 Diversifikasi ..................................................... Error! Bookmark not defined.
2.9 Imbas Hasil (return) ......................................... Error! Bookmark not defined.
2.9.1 Perhitungan Imbas Hasil (Return) pada Satu Sekuritas . Error! Bookmark
not defined.
2.9.2 Perhitungan Imbas Hasil (Return) pada Portofolio . Error! Bookmark not
defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
2.10 Value at Risk (VaR) ....................................... Error! Bookmark not defined.
2.11 Distribusi Normal ........................................... Error! Bookmark not defined.
2.12 Confidence Level (Taraf Kepercayaan) .......... Error! Bookmark not defined.
2.13 Homoskedastis dan Heteroskedastis .............. Error! Bookmark not defined.
2.14 Standar Deviasi .............................................. Error! Bookmark not defined.
BAB III EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA)
DAN SEMI VARIANS (SV) ................................. Error! Bookmark not defined.
3.1 Exponentially Weighted Moving Average ....... Error! Bookmark not defined.
3.2 Semi Varians .................................................... Error! Bookmark not defined.
3.3 Teknik Analisis ................................................ Error! Bookmark not defined.
3.3.1 Teknik Analisis Metode Exponentially Weighted Moving Average
(EWMA).............................................. Error! Bookmark not defined.
3.3.2 Teknik Analisis Metode Semi Varians (SV) ........... Error! Bookmark not
defined.
3.3.3 Perhitungan nilai VaR ............................... Error! Bookmark not defined.
BAB IV PEMBAHASAN ...................................... Error! Bookmark not defined.
4.1 Objek Penelitian ............................................... Error! Bookmark not defined.
4.2 Analisis dan Pembahasan ................................. Error! Bookmark not defined.
4.2.1 Menentukan nilai return dan standar deviasi .......... Error! Bookmark not
defined.
4.2.2 Analisis data dengan metode EWMA ....... Error! Bookmark not defined.
4.2.2.1 Uji Stasioneritas ................................. Error! Bookmark not defined.
4.2.2.2 Uji Normalitas Data ........................... Error! Bookmark not defined.
4.2.2.3 Uji Heteroskedastisitas ....................... Error! Bookmark not defined.
4.2.2.4 Perhitungan VaR dengan Metode EWMA ....... Error! Bookmark not
defined.
4.2.3 Analisis data menggunakan metode Semi Varians (SV) Error! Bookmark
not defined.
4.2.3.1 Perhitungan VaR dengan Menggunakan Metode Semi Varians Error!
Bookmark not defined.
BAB V KESIMPULAN DAN SARAN ................. Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
5.1 Kesimpulan....................................................... Error! Bookmark not defined.
5.2 Saran....... .......................................................... Error! Bookmark not defined.
DAFTAR PUSTAKA ............................................ Error! Bookmark not defined.
LAMPIRAN ........................................................... Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
DAFTAR GAMBAR
Gambar 4. 1 Grafik return saham harian INDF ..... Error! Bookmark not defined.
Gambar 4. 2 Grafik return saham harian UNVR ... Error! Bookmark not defined.
Gambar 4. 3 Grafik return saham harian SMGR ... Error! Bookmark not defined.
Gambar 4. 4 Grafik return saham harian INTP ...... Error! Bookmark not defined.
Gambar 4. 5 Grafik return saham harian portofolio optimal Error! Bookmark not
defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
DAFTAR TABEL
Tabel 4.1 Nilai return, standar deviasi dan varians saham .. Error! Bookmark not
defined.
Tabel 4.2 Saham-saham yang menjadi kandidat portofolio . Error! Bookmark not
defined.
Tabel 4.3 Komposisi saham optimal ...................... Error! Bookmark not defined.
Tabel 4.4 Nilai return, standar deviasi dan varians portofolio optimal ......... Error!
Bookmark not defined.
Tabel 4.5 Hasil uji ADF ......................................... Error! Bookmark not defined.
Tabel 4. 6 Hasil uji deskriptif statistik data return saham ... Error! Bookmark not
defined.
Tabel 4. 7 Hasil uji normalitas data return saham . Error! Bookmark not defined.
Tabel 4. 8 Hasil Z-koreksi...................................... Error! Bookmark not defined.
Tabel 4. 9 Hasil uji heteroskedastisitas .................. Error! Bookmark not defined.
Tabel 4. 10 Hasil perhitungan valatilitas dengan metode EWMA................. Error!
Bookmark not defined.
Tabel 4. 11 Hasil perhitungan VaR EWMA .......... Error! Bookmark not defined.
Tabel 4. 12 Nilai semi varians dan standar deviasi Error! Bookmark not defined.
Tabel 4. 13 Komposisi portofolio optimal ............. Error! Bookmark not defined.
Tabel 4. 14 Nilai semi varians dan standar deviasi portofolio optimal .......... Error!
Bookmark not defined.
Tabel 4. 15 Hasil perhitungan VaR untuk SV........ Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu
DAFTAR LAMPIRAN
Lampiran 1: Data harga penutupan (closing price) saham... Error! Bookmark not
defined.
Lampiran 2: Data nilai return ................................ Error! Bookmark not defined.
Lampiran 3: Perhitungan mencari komposisi bobot portofolio optimal (MVEP)
dengan menggunakan bantuan software Maple 13 Error! Bookmark not defined.
Lampiran 4: Uji Stasioneritas ADF........................ Error! Bookmark not defined.
Lampiran 5: Uji Normalitas dan Uji Deskriptif Data Return Tiap Saham dan
Portofolio Optimal ................................................. Error! Bookmark not defined.
Lampiran 6: Uji Heteroskedastisitas ...................... Error! Bookmark not defined.
Lampiran 7: Data nilai semi varians ...................... Error! Bookmark not defined.
Lampiran 8: Perhitungan komposisi bobot potofolio optimal Mean-Semivariance
dengan menggunakan Maple 13 ............................ Error! Bookmark not defined.
Faizal Rachman,2014
Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV)
dalam perhitungan risiko portopolio saham optimal
Universitas Pendidikan Indonesia | repository.upi.edu