How Many Stocks to Make a Well-Diversified Portfolio? Case Study of Conventional and Socially Responsible Stocks in Indonesia Stock Exchange
Indonesia stocks market is one of the highest return stocks market in the world. Therefore, lots of foreign investors invest their money in Indonesia stocks market. On the other hand, domestic investors are growing even more than foreign investors. Especially retail investors are increasing rapidly....
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/27590 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Indonesia stocks market is one of the highest return stocks market in the world. Therefore, lots of foreign investors invest their money in Indonesia stocks market. On the other hand, domestic investors are growing even more than foreign investors. Especially retail investors are increasing rapidly. As investors have to know how to minimize the risk and maximize the return. The portfolio is one of the ways to solve the problems. Nowadays, investors in Indonesia are not only concern about the performance of the company but also concern how to care the company with the surrounding environment. Through corporate social responsibility can be measured how care company with social and environment. With socially responsible company can improve corporate image and strengthen the marketing effect, thus having a positive relationship with company performance. Therefore, the socially responsible portfolio can be compared with a conventional portfolio to know which one gives better performance. The portfolio is constructed by Markowitz portfolio selection theory which based on risk and return of stocks. From this study, well-diversified portfolio in Indonesia stocks market is 81 stocks. This 81 stocks can imitate the performance of Jakarta Composite Index. Performance of all stocks and socially responsible portfolio is almost the same. Both of this portfolio give better performance than JCI. Sharpe Ratio of all stocks portfolio is 0.098 and Sharpe Ratio of socially responsible portfolio is 0.096. Socially responsible portfolio gives a better return than a conventional portfolio with consequence higher risk. |
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