PROPOSE A NEW INDEX IN PROPERTY SECTOR, HIGH RETURN PROPERTY INDEX (HRPI) TO BE AN UNDERLYING A NEW ETF TO INCREASE THE AVERAGE DAILY TRANSACTION CASE : PT BURSA EFEK INDONESIA
PT. Bursa Efek Indonesia or Indonesia Stock Exchange (IDX) is a capital market institution located in Jakarta, Indonesia. As of December 31, 2018, the number of investors in Indonesia is only around 1.6 million investors. In the end of December, 2018, the average daily transaction value of stocks is...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/38452 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | PT. Bursa Efek Indonesia or Indonesia Stock Exchange (IDX) is a capital market institution located in Jakarta, Indonesia. As of December 31, 2018, the number of investors in Indonesia is only around 1.6 million investors. In the end of December, 2018, the average daily transaction value of stocks is Rp 8.5 trillion. PT. Bursa Efek Indonesia has a target to increase the average daily transaction value of stocks (rata-rata nilai transaksi harian saham, RNTH) to Rp. 11 trillion in 2019 with a total trading days for 245 days.
In this study a new stock index was made with an analysis of the new stock index. The methodology for making a new index starts from making the theme, the chosen theme comes from certain sectors, namely the Construction, Property, and Real Estate sector. The stocks selection criteria used are objective, quantitative, fundamental, and relative. Determination of the base day and the base value for the new index have been made, also calculate the daily index value during the index creation period (January 2, 2014 – December 28, 2018) and during the backtesting period (January 2, 2019 – April 16, 2019), then calculate the returns and performances of the index using Sharpe ratio, Treynor ratio, and Alpha in the index creation period (January 2, 2014 – December 28, 2018) and the backtesting period (January 2, 2019 – April 16, 2019). Also, made index maintenance to maintain the performance of the new index.
After making a new index and analysis of the index, the author proposes a strategy to increase the average daily transaction in PT. Bursa Efek Indonesia by creating a new index, namely the High Return Property Index (HRPI), which can be used as an underlying ETF product.
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