Diversifikasi Portofolio Saham Syariah Indonesia Menggunakan Algoritma K-Means Clustering: Studi Kasus Pandemi COVID-19

Abrar, Ali Sulthan (2021) Diversifikasi Portofolio Saham Syariah Indonesia Menggunakan Algoritma K-Means Clustering: Studi Kasus Pandemi COVID-19. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Menyebarnya pandemi Coronavirus Disease (COVID-19) di Indonesia pada tahun 2020 mengakibatkan kondisi ekonomi memburuk. Salah satu sektor yang terdampak dari adanya pandemi adalah sektor investasi. Sejak akhir Desember 2019 hingga akhir Maret 2020, Indeks Saham Syariah Indonesia (ISSI) mengalami penurunan drastis terparah dalam sejarahnya yaitu sebesar -34,47% (Google- Finance, 2021). Penurunan signifikan tersebut memiliki dampak negatif langsung kepada investor saham syariah. Untuk menghindari kerugian yang mungkin terjadi diakibatkan pandemi, investor perlu melakukan diversifikasi portofolio. Oleh karena itu, penelitian ini bertujuan untuk membantu investor dalam melakukan diversifikasi portofolio yang lebih baik khususnya dalam menghadapi masa pandemi dengan menggunakan metode klasterisasi. 99 Saham syariah yang termasuk pada ISSI sejak 1 April 2020 hingga 31 Maret 2021 akan diklaster berdasarkan return dan risk-nya menggunakan algoritma k-means clustering. Hasil temuan dari klasterisai menunjukkan bahwa saham syariah Indonesia dikelompokkan menjadi 6 klaster yang masing-masing memiliki sifat yang beberbeda. Lalu, hasil klaster akan digunakan sebagai acuan dalam pembentukan portofolio. Saham yang memiliki sharpe ratio terbaik dari setiap klaster pilihan akan dipilih untuk membentuk portofolio. Terdapat dua alternatif portofolio yang dibentuk berdasarkan hasil klaster. Pengujian kedua portofolio yang telah dibentuk dari hasil klasterisasi dinilai berperforma baik dikarenakan memiliki return positif dan lebih baik dari performa pasar syariah secara makro. Selain itu, kedua portofolio juga sudah terdiversifikasi dengan baik karena nilai koreasi antar sahamnya berkorelasi relatif rendah. Penggunaan metode klasterisasi dinilai efektif dalam menindentifikasi sifat-sifat pergerakan harga serta diversifikasi portofolio saham. ====================================================================================================== The spread of the Coronavirus Disease (COVID-19) pandemic in Indonesia in 2020 has resulted in a deteriorating economy. One of the sectors affected is the investment sector. From the end of December 2019 to the end of March 2020, the Indonesian Sharia Stock Index (ISSI) price plunged by -34.47%, the worst decline in its history (Google-Finance, 2021). This significant decline had a direct negative impact on Islamic stock investors. To avoid losses that may occur due to the pandemic, investors urgently need to diversify their portfolios. Therefore, this study aims to assist investors in better diversifying their portfolios using the clustering method, especially in facing the pandemic. 99 Sharia stocks included in ISSI from 1 April 2020 to 31 March 2021 will be clustered based on their return and risk using the k-means clustering algorithm. The findings show that Indonesian sharia stocks are grouped into 6 clusters, each of which has different characteristics. Then, the results of the cluster will be used as a reference in portfolio construction. Stocks that have the highest Sharpe ratio from the selected clusters will be selected to construct the portfolio. There are two alternative portfolios formed based on the results of the clusters. The portfolio performance test shows that both portfolios are considered to be performing well because both have a positive return and are better than the performance of the overall sharia market. In addition, both portfolios also well-diversified because the correlation values between stocks are relatively low. The use of the clustering method is considered effective in identifying the characteristics of price movements and diversifying stock portfolios.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: COVID-19, Diversifikasi Portofolio, Index Saham Syariah Indonesia (ISSI), Klasterisasi K-Means, Pasar Modal Syariah COVID-19, Indonesia Sharia Stock Index (ISSI), K-Means Clustering, Portfolio Diversification, Sharia Stock Market
Subjects: H Social Sciences > HG Finance > HG4529 Investment analysis
H Social Sciences > HG Finance > HG4529.5 Portfolio management
H Social Sciences > HG Finance > HG4910 Investments
Q Science > QA Mathematics > QA278 Cluster Analysis. Multivariate analysis. Correspondence analysis (Statistics)
Divisions: Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis
Depositing User: Ali Sulthan Abrar
Date Deposited: 02 Aug 2021 01:48
Last Modified: 02 Aug 2021 01:48
URI: https://repository.its.ac.id/id/eprint/84655

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