Sectoral Returns and Diversification: Empirical Evidence from Indonesia
European Journal of Molecular & Clinical Medicine,
2020, Volume 7, Issue 1, Pages 4061-4074
AbstractThe Indonesian capital market is an emerging market that has a smaller number of issuers compared to other markets. Although the number of listed companies in the capital market is small, many of the listed companies do not fluctuate or sleeping. There is a lot of debate about the number of shares formed in the portfolio by investors to form a portfolio to achieve well-diversified portfolio. However, in the case of the Indonesian capital market, it is possible to form a portfolio to be well-diversified portfolio due to limitations in the Indonesian Capital Market. The development of the capital market is one measure of economic development in a country. One way to look at economic analysis is that analysis is needed first at the industry or sector level. Although in general there is no necessary relation between economic growth and industries growth, some industries may grow in spite of poor economic growth, but the whole industry is an economic activity that covers all economic activity that refers to growth or decline. This article aims to evaluate portfolio at the sector level in the study period. Using the meanvariance model, we form a portfolio in each sector. The purpose of portfolio performance assessment is to find out whether the portfolio is formed can increase the possibility of investment objectives, it can be known which portfolio from which sector is outperform to other sectors. This study shows how the premium value and size effect in each sector and main sector.
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