PENGHITUNGAN VALUE AT RISK (VAR) PORTOFOLIO OPTIMUM SAHAM PERUSAHAAN BERBASIS SYARIAH DENGAN PENDEKATAN EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) (STUDI KASUS PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX PERIODE JUNI 2016-NOVEMBER 2017)

Abstract

ABSTRACT
This research was conducted with the aim of assessing the maximum potential
loss that might occur to investors if they invest in sharia-based public shares. The
method used in this study is Value at Risk (VaR) with an Exponentially Weighted
Moving Average (EWMA) approach. The sample in this study were 24 stock that
were consistently registered in Jakarta Islamic Index (JII) period June 2016 -
November 2017. After calculating the optimum stock portfolio formation, 11 stock
were include in the optimum portfolio category.
The result of this study indicate that the optimum portfolio obtained consists
of SSMS 16,6%; LPKR 15,9%; TLKM 12,03%; WIKA 12,02%; PGAS 11,9%;
WSKT 10,6%; SMRA 7,6%; UNTR 6,4%; UNVR 2,9%; ICBP 2,4%; and AALI
1,2%. Value at Risk (VaR) with an Exponentially Weighted Moving Average
(EWMA) approach fluctuates (not constant) for 1 day, 5 days, and 10 days. This
is because the return obtained for each day is different so that the risk faced are
also different where it will also affect the maximum risk that might occur on the
day.
Keyword: Value at Risk (VaR), Exponentially Weighted Moving Average (EWMA)