Materi 2 Pengertian Instrumen Pasar Modal2

8/18/2019 Materi 2 Pengertian Instrumen Pasar Modal2

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TEORI INVESTASI

DAN PORTFOLIO

MATERI 2


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.

, .

.

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3/87

B

.

2007, B E J (BEJ) B E (BE)

B E I (BEI).

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.

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5/87

,

,

.

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,

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8/87

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(

) .

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11/87

Sekuritas

Reksadana

Sekuritas jangka panjang

(Pasar Modal)

Sekuritas di Pasar

Ekuitas

Sekuritas di Pasar

Obligasi

Sekuritas di Pasar

Derivatif

Saham biasa

Saham preferen

Bukti right

Waran

Obligasi

Obligasi konversi

Kontrak berjangka

Kontak opsi

Sekuritas jangka pendek

(Pasar Uang)

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12/87

I

.

,

.

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13/87

( )

. I: A 1

100 , 1

.

,

().

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14/87

.

A , .

, ( ).

. D , .

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15/87

Contoh Pembayaran Dividen PT. Astra International TBk.

Tahun

(Semester)

Cash

Dividend Cum Date Ex Date

Recording

Date

Payment

Date

2005 (1) 270 16 Juni 17 Juni 21 Juni 4 Juli

2005 (2) 100 9 Nov 10 Nov 14 Nov 24 Nov


2006 (2) 150 20 Okt 30 Okt 1 Nov 15 Nov


2007 (2) 160 29 Okt 30 Okt 1 Nov 15 Nov


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16/87

D ( )

. ( )

. B

.

17/52



17/87

C:

10

. B

1 .

A B B 1

, BB

?

17/52



18/87

J:

D 10 / 1 = 10.

,

B B 10

.

K B B 1 ,

10 .

18/52



19/87

.

H .

19/52



20/87

I

.

.

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21/87


22/87

B

(HED)

.

,

( )

.

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23/87

B

.

.

D ,

?

23/52



24/87

,

G 100 BEI.

,

G 675 .

A

G,

75

.

75 = 675 (

500 + 100).

24/52



25/87

()

.

B ,

.

, , 3

5 .

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26/87

I , , .

( )

.

.

(

).

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27/87

, : ( ),

I. D A, ().

( ),

(B).

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( ) ( ). B .

K (). K

. K .

J ( ). J

.

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29/87

,

.

F

.

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()

.

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30/87

:

I

100 10

. I

3 .

B

? B

?

,

?

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31/87

J:

I 10 100 , 500.000 .

B 6, , .

,I 1 .

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32/87

.

.

3

.

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33/87

()

,

.

A

, :

( ),

( ).

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K

.

A :

K .

K

( ) .

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35/87

K

, , ( ) .

( ) .

.

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36/87

.

B ,

, : ,

:

(KIK).

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38/87

, .

, .

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39/87

I

(AB) .

AB . AB

(, , )

.

AB = AB /

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I

. K

.

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, .

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C: B 100.000

H A

1.000

1.200. D

50 . , B

.

B , 5.000.000 + 20.000.000 =

25.000.000.

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42/87

I

.

C:

Penjelasan Kasus 2 (Rp)

Harga penutupan per lembar saham, 1 Januari 2005: 1.000

Dividen selama 2005: 50

Harga penutupan per lembar saham, 31 Desember 2005: 900

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43/87

:

= 50 / 1.000 = 0,05 = 5%

():

= (900 1.000) / 1.000

= 10%

:

= + ()

= 5% 10% = 5%

1Dividend yield =

t

t

D

P−

( )1 1Capital gains (loss) = / t t t P P P− −−

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I , .

.

J ,

. ,

.

() ( ).

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,

:

Tahun Sekuritas

BBAA

Sekuritas KKSS

2001 5% 11%

2002 -15% 11%

2003 10% 11%

2004 38% 11%

2005 17% 11%

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47/87

BBAA

= (5% 15% + 10% + 38% + 17%) / 5 = 11% KK

= (11% + 11% + 11% + 11% + 11%) / 5 = 11%

2001 .. 2005 KK

,

11 . BBAA 11 .

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σ2 :

σ2 ( BBAA) = 1.478 / (5 1) = 369,5

σ2 ( KK) = 0 / (5 1) = 0

Sekuritas BBAA Sekuritas KKSS

(5 – 11)

2

= 36(-15 – 11)2 = 676

(10 – 11)2 = 1

(38 – 11)2 = 729

(17 – 11)2 = 361.478

(11 – 11)

2

= 0(11 – 11)2 = 0

(11 – 11)2 = 0

(11 – 11)2 = 0

(11 – 11)2 = 00

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D , σ, :

σ ( BBAA) = √σ2 = √369,5 = 19,22%

σ ( KK) = √σ2 = √0 = 0%

,

(

).

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A , , :

H , ,

.

Tahun Saham YYY Obligasi MMM Pasar

1999 12,60% 7,80% 11,16%

2000 -15,32% 8,95% -10,99%

2001 4,35% 6,33% 8,22%

2002 40,69% 2,63% 35,48%

2003 -5,66% 5,79% -10,50%

2004 30,81% 9,58% 23,05%

2005 16,74% 8,22% 15,79%

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J:

:

:

= 12,03 .

= 7,04 .

= 10,32 .

D :

= 19,65 .

= 2,37 .

= 16,92 .

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53/87

I

()

.

I

,

.

D ,

.

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54/87

E

( ) :

1.

( , I)

,

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( ).

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55/87

2. I

.

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56/87

D ,

.

. 8 1995

.

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B

.

30 2007,BEJ BE

B E I.

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58/87

() ()

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(BEJ BE),

K (K),

().

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59/87

().

K (K)

, , . 2006,

K B

, K EI (KEI).

() 11/39



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2006,

B ,

K E I (KEI).

() 12/39


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65/87

3.

A .

2006, B 13

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.

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66/87

5.

. 2

, EFID

K C I.

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67/87

B .

, ,

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68/87

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.

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1. ( )

2. ( ).

I

, :1. I I (/).

2. I .

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70/87

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,

( )

( ).

K ,

.

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72/87

(

).

B

(JA).

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BEI

FI ( ) CFI (

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.

3.

() .

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75/87

4. BEI ( )

, 500 ( ) .

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()


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()


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78/87

( ) .

B , .

30/39



79/87

80 20 . J

100 . :

80 / 100 = 0,80 80 .

31/39



80/87

. , .

.

32/39



81/87

:

1. I .

2. D ,

.

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82/87

B 100.000 300

. B 30 .

,

200 . B 100.000 200 20

.

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D , B 10 30 20

.

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84/87

I ( ) .

1. I H G

(IHG)2. I 453. I K 1004. I . 6. I (B)

(DB)

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A BEI

:

Saham

29 Agustus 2008 30 Agustus 2008

Harga

(H)

Lembar Saham

(L)

Harga

(H)

Lembar Saham

(L)

FFFF Rp100 2.000 Rp110 2.000

JJJJ Rp50 1.000 Rp45 1.000

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86/87

( )

( )

x100

LH

LH

Indeks1n

1j1tjj

n

1jtjj

t

∑

∑

−

=

−

=

=

A , 29

A 2008.

, 29 A 2008, 100.

I :

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87/87

I30 A. = 106.

( ) ( )

( ) ( )

x100

xLHxLH

xLHxLHIndeks

29Agst.JJJJJJJJ29Agst.FFFFFFFF

30Agst.JJJJJJJJ30Agst.FFFFFFFF

30Agst.

+

+

=

( ) ( )

( ) ( )

x100

50x1000100x2000

45x1000110x2000Indeks

30Agst.+

+=

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