Article Sidebar

Download
Full text PDF
Statistic
Read Counter : 269 Download : 219

Downloads

Download data is not yet available.

Main Article Content

Abstract

Purpose – This study analyzes the expected returns and risks associated with these stocks and identifies the optimal portfolio composition.
Methodology – This study utilized operational data analysis and the Markowitz model to assess 30 stocks listed on the JII from 2017 to 2020. Through purposive sampling, 13 companies that met the specific sample criteria were selected for analysis.
Findings – The analysis successfully identified an optimal portfolio composed of six stocks: ANTM (Aneka Tambang Tbk), ICBP (Indofood CBP Sukses Makmur), INCO (Vale Indonesia Tbk), KLBF (Kalbe Farma Tbk), PTBA (Bukit Asam Tbk), and UNTR (United Tractors Tbk). This portfolio demonstrates an expected rate of return ranging from 0.28% to 1.88%. Notably, the portfolio's overall risk value was calculated to be only 0.19%, which is significantly lower than the individual risk associated with any single stock within the portfolio.
Implication – This study provides valuable insights for investors looking to build a balanced and Shariah-compliant investment portfolio, improving their understanding of expected returns and associated risks in Islamic financial markets.
Originality – The abstract does not explicitly state the originality section. However, the unique combination of focusing on JII-listed Sharia stocks and applying the Markowitz model to identify an optimal portfolio can be inferred as the original contribution of this study. The context of Islamic financial markets distinguishes it from that of a general investment study.

Keywords

Sharia Stocks Markowitz Model Optimal Portfolio JII Invesment

Article Details

License

Copyright (c) 2025 Luqmanul Hakiem Ajuna, Hendra Dukalang, Muhammad Ardi

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Authors who publish with this journal agree to the following terms:

  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
  2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
How to Cite
Ajuna, L. H., Dukalang, H., & Ardi, M. (2025). Building an optimal portfolio of Sharia-compliant stocks using the Markowitz model: A study of listed JII companies. Jurnal Ekonomi & Keuangan Islam, 11(2), 314–330. https://doi.org/10.20885/JEKI.vol11.iss2.art10
Download Citation
Endnote/Zotero/Mendeley (RIS)
BibTeX
Crossref
Scopus
Google Scholar
Europe PMC

References

  1. Adnyana, I. M. (2020). Manajemen investasi dan portofolio. Lembaga Penerbit Universitas Nasional. http://repository.unas.ac.id/3770/1/BUKU%20IINVESTASI%20REVISI%209%20OK.20.pdf
  2. Afriana, T., Tarno, T., & Sugito, S. (2017). Analisis pembentukan portofolio pada perusahaan yang terdaftar di LQ45 dengan pendekatan metode Markowitz menggunakan GUI Matlab. Jurnal Gaussian, 6(2), 251–260. https://doi.org/10.14710/j.gauss.6.2.251-260
  3. Anam, S. K., Aprianingrum, A., & Moorcy, N. H. (2021). Analisis penentuan portofolio optimal dengan model Markowitz pada Jakarta Islamic Index (JII) yang terdaftar di Bursa Efek Indonesia. GeoEkonomi, 12(3), 2086–1117. https://doi.org/10.36277/geoekonomi
  4. Avella, A. (2024). Empirical analysis of portfolio optimization using the Markowitz model. SSRN, 10(12), 1–27. http://doi.org/10.2139/ssrn.4971433
  5. Azis, M., Mintarti, S., & Nadir, M. (2015). Manajemen investasi: Fundamental, teknikal, perilaku investor, dan return saham. Budi Utama.
  6. Aziz, A. (2010). Manajemen investasi syariah. Alphabeta. https://repository.syekhnurjati.ac.id/4586/1/Buku%20Manajemen%20Investasi%20Syariah.pdf
  7. Balqis, V. P., Subiyanto, S., & Supian, S. (2021). Optimizing stock portfolio with Markowitz method as a reference for investment community decisions. International Journal of Research in Community Service, 2(2), 71–76. https://doi.org/10.46336/ijrcs.v2i2.213
  8. Botero, S. B., Mazo, C. M. G., & Arboleda, F. J. M. (2024). Power generation mix in Colombia including wind power: Markowitz portfolio efficient frontier analysis with machine learning. Journal of Open Innovation: Technology, Market, and Complexity, 10(4), 100402. https://doi.org/10.1016/j.joitmc.2024.100402
  9. Chandranegara, D. R., Afif, R. A., Aditya, C. S. K., Suharso, W., & Wibowo, H. (2023). Prediksi harga saham Jakarta Islamic Index menggunakan metode Long Short-Term Memory. Jurnal Edukasi dan Penelitian Informatika, 9(1), 129–135. https://doi.org/10.26418/jp.v9i1.57561
  10. Chaweewanchon, A., & Chaysiri, R. (2022). Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning. International Journal of Financial Studies, 10(3), 64. https://doi.org/10.3390/ijfs10030064
  11. Darmadji, T., & Fakhrudin, H. M. (2001). Pasar modal di Indonesia. Salemba Empat. https://openlibrary.telkomuniversity.ac.id/pustaka/10021/pasar-modal-di-indonesia-3-e-.html
  12. Desiyanti, R. (2017). Teori investasi dan portofolio. Bung Hatta University Press.
  13. Dewi, N. K. A., & Candradewi, M. R. (2020). Optimal portfolio formation of IDX80 index stocks using the Markowitz model. E-Journal of Management, 9(4), 1614–1633. https://doi.org/10.24843/EJMUNUD.2020.v09.i04.p19
  14. Fabozzi, F. J. (2003). Manajemen investasi. Salemba Empat. http://repository.unas.ac.id/3770/1/BUKU%20IINVESTASI%20REVISI%209%20OK.20.pdf
  15. Febriani, F., & Rosha, M. (2020). Optimal portfolio formation with Markowitz model and two-fund theorem on LQ-45 stocks on the Indonesia Stock Exchange. Journal of Mathematics UNP, 3(3), 50–54. http://dx.doi.org/10.24036/unpjomath.v5i3.10594
  16. Gitman, L. J., & Joehnk, M. D. (2016). Dasar-dasar investasi (13th ed.). Pearson Education. https://repository.latansamashiro.ac.id/283/1/23-02-20-EBOOK-Manajemen%20Investasi%20dan%20Portofolio.pdf
  17. Guo, Q. (2022). Review of research on Markowitz model in portfolios. Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED) (pp. 786–790). Atlantis Press. https://doi.org/10.2991/aebmr.k.220405.131
  18. Hanif, A., Hanun, N. R., & Febriansah, R. E. (2021). Optimization of stock portfolio using the Markowitz model in the era of the Covid-19 pandemic. TIJAB (The International Journal of Applied Business), 5(1), 37–50. https://doi.org/10.20473/tijab.V5.I1.2021.37-50
  19. Hariasi, N. P. N., & Wirama, I. D. G. (2016). Analisis perbedaan pengembalian portofolio berdasarkan model indeks tunggal dan portofolio acak. E-Jurnal Ekonomi dan Bisnis Universitas Udayana, 5(9), 2951–2976. https://ojs.unud.ac.id/index.php/eeb/article/view/22257/16159
  20. Hue B, Jinks A, Spain J, Bora M, & Siew S. (2019). Investment risk for long-term investors: risk measurement approaches: Considerations for pension funds and insurers. British Actuarial Journal. 24:e16. https://doi.org/10.1017/S1357321719000102
  21. Indrayanti, N. W. Y., & Darmayanti, N. P. A. (2013). Determination of optimal portfolio with Markowitz model on banking stocks on the Indonesia Stock Exchange. E-Journal of Management of Udayana University, 2(8), 869–884. https://www.neliti.com/id/publications/253936/penentuan-portofolio-optimal-dengan-model-markowitz-pada-saham-perbankan-di-burs
  22. Indriyani, S., Cahyani, N. D, & Amaroh, S. (2023). The Jakarta Islamic Index (JII) stock price in terms of oil, gold and exchange rates. Islamic Economics Journal, 9(1), 83–100. https://doi.org/10.21111/iej.v9i1.10118
  23. Inrawan, A., et al. (2022). Portofolio dan investasi. Widina Bakti Persada.
  24. Irfani, M. I., & Sudrajad, O. Y. (2023). Portfolio optimization using Markowitz model on Sri-Kehati Index. International Journal of Current Science Research and Review, 6(8), 5778–5792. https://doi.org/10.47191/ijcsrr/V6-i8-45
  25. Koni, W., Dukalang, H., & Ningsih, S. (2021). Estimation of Sharia stock risk value using Monte Carlo simulation in Jakarta Islamic Index (JII) for the 2017–2020 period. European Journal of Research Development and Sustainability, 2(12), 15–25. https://scholarzest.com/index.php/ejrds/article/view/1583
  26. KSEI News. (2020). Komitmen KSEI dalam pengembangan infrastruktur digital pasar modal. PT. Indonesian Central Securities Depository. https://www.ksei.co.id/files/uploads/fokuss_bulletins/fokuss_file/id-id/64_edisi_4_20210325190339.pdf
  27. Latifah, E., Masyhuri, M., Pahlevi, R.W., Mulyani, S., Hasanah, N., Fidiana, F., Zunaidi, A., Nurjanah, N., Yulianti, M.L., Yunus, A.R., Fauzi, A., Dewi, A.K.R.S., Parmitasari, R.D.A., Koni, A. & Setiadi, R. (2022). Manajemen Keuangan Syariah: Sebuah Konsep dan Teori. Eureka Media Aksara. https://repository.penerbiteureka.com/media/publications/559407-manajemen-keuangan-syariah-a612e1d0.pdf
  28. Lee, H.-S., Cheng, F.-F., Chong, S.-C., & Rahman, A. (2016). Special Issue for. International Journal of Economics and Financial Issues, 6(S3), 5–6. http://www.econjournals.com
  29. Leung, P. L., Ng, H. Y., & Wong, W. K. (2012). An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment. European Journal of Operational Research, 222(1), 85-95. https://doi.org/10.1016/j.ejor.2012.04.003
  30. Linge, A., & Ahmad, U. S. (2021). Empirical study of entrepreneurship in Tijarah concept. Talaa: Journal of Islamic Finance, 1(1), 26–33. https://doi.org/10.54045/talaa.v1i1.251
  31. London, A., Gera, I., & Banhely, B. (2018). Markowitz portfolio selection using a variety of expected return estimators and screening techniques for correlation matrices. Acta Polytechica Hungarica, 15(1), 2017–229. https://acta.uni-obuda.hu/London_Gera_Banhelyi_80.pdf
  32. Mafula, Z., Hndayani, S. R., & Zahroh, Z. A. (2018). Portofolio optimal dengan penerapan model Markowitz sebagai dasar keputusan investasi (Studi pada perusahaan yang tergabung dalam indeks LQ-45 tahun 2014). Journal of Business Administration, 63(1), 21–33. https://download.garuda.kemdikbud.go.id/article.php?article=801366&val=6468&title=PORTOFOLIO%20OPTIMAL%20DENGAN%20PENERAPAN%20MODEL%20MARKOWITZ%20SEBAGAI%20DASAR%20KEPUTUSAN%20INVESTASI%20Studi%20Pada%20Perusahaan%20Yang%20Tergabung%20Dalam%20Indeks%20LQ-45%20Tahun%202014
  33. Mangram, M. E. (2013). A simplified perspective of the Markowitz portfolio theory. Global Journal of Business Research, 7(1), 59–70. https://ssrn.com/abstract=2147880
  34. Markowitz, H. M. (1959). Portfolio selection: Efficient diversification of Investment. John Wiley & Sons, Inc.
  35. Markowitz, H. M. (1976). Markowitz revisited. Financial Analysts Journal, 32(5), 47–52. https://doi.org/10.2469/faj.v32.n5.47
  36. Mary, J. F., & Rathika, G. (2015). The single index model and the construction of optimal portfolio with CNXPHARMA scrip. International Journal of Management, 6(1), 87–96. https://iaeme.com/MasterAdmin/Journal_uploads/IJM/VOLUME_6_ISSUE_1/10120140601010.pdf
  37. Nasution, M. I. P., Maidalena, M., & Syahriza, R. (2015). Bisnis dan Investasi Syariah. FEBI UIN-SU PRESS.
  38. Natalia, E. (2014). Determination of the optimal stock portfolio with the Markowitz model as the basis for determining stock investment (Study on food and beverage companies listed on the Indonesia Stock Exchange in 2012). Jurnal Administrasi Bisnis S1 Universitas Brawijaya, 9(1), 1–4. https://repository.ub.ac.id/id/eprint/116857/
  39. Otoritas Jasa Keuangan. (2021). Modul Kompetensi Pengelolaan Investasi Syariah. Otoritas Jasa Keuangan. https://ojk.go.id/id/kanal/syariah/tentang-syariah/Documents/pages/pasar-modal-syariah/Modul%20Kompetensi%20Pengelolaan%20Investas%20Syariah%20-%20FINAL%20V2.pdf
  40. Pangiuk, A. (2022). Determinant of financial ratios on stock price in multi-industrial sector manufacturing companies listed in The Sharia Indonesia Stock Index 2016-2020. ILTIZAM Journal of Shariah Economics Research, 6(1), 59–75. https://doi.org/10.30631/iltizam.v6i1.1182
  41. Partha, C. G. G., & Sedana, I. B. P. (2019). Performance of primary, secondary, and tertiary sector stock portfolios on the IDX (Comparative study). International Journal of Economics, Trade, and Management, 7(2), 21–41. https://ijecm.co.uk/wp-content/uploads/2019/02/722.pdf
  42. Putra, I. K. A. A. S., & Dana, I. M. (2020). Study of optimal portfolio performance comparison: Single Index Model and Markowitz Model on LQ45 stocks in Indonesia Stock Exchange. American Journal of Humanities and Social Sciences Research, 4(12), 237–244. https://www.ajhssr.com/wp-content/uploads/2020/12/ZE20412237244.pdf
  43. Rachmany, H., & Tajudin, T. (2022). The effect of deferred tax expense on earnings management (Empirical study on PT. Matahari Department Store, Tbk listed on the Indonesia Stock Exchange in 2015 to 2019). Journal of Tax and Business, 3(1), 1–11. https://doi.org/10.55336/jpb.v3i1.40
  44. Rachmatullah, I., Nawir, J., & Siswantini, T. (2021). Analisis portofolio optimal Markowitz dan Single Index Model pada Jakarta Islamic Index. Jurnal Ekonomi dan Bisnis, 8(1), 50–69. https://doi.org/10.35590/jeb.v8i1.2682
  45. Riski, T. R., & Sulistianingsih, H. (2024). Portofolio saham optimal dengan model Markowitz pada saham Perbankan yang terdaftar di LQ 45 tahun 2023. Jurnal Ekonomika dan Bisnis (JEBS), 4(4), 606–618. https://doi.org/10.47233/jebs.v4i4.1926
  46. Rizqullah, T. Z., Hidayat, W. W., Supardi, S., & Ridwan, R. (2024). Analisis pembentukan ortofolio optimal di Bursa Efek Indonesia dengan menggunakan Model Markowitz. MASMAN: Master Manajemen, 2(3), 94–108. https://doi.org/10.59603/masman.v2i3.473
  47. Rogers, J. (2009). Investment Risk. In Strategy, Value and Risk (Palgrave Macmillan Finance and Capital Markets Series). Palgrave Macmillan, London. https://doi.org/10.1057/9780230353930_4
  48. Rosyadi, R., Budiman, B., Miftahurrahmah, M., Meiriyanti, R., Nugroho, B. S., Amir, M.F., Hidayat, D., Citarayani, I., Lubis, J., & Fatmah, F.(2024). Manajemen investasi Syariah. Penerbit Penamuda Media.
  49. Sahputra, N. (2020). Manajemen keuangan Syariah. Udhar Press. http://repository.dharmawangsa.ac.id/658/1/BUKU%20MANAJEMEN%20KEUANGAN%20SYARIAH.pdf
  50. Setyawan, N. W., & Suwitho, S. (2017). Metode Markowitz untuk menentukan portofolio optimal pada perusahaan retail di BEI. Jurnal ilmu dan riset manajemen, 6(2), 1–22. https://jurnalmahasiswa.stiesia.ac.id/index.php/jirm/article/view/707/717
  51. Sudarsono, B., & Sudiyatno, B. (2016). Faktor-faktor yang mempengaruhi return saham pada perusahaan property dan real estate yang terdaftar pada Bursa Efek Indonesia tahun 2009 S/D 2014. Jurnal Bisnis dan Ekonomi, 23(1), 30–51. https://media.neliti.com/media/publications/77507-ID-none.pdf
  52. Sukardi, H., Sari, M., Nugraha, N., & Purnamasari, I. (2023). Markowitz portfolio optimization applied on companies listed on the Indonesia Stock Exchange LQ-45. Ekono Insentif, 17(1), 34-48. https://doi.org/https://doi.org/10.36787/jei.v17i1.1109
  53. Susanti, E., Agriyanto, R., Musahadi, M., & Zuhri, S. (2021). Responsiveness of volatility analysis of the Jakarta Islamic Index on macroeconomic variables. Muqtasid, 12(1), 32–48. https://doi.org/10.18326/muqtasid.v12i1.32-48
  54. Susilo, E., & Najah, A. (2018). Stock performance of Jakarta Islamic Index based on Sharpe, Treynor and Jensen method. Jurnal Ekonomi & Keuangan Islam, 4(2), 67–74. https://doi.org/10.20885/jeki.vol4.iss2.art2
  55. Wahyuliantini, N. M., & Suarjaya, A. A. G. (2015). Pengaruh harga saham, volume perdagangan saham, dan volatilitas return saham pada bid-ask spread. Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan, 9(2), 146–155. https://download.garuda.kemdikbud.go.id/article.php?article=1353705&val=954&title=PENGARUH%20HARGA%20SAHAM%20VOLUME%20PERDAGANGAN%20SAHAM%20DAN%20VOLATILITAS%20RETURN%20SAHAM%20PADA%20BID-ASK%20SPREAD
  56. Maryam, N. M., & Dewi, A. R. S. (2022). Single index model in optimal portfolio formation on stock index LQ 45. Journal of Economic Resources, 5(2), 236–248. https://doi.org/10.57178/jer.v5i2.350
  57. Yunita, I. (2018). Markowitz model dalam pembentukan portofolio optimal (Studi kasus pada Jakarta Islamic Index). Jurnal Manajemen Indonesia, 18(1), 77–85. https://doi.org/10.25124/jmi.v18i1.1262
  58. Zulfikar. (2016). Pengantar pasar modal dengan pendekatan statistik. Deepublish. https://repository.deepublish.com/media/publications/588659-pengantar-pasar-modal-dengan-pendekatan-5a052187.pdf