Evaluasi Risiko Dan Return Portofolio Saham Sektor Perbankan Di Bursa Efek Indonesia
DOI:
https://doi.org/10.31851/jmanivestasi.v8i1.21963Abstract
ABSTRAK
Portofolio saham pada sektor perbankan merupakan salah satu pilihan investasi berisiko menengah hingga tinggi di Bursa Efek Indonesia (BEI). Risiko dan return menjadi variabel utama dalam evaluasi portofolio saham karena memiliki implikasi terhadap keputusan investasi. Studi ini merupakan tinjauan literatur terhadap penelitian terkait risiko dan return portofolio saham perbankan di BEI dari tahun 2014 hingga 2025. Kajian mencakup teori portofolio klasik (mean-variance Markowitz), aplikasi model Capital Asset Pricing Model (CAPM), diversifikasi portofolio, efek volatilitas pasar, dan implikasi praktik investasi. Hasil tinjauan menunjukkan bahwa strategi diversifikasi dan pemahaman risiko sistematis/non-sistematis dapat meningkatkan kinerja portofolio, namun pengaruh kondisi makroekonomi dan faktor pasar tetap signifikan. Literatur juga menyoroti perkembangan model evaluasi risiko kontemporer seperti VaR dan downside risk dalam konteks saham perbankan Indonesia.
Kata Kunci: risiko portofolio, return saham, portofolio optima
ABSTRACT
Stock portfolios in the banking sector are among the medium- to high-risk investment options on the Indonesia Stock Exchange (IDX). Risk and return are key variables in stock portfolio evaluation because they have implications for investment decisions. This study is a literature review of research related to the risk and return of banking stock portfolios on the IDX from 2014 to 2025. The study covers classical portfolio theory (mean-variance Markowitz), applications of the Capital Asset Pricing Model (CAPM), portfolio diversification, the effects of market volatility, and implications for investment practices. The review results indicate that diversification strategies and an understanding of systematic/unsystematic risk can improve portfolio performance, but the influence of macroeconomic conditions and market factors remains significant. The literature also highlights the development of contemporary risk evaluation models such as VaR and downside risk in the context of Indonesian banking stocks.
Keywords: portfolio risk, stock return, optimal portfolio
References
Ahmad, R., & Wibowo, A. (2020). Portfolio optimization of banking stocks using Markowitz model. Jurnal Manajemen dan Keuangan, 12(2), 145–158.
Aparicio, F., & Estrada, J. (2012). Downside risk in practice. Journal of Asset Management, 13(1), 5–15.
Bodie, Z., Kane, A., & Marcus, A. J. (2018). Investments (11th ed.). McGraw-Hill Education.
Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern portfolio theory and investment analysis (9th ed.). Wiley.
Estrada, J. (2017). Mean-semivariance optimization: A heuristic approach. Journal of Applied Finance, 27(1), 1–15.
Jorion, P. (2007). Value at Risk: The new benchmark for managing financial risk. McGraw-Hill.
Lembong, D., & Siregar, H. (2021). CAPM analysis on banking stocks in Indonesia Stock Exchange. Jurnal Keuangan dan Perbankan, 25(3), 401–414.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91.
Pratama, R. A. (2019). Analisis risiko dan return saham perbankan di Bursa Efek Indonesia. Jurnal Ekonomi dan Bisnis, 22(1), 55–68.
Putri, D. A., & Rahman, A. (2018). Pembentukan portofolio optimal saham sektor perbankan. Jurnal Manajemen, 10(2), 120–134.
Rahmawati, L., Nugroho, A., & Sari, M. (2020). Diversification strategy in Indonesian banking stocks. Jurnal Keuangan, 14(2), 89–102.
Sari, M., & Setiawan, B. (2022). Macroeconomic factors and banking stock returns in Indonesia. Asian Journal of Finance, 6(1), 33–47.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium. The Journal of Finance, 19(3), 425–442.
Tandelilin, Eduardus. (2017). Pasar Modal “Manajemen Portofolio dan Investasi”. (G. Sudibyo (ed.)). Yogyakarta: PT. Kanisius. Ekananda
Downloads
Published
Issue
Section
License
Copyright (c) 2026 Jurnal Manajemen dan Investasi (MANIVESTASI)
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
The copyright of the received article shall be assigned to the publisher of the journal licensed under a Creative Commons Attribution-NonCommercial 4.0 International License in line with the license, authors and any users (readers and other researchers) are allowed to share and adapt the material only for non-commercial purposes. In addition, the material must be given appropriate credit, provided with a link to the license, and indicated if changes were made. If authors remix, transform or build upon the material, authors must distribute their contributions under the same license as the original.
