The purpose of this study is to determine thatÂ wether investor rationality exist in undergoing the stock choice inÂ Jakarta Islamic Index at Indonesia Stock Exchange. Population to be chosen in the study is 44 firms listed on JII. However, the sample included are only 19 firms that present 30 times consecutively of simultan monitoring on JII. From 19 firmsÂ after analyzed with single index modelÂ found 11 has firms hasÂ ERB > Ci*, that mean if investor investsÂ in 11 stocks willÂ get return higher with lower risk in comparison with investment in risk freeÂ asset. Data to be used in the study is the secondary one, which is collected from Indonesia Stock Exchange Monthly Statistic and risk free rate report from Central Bank of Indonesia.Result to be obtained from the study demonstrates on empirical evidence of investor rationally in choosing the stock on JII. The value isÂ showed averagely stocks tradeÂ volume that hasÂ ERB > Ci* higher is compared averagely stocks tradeÂ volume that hasÂ ERB< Ci*.
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