Analisis Perbandingan Risiko dan Pengembalian antara Portofolio Mid-Cap dan Large-Cap di Bursa Efek Malaysia:Pendekatan Model Indeks Tunggal

Avhita Nurmailia

Abstract


This study applies the formation of Single Index Model and compare the risk and return of optimal portfolio of mid-cap (FTFBM70) and large-cap (FBMKLCI) stock portfolios in Malaysia from January 2020 to June 2024.The comparative research results show no significant difference in average returns, indicating similar performance potential. However, a significant difference in risk levels is observed, with large-cap stocks exhibiting higher volatility than mid-cap stocks. These findings challenge the common perception of large-cap stocks as more stable, especially during periods of market stress such as the COVID-19 crisis. Mid-cap stocks demonstrate a strategic balance of growth and risk, offering potential advantages in uncertain conditions.


Keywords


Optimal portfolio; Single Index Model; Risk; Return; FBMKLCI; FTFBM70

Full Text:

PDF

References


Acharya, V. V., & Pedersen, L. H. (2019). Economics With Market Liquidity Risk. Critical Finance Review, 8(1–2), 111–125. https://doi.org/10.1561/104.00000083

Al-Nassar, N. S. (2023). The Dynamic Return and Volatility Spillovers among Size-Based Stock Portfolios in the Saudi Market and Their Portfolio Management Implications during Different Crises. International Journal of Financial Studies, 11(3). https://doi.org/10.3390/ijfs11030113

Amir, U. A., Masdi, N. I., Md Saad, N., Mohamed Yusof, N., & Azmi, S. S. (2022). The Volatility of Ftse Bursa Malaysia KLCI During the Covid-19 Pandemic. International Journal of Academic Research in Business and Social Sciences, 12(4). https://doi.org/10.6007/ijarbss/v12-i4/12922

Chan, F. M. (2015). Mid Cap : A Sweet Spot for Performance (Issue March 2000).

Chen, H., Wu, C., Guo, H., & Zheng, Q. (2022). To What Extent Would An Investment Portfolio Be Affected By Different Variables In Terms Of Markowitz And Index Model? BCP Business & Management, 26, 873–886. https://doi.org/10.54691/bcpbm.v26i.2050

Contreras, O., Bendix, J., & Smith, B. (2022). Global Opportunity Index 2022: Focus on Emerging Southeast Asia.

Feng, Q. (2022). Optimal Portfolio Construction Based on Markowitz Model. BCP Business & Management, 35, 273–280. https://doi.org/10.54691/bcpbm.v35i.3303

Fransiska, D. ., Rahmawati, N., Saputra, F. ., Yovita, M., & Pandin, R. (2023). Strategy To Increase Investment Returns And Reduce Risk. Finance : International Journal of Management Finance., 1(2), 33–39. https://doi.org/https://doi.org/10.62017/finance.v1i2.14

Gautami, S., Naik, .Sankar, & Reddy, V. (2022). A Study on Construction of Optimal Portfolio for Selected Stocks using Sharpe ’ s Single Index Model. NeuroQuantology, 20(20), 46–58. https://doi.org/10.48047/NQ.2022.20.20.NQ109007

Gore, S., Tagade, T., & Arora, A. (2023). Mutual Fund Schemes in India and its Types (Large Cap, Mid Cap, Small Cap). Journal of Corporate Finance Management and Banking System, 35, 1–5. https://doi.org/10.55529/jcfmbs.35.1.5

Jena, S. K., Tiwari, A. K., Dash, A., & Aikins Abakah, E. J. (2021). Volatility Spillover Dynamics between Large-, Mid-, and Small-Cap Stocks in the Time-Frequency Domain: Implications for Portfolio Management. Journal of Risk and Financial Management, 14(11). https://doi.org/10.3390/jrfm14110531

Kaprielyan, M., & Jansen, B. A. (2024). Examining the Underexamined: Mid-Cap Stock Returns. Journal of Investing, 33(2), 32–47. https://doi.org/https://doi.org/10.3905/joi.2023.1.295

Leković, M., Stanišić, T., & Pantić, N. (2022). Trade Off Between Simplicity and Precision of Index Models. Ekonomika, 68(1), 43–55. https://doi.org/10.5937/ekonomika2201043l

Lim, D. T., Goh, K. W., & Lee, L. H. (2023). A New Class of Shariah-Compliant Portfolio Optimization Model: Diversification Analysis. AIMS Mathematics, 8(9), 20933–20965. https://doi.org/10.3934/math.20231066

Lin, X., Xu, X., & Xu, Y. (2023). Investment Portfolio Establishment Based on Markowitz Model and Highest Sharp Ratio. Proceedings of the 4th International Conference on Economic Management and Model Engineering, 1–11. https://doi.org/10.4108/eai.18-11-2022.2326902

Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91. https://doi.org/https://doi.org/10.1111/j.1540-6261.1952.tb01525.x

Omar, A. Bin, Ali, A., Mouneer, S., Kouser, R., & Al-Faryan, M. A. S. (2022). Is Stock Market Development Sensitive To Macroeconomic Indicators? A Fresh Evidence Using ARDL Bounds Testing Approach. PLoS ONE, 17(10 October), 1–19. https://doi.org/10.1371/journal.pone.0275708

Özyeşil, M. (2021). Comparison of Technical and Fundamental Analysis Trading Disciplines on Portfoilo Performance: Short and Long Term Backtest Analysis on Borsa İstanbul National Stock Indices. Journal of Contemporary Research in Business, Economics and Finance, 3(3), 128–143. https://doi.org/10.33094/26410265.2021.33.128.143

Qiucen Lin. (2022). Constrained Portfolio Optimization: A Comparison of Markowitz Model and Single Index Model. International Conference on Business and Policy Studies, 644–654. https://link.springer.com/10.1007/978-981-19-5727-7

Ravichandran, A. (2018). A Comparative Performance Evaluation Between Large-Cap and Mid-Cap Mutual Fund Returns. Developing Country Studies, 8(8), 111–116.

Salim, D. F., Muhammad, N. S., & Kristanti, F. T. (2024). Optimization Active and Passive Portfolio using Single Index Model and Capital Asset Pricing Model in Indonesia. International Journal of Religion, 5(8), 340–350. https://doi.org/10.61707/3xkqpd78

Selemela, S. M., Ferreira, S., & Mokatsanyane, D. (2021). Analysing Volatility during Extreme Market Events Using the Mid Cap Share Index. Economica, 17(3), 229–249.

Sharpe, W. F. (1963). A Simplified Model for Portfolio Analysis. Management Science, 9(2), 277–293. https://doi.org/10.1287/mnsc.9.2.277

Sifat, I. M., Mohamad, A., & Amin, K. R. (2021). Intertemporal price discovery between stock index futures and spot markets: New evidence from high-frequency data. International Journal of Finance and Economics, 26(1), 898–913. https://doi.org/10.1002/ijfe.1827

Wang, Y., Rodríguez de Gil, P., Chen, Y. H., Kromrey, J. D., Kim, E. S., Pham, T., Nguyen, D., & Romano, J. L. (2017). Comparing the Performance of Approaches for Testing the Homogeneity of Variance Assumption in One-Factor ANOVA Models. Educational and Psychological Measurement, 77(2), 305–329. https://doi.org/10.1177/0013164416645162

Yusup, A. K. (2022). Mean-Variance and Single-Index Model Portfolio Optimisation: Case in the Indonesian Stock Market. Asian Journal of Business and Accounting, 15(2), 79–109. https://doi.org/10.22452/ajba.vol15no2.3

Zhu, H., & Huang, J. (2022). Recurrence Plot Analysis Of Stock Market Based On CAPM Model And Stock Price Time Series. Fluctuation and Noise Letters, 22(01), 2350006. https://doi.org/https://doi.org/10.1142/S0219477523500062




DOI: https://doi.org/10.15408/jmeb.v1i1.48149

Refbacks

  • There are currently no refbacks.