Correlation of Sectoral Stock Indexes on the Indonesian Stock Exchange for Portfolio Diversification Strategies

Rahmat Budi Santoso, M. Rifki Bakhtiar, Bunga Rosa Afilia, Abdul Basid

Correlation of Sectoral Stock Indexes on the Indonesian Stock Exchange for Portfolio Diversification Strategies

This research aims to examine opportunities for stock portfolio diversification on the IDX Industrial Classification index on the Indonesian Stock Exchange. This research data uses daily returns from 11 sectoral stock price index. The research period used is from January 25, 2021, to March 28, 2024. The analysis method uses correlation analysis to determine the level of index return correlation between sectors. The research results show that all stock sectors have varying levels of correlation, but the level of correlation is low to moderate. The technology stock sector has the lowest correlation with other stock sectors. Investors have a huge opportunity to diversify their shares into several stock sectors to reduce the risk of investing.

2024/06/15

Portfolio Diversification, Sectoral Stock Price Index, IDX Industrial Classification, Indonesia stock exchange

780

784

3047-857X

Proceedings of the International Symposium on Management (INSYMA)

Fakultas Bisnis dan Ekonomika, Universitas Surabaya

21