Stock Selection Using Skewness to Construct a Portfolio and the Effects of Variables on Portfolio Return - Open Journal of Business and Management

OJBM > Vol.11 No.3, May 2023

Open Journal of Business and Management

Volume 11, Issue 3 (May 2023)

ISSN Print: 2329-3284 ISSN Online: 2329-3292

Google-based Impact Factor: 2.35 Citations

Stock Selection Using Skewness to Construct a Portfolio and the Effects of Variables on Portfolio Return ()

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Download as PDF (Size: 1178KB) PP. 1000-1012

DOI: 10.4236/ojbm.2023.113055 228 Downloads 1,207 Views Citations

Author(s)

Adler Haymans Manurung, Nera Marinda Machdar^*, John Edward Harly Jacob Foeh, Jhonni Sinaga

Affiliation(s)

Faculty of Economic and Business, Universitas Bhayangkara Jakarta Raya, Jakarta, Indonesia.

ABSTRACT

This study aims to investigate the effects of stock selection while constructing a portfolio using Skewness as well as the factors affecting portfolio return. This study was carried out in three stages: stock selection based on skewness, asset allocation based on Quadratic Programming, and portfolio return calculation based on market return and external factors. To assess and select portfolios, this study employs a novel methodology that combines key financial and non-financial characteristics with a skewness model. The research’s findings are as follows. First, skewness could be used to select the stocks that are added to a portfolio. Second, the market capitalization weighted portfolio generated the best return compared to the other two portfolios. Third, market return and the pandemic era have a significant impact on portfolio returns that are equally weighted, market capitalization weighted, and Markowitz weighted. Fourth, investors do not require fund management expertise to manage investor funds.

KEYWORDS

Portfolio Construction and Return, Skewness and Quadratic Programming, Market Capitalization

Share and Cite:

Manurung, A. , Machdar, N. , Foeh, J. and Sinaga, J. (2023) Stock Selection Using Skewness to Construct a Portfolio and the Effects of Variables on Portfolio Return. Open Journal of Business and Management, 11, 1000-1012. doi: 10.4236/ojbm.2023.113055.

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