Diversifikasi Saham Dan Penurunan Risiko Investasi Di Bursa Efek Indonesia: Pra Dan Pasca-Krisis Keuangan 2008

Individual investors bear the investment risk by holding single or many stocks. It is usually measured in terms of the variability in its return. Diversification theory presents portfolio risk reduction while investors increase the number of stocks in a portfolio. If the number of stocks included in a portfolio were to approach the number of stocks in the market, investors could expect the portfolio risk to approach the level of market risk (Evans and Archer, 1968). On late 2008, the financial crisis in the United States has spillover effects to the global economy. The downfall of macroeconomic conditions allows the shift in the level of systematic risk (Campbell, Lettau, Malkiel, dan Xu, 2001). Therefore, the dramatic fall caused by the financial crisis in 2008 provides a unique opportunity to examine the market and firm-specific risks. Numerous findings report that the level of systematic risk and unsystematic risk depend either on the sampling periods or the markets involved. This paper examines the relationship between the number of shares held by investor and portfolio risk reduction in two different periods, namely the pre and post financial crisis in 2008. In addition to complement previous findings, the result of this study is expected to provide a description of the risk level in a portfolio on a certain number of shares in the Indonesia Stock Exchange. In the pre financial crisis, the risk of the portfolio was reduced from 42.89% to 18.97% when the number of shares added from 1 up to 40 shares. Whereas the risk of the portfolio was reduced from 42.82% to 19.59% when the number of shares added from 1 up to 40 shares in the post financial crisis. The more number of shares added in a portfolio, the portfolio risk reduced to lower level. Despite the increase in systematic risk after the financial crisis, portfolio risk is smaller than it was before the financial crisis as unsystematic risk is also lower. Thus, investors in Indonesia do not need to increase the number of shares in their portfolio even though the standard deviation of the market is higher after the financial crisis. The addition of more than 31 stocks in a portfolio no longer provides significant risk reduction effect in the pre financial crisis. Meanwhile, the addition of more than 29 stocks in the portfolio no longer provides significant risk reduction effect in the post financial crisis. This study shows that investors could benefit from the findings of the reduction in the proportion of unsystematic risk by adding more securities into their portfolio. Both in the pre and post financial crisis, the standard deviation of the portfolio fell to approach the level of systematic risk as the number of shares in the portfolio increased.