ABSTRACT
This study aims to examine the relevance of the single index cut-off model for investors on the Indonesia Stock Exchange (IDX). The population consists of all the public firms listed on IDX during 2011–2013 and the sample comprises LQ 45 companies. The method of sample selection was conducted through purposive sampling and there are two criteria: 1) the company is included in the top 10 highest liquidity of the LQ45 category, and 2) the company has never been one of the top 10 category. Using the single index cut-off model from Elton and Gruber (1997), drastic changes in the selected stock of investors from 2011 to 2013 were found. These indicate investor demographic changes that are caused by differences in the emerging trendsetters in the capital market, in line with the theory of fad and fashion in capital markets (Shiller, Fischer, & Friedman, 1984). This study also finds that ASII, UNVR, and ISAT are always included in the optimal portfolio, which shows the effectiveness of the single index cut-off model in previous studies.
