Pemilihan Saham yang Optimal Menggunakan Capital Asset Pricing Model (CAPM)

Dioda Ardi Wibisono; Krisnawuri Handayani

doi:10.26905/jmdk.v5i1.1315

Pemilihan Saham yang Optimal Menggunakan Capital Asset Pricing Model (CAPM)

Dioda Ardi Wibisono, Krisnawuri Handayani

Abstract

Optimal portfolio is the basis for investors to invest in stock. Capital Asset Pricing Model (CAPM) is a method to determine the value of the risk and return of a company stock. This research used are secondary data from the closing price of the monthly stock price (monthly closing price), Stock Price Index (SPI), and the monthly SBI rate. Samples taken as many as 41 stocks in LQ45 February-July 2015 on the Indonesian Stock Exchange (ISE). The study period during 5 year from October 2010 - October 2015. The result of analysis shows that the optimal portfolio consists of 18 companie. The average return of the optimal portfolio is higher than the average risk-free return (SBI rate) and the average market return. This proves that investing in stocks is more profitable than a risk-free investment.

https://doi.org/10.26905/jmdk.v5i1.1315

Keywords

Stock, CAPM, return, risk

Full Text:

PDF

References

Ahmad, K. (2004). Dasar-dasar manajemen Investasi dan Portofolio. Asdi Mahasatya. Jakarta.

Darmadji, Tjiptono, dan Fakhruddin, Hendy M. (2006). Pasar Modal di Indonesia: Pendekatan Tanya Jawab. Salemba Empat. Jakarta.

Fabozzi, F dkk. (2010). Pasar dan Lembaga Keuangan. Jakarta: Salemba Empat.

Halim. (2003). Analisis Investasi. Erlangga. Jakarta.

Hartono, J. (2013). Teori Portofolio dan Analisis Investasi. BPFE. Yogyakarta.

Hasan, Md. Zobaer., dkk. (2012). international conference on accounting and finance. Vol.2 hal 1-8.

http://ekbis.sindonews.com/read/809409/32/perlambatan-ekonomi-buat-ihsg-tergerus-1385273235

http://nasional.sindonews.com/read/969180 Relationship berween Risk and Expected Returns: Evidence from the Dhaka Stock Exchange. 2nd annual /18/menebak-arah-bi-rate-1424920368

http://www.bi.go.id/en/moneter/bi-rate/data/ Default.aspx

http://www.britama.com/index.php/2015/01/daftar-saham-indeks-lq-45-periode februari-juli-2015/

Husnan, S. 1998. Dasar-dasar Teori Portofolio dan Analisis Sekuritas. Edisi Ketiga. BPFE. Yogyakarta

Masrukan, E. 2013. Optimalisasi Nilai Risiko Portofolio Saham Berdasarkan Mean-Var. Skripsi Matematika, Jurusan Matematika, Universitas Brawijaya.

Rodoni, A dkk. (2002). Analisis Investasi dan Teori Portofolio. Raja Grafindo Persada. Jakarta.

Sugiyono. (2008). Metode Penelitian Bisnis. Pusat Bahasa Depdiknas. Bandung.

Sumarsono, Sonny.(2004). Metode Riset Sumber Daya Manusia. Graha Ilmu. Yogyakarta.

Sunariyah. (2004). Pengantar Pengetahuan Pasar Modal. UPP STIM YPKN. Yogyakarta.

Tam, M.C.Y. (1996). An Application of The AHP In Vendor Selection of A Talecomunication System. University of Hong Kong. Hong Kong.

Wijayanti, P. 2013. Pemilihan Saham dan Pembentukan Portofolio Optimal dengan Menggunakan Data Envelopment Analysis (DEA) dan Model Indeks Tunggal pada Bursa Efek Indonesia. Skripsi Matematika, Jurusan Matematika, Universitas Brawijaya.

Yayan, M. 2015. Optimalisasi Portofolio Saham Menggunakan DEA dan Mean-Var. Skripsi Matematika, Jurusan Matematika, Universitas Brawijaya

DOI: https://doi.org/10.26905/jmdk.v5i1.1315