CAPITAL ASSET PRICING MODEL (CAPM) DAN ACCUMULATED / DISTRIBUTION LINE UNTUK PENENTUAN KELOMPOK SAHAM-SAHAM EFISIEN
DOI:
https://doi.org/10.31092/jpkn.v2i2.1182Keywords:
CAPM, Accumulation and Distribution Line, actual return saham, expected return sahamAbstract
This study aims to see which groups of stocks are included in the efficient stock group using the Capital Asset Pricing Model (CAPM) and the Accumulation and Distribution Line method. The population in this study was 697 shares of companies listed on the Indonesian stock exchange during the period 2016 to 2019. The sampling method used was purposive sampling so that 109 observational data that met the criteria were obtained. To assess the efficiency of shares is done by comparing the stock actual return (Ri) with the expected return of stock E (Ri). Efficient stocks have a value of Ri greater than E (Ri) or [Ri> E (Ri)], while inefficient stocks are stocks that have a value of Ri less than E (Ri) or [Ri <E (Ri)]. This study found that there are 54 company stocks that are included in the efficient stock category and 55 stocks which are included in the inefficient category.
Penelitian ini bertujuan untuk melihat kelompok saham yang termasuk kelompok saham efisien dengan menggunakan metode Capital Asset Pricing Model (CAPM) serta Accumulation and Distribution Line. Populasi dalam penelitian ini adalah 697 saham perusahaan yang terdaftar di bursa efek Indonesia selama periode 2016 sampai 2019. Metode sampling yang digunakan adalah purposive sampling technique sehingga didapatkan 109 data observasi yang memenuhi kriteria. Untuk menilai efisiensi saham dilakukan dengan membandingkan actual return saham (Ri) dengan expected return saham E(Ri). Saham efisien memiliki nilai Ri lebih besar daripada E(Ri) atau [Ri > E(Ri)], sedangkan saham tidak efiesien adalah saham yang memiliki nilai Ri lebih kecil daripada E(Ri) atau [Ri< E(Ri)]. Penelitian ini menemukan bahwa terdapat 54 saham perusahaan yang termasuk dalam kategori saham efisien dan 55 saham termasuk kategori tidak efisien.
References
Afolabi, T., Njogo, B., Areghan, I., Olugbenle, A., & Olusesi, H. (2017). Capital Assets Pricing Model: Evidence from the Nigerian Stock Exchange. International Journal of English LEterature and Sosial Sciences (JIELS), Vol. 2, Issue 6.
Andriyani, L., Farida, F., & Machfiroh, D. (2016). Analisis Komparatif Pembentukan Portofolio Optimal menggunakan Capital Assets Pricing Model dan Stochastic Dominance. Jurnal Analisis Bisnis Ekonomi Vol. 14, No.1, 19-33.
Asuty, P. (2017). The Influence of Fundamental Factors and Systematic Risk to Stock Prices on Companies Listed in the Indonesian Stock Exchange. European Research Studies Journal, Volume XX, Issue 4A, 230-240.
Bodie, Z., Kane, A., & Marcus, A. J. (2018). Investments, 11th edition. Mc Graw Hill.
Chen, J. M. (2017). Econophysics and Capital Asset Pricing - Splitting the Atom of Systematic Risk. Switzerland: Springer.
Christiana, A. M., Septiana, E., & Mamduch. (2016). The Empriical Relationship between Stock Return adn Trading Volume based on Stoc Market Cycles. Indonesia Capital Market Review, Volume 8, 46 - 57.
Dechow, P., Sloan, R., & Zha, J. (2014). Stock Prices and Earnings: A History of Research. Annual Review of Financial Economics, Volume 6, No.1, 343 - 363.
Devcic, J. (2019, November 13). Trend-Spotting with the Accumulation / Distribution Line. Retrieved from Investopedia: https://www.investopedia. com/articles/trading/08/accumulation-distribution-line.asp
Dewi, N. I., & Suaryana. (2016). Pengaruh Volume Perdagangan Saham, Leveraged dan Tingkat Suku Bunga terhadap Volatilitas Harga Saham. E-Jurnal Akuntansi, Volume 17 No.2.
Dinahastuti, D. (2019). Menguji Model CPAM dalam Menentukan Harga Saham di Pasar Modal. Jurnal Akuntansi, Volume 14, No.1.
Edwards, R., Mage, J., & Bassetti, W. (2019). Technical Analysis of Stock Trend, 11th edition. New York: Routledge.
Effendi, E. S., & Hermanto, S. B. (2017). Pengaruh Rasio Keuangan dan Volume Perdagangan terhadap Return Saham. Jurnal Ilmu dan Riset Akuntansi, Volume 6, No. 11.
Gitman, L. J., & Zutter, C. J. (2012). Principles of Managerial Finance, 13th edition. San Fransisco: Pearson.
Jogiyanto, H. (2015). Teori Portofolio dan Analisis Investasi, Edisi 10. Yogyakarta: BPFE.
Kothari, S. (2001). Capital markets Research in Accounting. Journal of Accounting and Economics, Volume 31 (1-3), 105-231.
Lintner, J. (1965). The Valuation of Risk Assets and The Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, Vol. 47, No.1, 13-37.
Marty, W. (2015). Portfolio Analysis - An Introduction to Return and Risk Measurment. New York: Springer.
Mazouz, K., Alrabadi, D. W., & Yin, S. (2012). Systematic Liquidity Risk adn Stock Price Reaction to Shocks. Accounting and Finance, Volume 52, Issue 2, 467 - 493.
Melicher, R. W., & Norton, E. A. (2017). Introduction to Finance. 16th Edition: Wiley.
Norken, I., Purbawijaya, I., & Saputra, I. (2015). Pengantar Analisis dan Manajemen Risiko pada Proyek Konstruksi. Denpasar: Universitas Udayana Press.
Rossi, Mateo (2016). The Capital Asset Pricing Model: A Critical Literature Review. Global Business and Economics Review, Vol. 18. No.5, 604-615.
Sharpe, W. (1964). The Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, Vol.19 No. 3, 425-442.
Singh, S., Jain, P., & Yadav, S. S. (2016). Equity Markets in India Returns, Risk and Price Multiples. Singapore: Springer.
Susanti, N., & Putra, O. E. (2018). Penerapan CAPM terhadap Keputusan Investasi pada Indeks LQ45 periode 2012-2016. Jurnal Muara Ilmu Ekonomi dan Bisnis, Volume 2, No.2, 366 - 376.
Thalassinos, I., & Politis, D. (2012). The Evaluation of the USD currency and the oil prices: A VAR Analysis. European Research Studies Journal, Volume 15, No.2, 137-146.
Downloads
Published
How to Cite
Issue
Section
License
This work is licensed under a Creative Commons Attribution 4.0 International License.
