CAPITAL ASSET PRICING MODEL (CAPM) DAN ACCUMULATED / DISTRIBUTION LINE UNTUK PENENTUAN KELOMPOK SAHAM-SAHAM EFISIEN

  • Arly Turlinda Fakultas Ekonomi dan Bisnis Universitas Trisakti
  • Hasnawati FEB Universitas Trisakti
Keywords: CAPM, Accumulation and Distribution Line, actual return saham, expected return saham

Abstract

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.

 

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CROSSMARK
Published
2021-03-31
DIMENSIONS
How to Cite
Arly Turlinda, & Hasnawati. (2021). CAPITAL ASSET PRICING MODEL (CAPM) DAN ACCUMULATED / DISTRIBUTION LINE UNTUK PENENTUAN KELOMPOK SAHAM-SAHAM EFISIEN. Jurnal Pajak Dan Keuangan Negara (PKN), 2(2), 71–86. https://doi.org/10.31092/jpkn.v2i2.1182