MENENTUKAN SAHAM YANG EFISIEN DENGAN MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM)

ELVINA LIADI; KOMANG DHARMAWAN; DESAK PUTU EKA NILAKUSMAWATI

doi:10.24843/MTK.2020.v09.i01.p274

MENENTUKAN SAHAM YANG EFISIEN DENGAN MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM)

ELVINA LIADI Udayana University
KOMANG DHARMAWAN Udayana University
DESAK PUTU EKA NILAKUSMAWATI Udayana University http://orcid.org/0000-0002-8848-9490

DOI: https://doi.org/10.24843/MTK.2020.v09.i01.p274

Abstract

CAPM has been well known as a method to select which stocks are efficient in a portfolio. The purpose of this study is to determine efficient stocks using CAPM method. Data used in this study are the monthly closing prices recorded from February 2016 to July 2018. The results of this study indicate that the CAPM is able to show efficient stocks with differences in the return and expected return of a positive or negative value of CAPM. In this study, it is found that AMAG.JK, ASBI.JK, ASJT.JK, ASMI.JK, ASRM.JK, PNIN.JK, VINS.JK, LPGI.JK, MREI.JK are efficient stocks while ABDA.JK, AHAP.JK, ASDM.JK are inefficient stocks

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Author Biographies

ELVINA LIADI, Udayana University

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

KOMANG DHARMAWAN, Udayana University

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

DESAK PUTU EKA NILAKUSMAWATI, Udayana University

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

Published

2020-01-31

How to Cite

LIADI, ELVINA; DHARMAWAN, KOMANG; NILAKUSMAWATI, DESAK PUTU EKA. MENENTUKAN SAHAM YANG EFISIEN DENGAN MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM). E-Jurnal Matematika, [S.l.], v. 9, n. 1, p. 23-30, jan. 2020. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/57191>. Date accessed: 05 nov. 2024. doi: https://doi.org/10.24843/MTK.2020.v09.i01.p274.

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