ANALISIS PORTOFOLIO OPTIMAL MODEL CAPM DALAM PENGAMBILAN KEPUTUSAN INVESTASI SAHAM PADA IDXQ30
DOI:
https://doi.org/10.29062/mahardika.v22i1.802Abstract
This paper aimed to analyze the optimal portfolio based on the Capital Asset Pricing Model (CAPM) method by classifying the undervalued and overvalued stocks. The population of this paper are stocks listed on IDXQ30 in the 2022-2023 period, there are 22 stocks used as research samples. This paper used IDXQ30 daily closing price, closing price of the daily Jakarta Stock Exchange Composite Index on the IDX, and Bank Indonesia's daily reference interest rate or the BI-7 Day Reverse Repo Rate. The results of this paper indicated that CAPM method generates 8 undervalued stocks and 14 overvalued stocks. Undervalued stocks consist of KLBF, ITMG, ASII, UNTR, BBCA, PTBA, BMRI and HRUM while overvalued stocks consist of MIKA, SIDO, HEAL, INTP, UNVR, HMSP, MNCN, CPIN, TLKM, TAPG, LSIP, ACES, SCMA and SRTG. The investment decisions are made by buying stocks that are classified as undervalued and selling stocks that are classified as overvalued.
Keywords: Capital Asset Pricing Model, IDXQ30, Investment Decision, Optimal Portfolio
Downloads
References
Bodie, Z., Kane, A., & Marcus, A. J. (2023). Investments (13th ed.). McGraw-Hill.
Bursa Efek Indonesia. (2023). Indeks. https://www.idx.co.id/id/produk/indeks
Bursa Efek Indonesia. (2023). IDX Quality30 Index Fact Sheet as of March 2023. https://www.idx.co.id/en/market-data/statistical-reports/fact-sheet-index/
Bursa Efek Indonesia. (2023). IDX Yearly Statistics 2022. https://www.idx.co.id/en/market-data/statistical-reports/statistics/
databoks. (2023). Sesuai Ramalan IMF, Ekonomi Indonesia Tumbuh 5,31% pada 2022. https://databoks.katadata.co.id/datapublish/2023/02/06/sesuai-ramalan-imf-ekonomi-indonesia-tumbuh-531-pada-2022
Ho, S.-Y. (2018). Macroeconomic Determinants of Stock Market Development in South Africa. International Journal of Emerging Markets, 14(1). https://doi.org/10.1108/IJoEM-09-2017-0341
Kholishoh, S., Mulyantini, S., & Miftah, M. (2020). Analisis Portofolio Efisien dengan Metode CAPM Dan RVAR Sebagai Preferensi Keputusan Investasi Saham Indeks JII Periode 2017-2018. Konferensi Riset Nasional Ekonomi, Manajemen, Dan Akuntansi I.
Kustodian Sentral Efek Indonesia. (2023). Statistik Pasar Modal Indonesia. https://www.ksei.co.id/files/Statistik_Publik_-_Februari_2023_v3.pdf
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13. https://doi.org/10.2307/1924119
M.M., S. H., & M.M., E. D. A. (2020). Teori Portofolio dan pasar Modal Indonesia. Scopindo Media Pustaka.
Matadeen, J. (2019). Stock Market Development: An Assessment of its Macroeconomic and Institutional Determinants in Mauritius. International Journal of Economics and Financial Issues, 9(4). https://doi.org/https://doi.org/10.32479/ijefi.8125
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768. https://doi.org/10.2307/1910098
Mugableh, M. I. (2021). Causal Links among Stock Market Development Determinants: Evidence from Jordan. The Journal of Asian Finance, Economics and Business, 8(5), 543–549. https://doi.org/https://doi.org/10.13106/jafeb.2021.vol8.no5.0543
Pan, L., & Mishra, V. (2018). Stock Market Development and Economic Growth: Empirical Evidence from China. Economic Modelling, 68, 661–673. https://doi.org/10.1016/J.ECONMOD.2017.07.005
Ramli, A. (2010). Risk dan Return Saham Perusahaan Industri Barang Konsumsi di Bursa Efek Indonesia. Jurnal Aplikasi Manajemen.
Reilly, F. K., Brown, K. C., & Leeds, S. J. (2019). Investment Analysis & Portfolio Management (11th ed.). Cengage Learning, Inc.
Ross, S. A., Westerfield, R. W., Jaffe, J. F., & Jordan, B. D. (2019). Corporate Finance (12th ed.). McGraw-Hill.
Ross, S. A., Westerfield, R. W., & Jordan, B. D. (2023). Essentials of Corporate Finance (11th ed.). McGraw-Hill.
Ross, S. A., Westerfield, R. W., & Jordan, B. D. (2010). Fundamentals of Corporate Finance (9th ed.). McGraw-Hill.
Sharpe, W. F. (1964). Capital Asset Prices: a Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
Wibowo, A., & Darmanto, S. (2020). Empirical Test of the Capital Asset Pricing Model (CAPM): Evidence from Indonesia Capital Market. International Journal of Economics and Management Studies, 7(5). https://doi.org/10.14445/23939125/IJEMS-V7I5P126
Downloads
Published
Issue
Section
License
Copyright (c) 2023 Gracia Nazaretha Nauli br Silitonga, Alfida Aziz
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.