Analisis Optimalisasi Portofolio dengan Capital Asset Pricing Model pada Indeks IDX30 di Indonesia

  • Muchamad Viky Ayudin STIE Widya Gama Lumajang
  • Sukma Irdiana STIE Widya Gama Lumajang
  • Ainun Jariah STIE Widya Gama Lumajang

Abstract

The Indonesian market is still a potential market in Asia, this is one of the reasons for the high investment in 2018, with capital market instruments that can be used as investment destinations. This study aims to explain the analysis of returns and risks and explain the analysis of stock optimization on the IDX30 Index with the Asset Pricing Model (CAPM) method in the formation of optimal portfolios for the 2016-2019 period. This study uses a type of descriptive research with a quantitative approach. The population in this study are all shares included in the IDX30 Index for the period 2016-2019. The sample used in this study is 18 stocks that are consistently incorporated in the IDX30 Index for the period of 2016-2019. The sampling technique of this study used a purposive sampling method. The variables in this study are stock returns, market returns, stock risk, and market risk. The expected return calculation uses the capital asset pricing model. Based on the results of the study to determine the optimal stock portfolio with capital asset pricing model, it shows that: (1) efficient shares with IDX30 as a market proxy amount to 8 companies While the JCI as a market proxy shows all samples included in inefficient stocks. (2) of the 8 shares included in the efficient stock, all of them cannot be used as portfolio compilers because of ERB≤0, and it can be concluded that IDX30 shares in the 2016-2019 period cannot be included to compile an optimal portfolio.

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Published
2019-07-06