Article Sidebar

Download
Download Article

Main Article Content

Abstract

This study aims to analyze the application of the Capital Asset Pricing Model (CAPM) in sharia stock investment decision making, especially JII70. The research design used is a quantitative approach. The type of research used is descriptive research. This research leads to the shares of companies included in the Jakarta Islamic Index 70 (JII70) on the Indonesia Stock Exchange. The population in this study were all shares of companies listed on the Jakarta Islamic Index 70 (JII70) in the period January 2019-January 2024. The research sample was 32 JII70 stock issuers who consistently entered JII70 during the period January 2019-January 2024. The results showed that there were 14 issuers of JII70 stocks in the efficient category because they had individual stock returns greater than the expected rate of return [Ri > E(Ri)] with positive individual returns.

Keywords

CAPM JII70 Stock Investment Decisions

Article Details

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

How to Cite
Ramli, A., & Anwar, I. L. . (2024). Analysis of the Application of the Capital Asset Pricing Model (CAPM) Method in Making Islamic Stock Investment Decisions . Golden Ratio of Finance Management, 4(2), 207–212. https://doi.org/10.52970/grfm.v4i2.635
Download Citation
Endnote/Zotero/Mendeley (RIS)
BibTeX

References

  1. Amalia, Naili. 2018. Formation of Optimal Stock Portfolios Using the Sim Model (Single Index Model), and Capm (Capital Asset Pricing Model). Publication Manuscript: Management Study Program, Faculty of Economics and Business, Universitas Muhammadiyah Surakarta.
  2. Azizah, Siti, Tika Ifrida Takayasa, and Muhammad Nuqlir Bariklana. (2019). Investment Risk Management in the Compilation of Sharia Liquid Stock Portfolios Based on Capital Asset Pricing Model (CAPM) Analysis of Indonesian Stock Case Studies for the 2009-2013 Period. Statistics, 7(2), 157-166
  3. Crisdianto, O. V. (2016). Analysis Of Capital Asset Pricing Model (CAPM) Application As A Basis For Investment Decision Making (Study on Banking Stocks Listed on the IDX 2013-2014 Period).
  4. Fahmi, I. (2018). Introduction to the Capital Market. Alfabeta.
  5. Hartono, Jogiyanto. (2014). Portfolio Theory with Excel. Jakarta: Salemba Empat.
  6. Hartono, J. (2017). Portfolio Theory and Investment Analysis (11th ed.). Yogyakarta: BPFE.
  7. Hasan, N., Pelleng, F. A. O., & Mangindaan, J. V. (2019). Capital Asset Pricing Model (CAPM) Analysis as a Basis for Stock Investing Decisions (Study on the Business-27 Index on the Indonesia Stock Exchange). Journal of Business Administration, 8(1), 36-43.
  8. Hendrawan, Bambang. (2010). Empirically Testing the Capital Asset Pricing Model (CAPM) Against the Kompas 100 (K-100) Stock Group.Journal of Integration 2(1). 10-17.
  9. http://eprints.dinus.ac.id/. Beta Portfolio. Accessed on April 10, 2021 from http://eprints.dinus.ac.id/14555/1/[Material]_9._Capital_Asset_Pricing_Model_-_Arbitrage_Pricing_Theory.pdf.
  10. Maryanti, Lilis, et al. (2018). Capital Asset Pricing Model (CAPM) & Arbitrage Pricing Theory (APT) Paper. Accessed on April 10, 2021, from https://pdfcoffee.com/qdownload/5-capm-amp-apt-pdf-free.html.
  11. Muslim, A. (2020). Return and Risk Comparative Analysis in the Formation of Optimal Share Portfolio with Random Model, Markowitz Model, and Single Index Model. Wise Scientific Magazine, 17(2), 184-203. https://doi.org/10.31334/bijak.v17i2.896
  12. Financial Services Authority. (2011). Investment Management. https://www.ojk.go.id/id/kanal/pasar-modal/Pages/Pengelolaan-Investasi.aspx.
  13. Financial Services Authority. (2024). Sharia Stock Statistics - June 2024. https://ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Pages/Statistik-Saham-Syariah---Juni-2024.aspx
  14. Pasha, A. C. (2019). Capital Market Function and Role in National Economy. Liputan6.Com. https://www.liputan6.com/citizen6/read/3921829/fungsi-pasar-modal-dan-peran-dalam-perekonomian-nasional
  15. Pattiruhu, Sibarandus (2020). Investment Analysis and Portfolio Theory Paper. Accessed on April 9, 2021, from https://xdocs.cz/download/ibu-icha-tugas-capm-2-qoedp4w3v0n6?hash=d9d96204f8348cbf23ad8a50183c2b8d.
  16. Putra, I. K. A. A. S., & Dana, I. M. (2020). Study of Optimal Portfolio Performance Comparison: Single Index Model and Markowitz Model on LQ45 Stocks in Indonesia Stock Exchange. 4(12), 237-244.
  17. Saputra, Wildan Deny, et al. (2015). The Use of the Capital Asset Pricing Model (Capm) Method in Determining Efficient Stocks (Study on Shares of Companies Listed in the Kompas100 Index for the Period 2010-2013). Journal of Business Administration (JAB), 25 (1).
  18. Sunaryo, D. (2019). Investment And Portfolio Management. CV. Qiara Media Publisher. https://books.google.co.id/books?id=DtSWDwAAQBAJ
  19. Tambunan, D. (2020). Stock Investment during the COVID-19 Pandemic. Widya Cipta: Journal of Secretarial and Management, 4(2), 117-123. https://doi.org/10.31294/widyacipta.v4i2.8564
  20. Tandelilin, E. (2010). Portfolio and Investment (Theory and Application). Kanisius.
  21. Turlinda, Arly & Hasnawati. (2021). Capital Asset Pricing Model (Capm) and Accumulated / Distribution Line for Determining Efficient Stock Groups. PKN: Journal of Tax and State Finance. 2(2), 71-86.
  22. Yuliansyah, Fikry. (2018). Comparison of Portfolio Formation Using the Tungal Index Method and the Capital Asset Pricing Model (CAPM) Study on Jakarta Islamic Index (JII) Shares for the 2013-2016 Period. Thesis: Department of Management, Faculty of Economics, State Islamic University (UIN) Maulana Malik Ibrahim. Malang.