Perbandingan Keakuratan Capital Assets Pricing Model (Capm) Dan Arbitrage Pricing Theory (Apt) Dalam Menentukan Pilihan Berinvestasi Pada Saham Jakarta Islamic Index (Jii)

Abstract

The formulation of the problem in this study was how the accuracy of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Determining the Choice of Investing in the Jakarta Islamic Index (JII). The objective of this study was to find out the differences of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Determining the Choice of Investing in the Jakarta Islamic Index (JII). There were two balance methods that are still used as the approach material for accuracy in predicting expected return. The two models were the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). In predicting CAPM company stock returns using risk-free return asset factors, market returns and beta while APT uses macroeconomic factors, namely interest rates, inflation, exchange rates and the money supply. The population in this study was 68 company shares after passing the purposive sampling stage, the sample of this study consisted of 27 monthly company shares that were registered continuously in the period 2010 - 2017. The data used in this study were secondary data with the data collection technique was documentation. The analysis technique used is independent sample t-test. The results of this study indicate that the CAPM method is more accurate than APT in determining the choice of investing in JII shares and there was no significant difference in accuracy between the CAPM and APT methods in determining the choice of investing in JII shares.

The Accuracy of Balance Model in Predicting Stock Investment During The Covid-19 Pandemic on LQ 45 Index

“…There have been several previous studies that discuss the accuracy of the balance model in determining investment, namely research conducted by (Östermark, 1990) (Juwana, 2015), (Laila & Saerang, 2015), and (Pham, 2020) with results indicating that APT is a more accurate model used in the calculation of the expected return of shares compared to CAPM. While according to (Lemiyana, 2015), (Indra, 2018), (Safitri et al, 2018), and (Muhammad, 2019) with the results of the study showed that the CAPM model is more accurate in predicting stock return when compared to APT. This study seeks to analyze which balance model is more accurate in predicting stock investments and determine the differences in the accuracy of the Capital Asset Pricing Model (CPAM) and Arbitrage Pricing Theory (APT) models in determining investment options.…”

“…The preparation of this portfolio can be done with two models often used by investors, namely Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Model (APT). Financial management experts still debate both models' accuracy in predicting risks and returns (Safitri et al, 2018).…”

Analisis Komparasi Keakuratan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) Dalam Memprediksi Return Saham Pada Perusahaan Sektor Consumer Goods Yang Terdaftar Di Bursa Efek Indonesia

“…Kemudian penelitian Gulam, (2019) pada hasil perhitungan metode CAPM lebih tepat atau akurat dalam memprediksi return saham. Menurut penelitian yang dilakukan olehSafitri et al, (2019) hasil perhitungan, metode Capital Asset Pricing Model lebih akurat dalam memprediksi return saham.Dalam penelitian ini, setelah menghitung Mean Absolute Deviation (MAD), Mean Squared Error (MSE), dan Mean Precentage Absolute Error (MAPE) dilakukan uji mann whitney u-test untuk mengetahui apakah ada perbedaan signifikan diantara kedua metode tersebut. Hasilnya Ha ditolak yang berarti bahwa tidak ada perbedaan signfikan antara metode CAPM dan APT hasil uji hipotesis mann whitney pada tabel MAD dan MSE tidak terdapat perbedaan keakuratan yang signfikan diantara kedua metode akan tetapi pada MAPE menyatakan bahwa kedua metode memiliki perbedaan keakuratan hal ini menunjukkan bahwa Ho diterima dan menolak Ha sehingga dapat disimpulkan bahwa dalam memprediksi return saham pada perusahaan consumer goods pada periode 2017 hingga 2020 tidak memiliki perbedaan yang akurat.Hal ini sesuai dengan penelitian yang dilakukan, Hasil penelitian Aqli, (2015) dalam memprediksi return saham tidak terdapat perbedaan akurasi diantara kedua model karena nilai Sig = 0.049 < 0.05.…”

Analisis Komparasi Metode CAPM dan APT dalam Memprediksi Return Saham LQ45 2019-2021

“…Iklim investasi berkembang pesat di Indonesia, banyak masyarakat tertarik untuk melakukan investasi, dan pasar modal merupakan tempat untuk berinvestasi yang lazim dan legal secara hukum. Penempatan sejumlah dana atau sumber daya lainnya bertujuan untuk mendapatkan keuntungan di masa datang disebut Investasi (Halim et al, 2000;Safitri et al, 2019;Tandelilin, 2010).…”

“…Capital gain ataupun dividen merupakan bagian dari return saham. Return biasanya lebih diinginkan oleh investor dibandingkan risiko, yang artinya aktiva yang kurang berisiko lebih diminati investor namun sekaligus juga berharap mendapat return yang tinggi (Afzal & Pan, 2020;Evan et al, 2021;Jones, 2020;Safitri et al, 2019;Susanti et al, 2021).…”