ANALISIS PENGARUH RISIKO TERHADAP RETURN YANG DIHARAPKAN UNTUK MENENTUKAN PILIHAN BERINVESTASI PADA SAHAM JAKARTA ISLAMIC INDEX (JII)

Ervita Safitri

Abstract


Purpose - The objective of this study was to assess the risk of the stock return by using CAPM model to determine the investment option at Jakarta Islamic Index in the Indonesia Stock Exchange (BEI) and to find the risk of the return which was expected by CAPM Model.
Design/methodology - The population of this study was 52 companies which were listed at JII in 2010-2014. The sample of this study was chosen by using purposive sampling method. The numbers of the companies were 12 companies. Data analysis technique in this study was by using the monthly closing share price dara registered in JII, JII market index, and interest rates of SBI.
Findings – The result of this study showed that out of twelve companies, there were four stocks that could be used as the investment option, namely PT. Alam Sutra Reality, tbk, PT. Astra International, tbk, PT. Lippo Karawaci, tbk, PT. Telekomunikasi Indonesia, tbk. The result of hypothesis testing with a simple linear regression t-test found that t value > t table (-24,249>-2,228) with significant value (0,00<0,05) , it indicated that there was a significant influence between beta and CAPM expected return.


Keywords


Expected Return, CAPM

Full Text:

PDF

References


Fahmi, Irham. 2012. Pengantar Pasar Modal. Bandung: Alfabeta.

Halim, Abdul. (2005). Analisis Investasi. Jakarta : Salemba Empat

Hartono, Jogiyanto. (2013). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE.

Husnan, Suad. (2012). Dasar-dasar Manajemen Keuangan. Yogyakarta: UPP STIM YKPN.

Lubis, Ade Fatma. 2008. Pasar Modal. Jakarta: Lembaga Penerbit Fakultas Ekonomi UI.

Riyanto, Bambang. (2013). Dasar-dasar Pembelanjaan Perusahaan. Yogyakarta: Yayasan Badan Penerbit Gajah Mada.

Tandelilin, Eduardus. (2010). Portofolio dan Investasi Teori Aplikasi. Yogyakarta : KANISIUS.




DOI: https://doi.org/10.32502/motivasi.v2i1.771

Refbacks

  • There are currently no refbacks.


Copyright (c) 2017 MOTIVASI

Creative Commons License
Motivasi: Jurnal Manajemen dan Bisnis is Published by Management Department, Economic and Business Faculty, Muhammadiyah University of Palembang. This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 

Indexed/Abstracted