Analisis Keakuratan Metode CAPM dan APT Dalam Menghitung Return Saham Perbankan yang Terdaftar di BEI Tahun 2019-2023

Authors

  • Suszian Lidya Sekolah Tinggi Agama Islam Negeri Bengkalis, Indonesia
  • Nopita Nopita Sekolah Tinggi Agama Islam Negeri Bengkalis, Indonesia
  • Sonia Oktavina Nurainun Sekolah Tinggi Agama Islam Negeri Bengkalis, Indonesia
  • Roslin Pebriyanti Sekolah Tinggi Agama Islam Negeri Bengkalis, Indonesia
  • Joni Hendra K Sekolah Tinggi Agama Islam Negeri Bengkalis, Indonesia

DOI:

https://doi.org/10.57235/hemat.v1i2.2819

Keywords:

CAPM, APT, Return Saham, Perbankan, Bursa Efek Indonesia

Abstract

Penentuan expected return merupakan aspek penting dalam pengambilan keputusan investasi saham. Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) adalah dua model populer yang digunakan untuk menghitung expected return suatu aset. Namun, terdapat perdebatan mengenai keakuratan kedua model tersebut dalam kondisi pasar yang berbeda. Penelitian ini bertujuan untuk menganalisis dan membandingkan keakuratan CAPM dan APT dalam memprediksi return saham sektor perbankan di Bursa Efek Indonesia (BEI). Metode penelitian yang digunakan adalah pendekatan kuantitatif dengan mengolah data historis return saham, return pasar, pendapatan bebas risiko, risiko sistematis, serta faktor-faktor ekonomi seperti inflasi dan nilai tukar rupiah terhadap dolar selama periode 2019-2023. Nilai Mean Absolute Deviation (MAD) dihitung untuk mengevaluasi kesalahan prediksi masing-masing model. Hasil penelitian menunjukkan bahwa MAD CAPM (-0,000216371) lebih rendah dibandingkan MAD APT (0,201214), mengindikasikan CAPM lebih akurat secara numerik dalam memprediksi return saham perbankan. Namun, analisis statistik menemukan bahwa perbedaan akurasi antara kedua model tidak signifikan secara statistik. Kesimpulan akhir mengenai model yang lebih akurat perlu mempertimbangkan berbagai faktor dan kondisi spesifik yang relevan dengan konteks penelitian.

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Published

2024-07-31

How to Cite

Lidya, S., Nopita, N., Nurainun, S. O., Pebriyanti, R., & Hendra K, J. (2024). Analisis Keakuratan Metode CAPM dan APT Dalam Menghitung Return Saham Perbankan yang Terdaftar di BEI Tahun 2019-2023. Journal of Humanities Education Management Accounting and Transportation, 1(2), 719–724. https://doi.org/10.57235/hemat.v1i2.2819

Issue

Vol. 1 No. 2 (2024): Agustus 2024

Section

Articles

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