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Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)

Aptisi Transactions on Technopreneurship (ATT) · Vol. 4 No. 1 (2022) · hlm. 35–46

DOI
10.34306/att.v4i1.218
ISSN
2656-8888, 2655-8807
Terbit
2022-01-25
Penerbit
Pandawan
Bahasa
en
Lisensi
creativecommons.org/licenses/by/4.0

Abstrak

This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January 2016-December 2018. The method used in this research is a quantitative descriptive method. Sample in this study using purposive sampling were 24 stock from INV33 Index and 17 stock from JII Index. The results of the study were as follows: (1) The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tbk), ICBP (Indofood CBP Sukses Makmur Tbk), INCO (Vale Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), TLKM (Telekomunikasi Indonesia Persero Tbk), UNTR (United Tractor Tbk). (2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), ICBP (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from JII Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3) The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.

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  • Universitas Raharja
  • Satya Wacana Christian University
  • Universitas Catur Insan Cendekia Cirebon
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Rekan penulisOrganisasiArtikel bersama
Marviola HardiniAfiliasi tidak diketahui2
Lena MagdalenaAfiliasi tidak diketahui2
Tri HartonoAfiliasi tidak diketahui1
Bintang Nandana HenryAfiliasi tidak diketahui1
Sirje NurmAfiliasi tidak diketahui1
Lukita PashaAfiliasi tidak diketahui1
Wahyu SejatiAfiliasi tidak diketahui1
Dina Paramitha AHAfiliasi tidak diketahui1
Fathya KhansaAfiliasi tidak diketahui1
Aryo Setyo MaulanaAfiliasi tidak diketahui1
Qurotul AiniUniversitas Raharja1
Danny ManonggaSatya Wacana Christian University1
Untung RahardjaAfiliasi tidak diketahui1
Po Abas SunaryaAfiliasi tidak diketahui1
Hiroshi KentaAfiliasi tidak diketahui1
Mochamad Heru Riza ChakimAfiliasi tidak diketahui1
Ageng Setiani RafikaAfiliasi tidak diketahui1
Chandra LukitaUniversitas Catur Insan Cendekia Cirebon1
Nuke Puji Lestari SantosoUniversitas Raharja1
Sudadi PranataAfiliasi tidak diketahui1
Sri WatiniAfiliasi tidak diketahui1
Nikita IvanovAfiliasi tidak diketahui1
Ahmad GunawanAfiliasi tidak diketahui1
Tri Wahyu WirjawanAfiliasi tidak diketahui1
Ninda LutfianiUniversitas Raharja1
Haryanto .Afiliasi tidak diketahui1
FernandoAfiliasi tidak diketahui1
B. P. Kusumo BintoroAfiliasi tidak diketahui1

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Sumber metadata: OAI-PMH (metadata jurnal) https://att.aptisi.or.id/index.php/att/oai, pertama di-harvest 6 Nov 2026, terakhir terlihat 6 Nov 2026.
Metadata asli (oai_dc) 
<oai_dc:dc xmlns="http://www.openarchives.org/OAI/2.0/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/  http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
	<dc:title xml:lang="en">Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)</dc:title>
	<dc:creator xml:lang="en">Pramono,  Erry Sigit </dc:creator>
	<dc:creator xml:lang="en">Rudianto, Dudi </dc:creator>
	<dc:creator xml:lang="en">Siboro, Fernando </dc:creator>
	<dc:creator xml:lang="en">Abdul Baqi , Muhamad Puad </dc:creator>
	<dc:creator xml:lang="en">Julianingsih, Dwi </dc:creator>
	<dc:subject xml:lang="en">Stock Optimal Portfolio</dc:subject>
	<dc:subject xml:lang="en">Capital Asset Pricing Model</dc:subject>
	<dc:subject xml:lang="en">INV33 Index and JII Index</dc:subject>
	<dc:description xml:lang="en">This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January 2016-December 2018. The method used in this research is a quantitative descriptive method. Sample in this study using purposive sampling were 24 stock from INV33 Index and 17 stock from JII Index.
The results of the study were as follows : (1) The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tbk), ICBP (Indofood CBP Sukses Makmur Tbk), INCO (Vale Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), TLKM (Telekomunikasi Indonesia Persero Tbk), UNTR (United Tractor Tbk). (2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), ICBP (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from JII Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3)
The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.</dc:description>
	<dc:publisher xml:lang="en">Pandawan</dc:publisher>
	<dc:date>2022-01-25</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://att.aptisi.or.id/index.php/att/article/view/218</dc:identifier>
	<dc:identifier>10.34306/att.v4i1.218</dc:identifier>
	<dc:source xml:lang="en">Aptisi Transactions on Technopreneurship (ATT); Vol. 4 No. 1 (2022): March; 35-46</dc:source>
	<dc:source xml:lang="id">Aptisi Transactions On Technopreneurship (ATT); Vol 4 No 1 (2022): March; 35-46</dc:source>
	<dc:source>2656-8888</dc:source>
	<dc:source>2655-8807</dc:source>
	<dc:source>10.34306/att.v4i1</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://att.aptisi.or.id/index.php/att/article/view/218/161</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2022  Erry Sigit  Pramono, Dudi  Rudianto, Fernando  Siboro, Muhamad Puad  Abdul Baqi , Dwi  Julianingsih</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
</oai_dc:dc>