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

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

DOI
10.34306/att.v4i1.218
ISSN
2656-8888, 2655-8807
Published
2022-01-25
Publisher
Pandawan
Language
en
License
creativecommons.org/licenses/by/4.0

Abstract

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.

Keywords

Collaboration network of the authors

33 authors · 102 co-authorship links · 3 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Universitas Raharja
  • Satya Wacana Christian University
  • Universitas Catur Insan Cendekia Cirebon
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Marviola HardiniAffiliation unknown2
Lena MagdalenaAffiliation unknown2
Tri HartonoAffiliation unknown1
Bintang Nandana HenryAffiliation unknown1
Sirje NurmAffiliation unknown1
Lukita PashaAffiliation unknown1
Wahyu SejatiAffiliation unknown1
Dina Paramitha AHAffiliation unknown1
Fathya KhansaAffiliation unknown1
Aryo Setyo MaulanaAffiliation unknown1
Qurotul AiniUniversitas Raharja1
Danny ManonggaSatya Wacana Christian University1
Untung RahardjaAffiliation unknown1
Po Abas SunaryaAffiliation unknown1
Hiroshi KentaAffiliation unknown1
Mochamad Heru Riza ChakimAffiliation unknown1
Ageng Setiani RafikaAffiliation unknown1
Chandra LukitaUniversitas Catur Insan Cendekia Cirebon1
Nuke Puji Lestari SantosoUniversitas Raharja1
Sudadi PranataAffiliation unknown1
Sri WatiniAffiliation unknown1
Nikita IvanovAffiliation unknown1
Ahmad GunawanAffiliation unknown1
Tri Wahyu WirjawanAffiliation unknown1
Ninda LutfianiUniversitas Raharja1
Haryanto .Affiliation unknown1
FernandoAffiliation unknown1
B. P. Kusumo BintoroAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://att.aptisi.or.id/index.php/att/oai, first harvested 6 Nov 2026, last seen 6 Nov 2026.
Original metadata (oai_dc) 
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	<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>