Detail Inovasi Perguruan Tinggi


Tema: PORTOFOLIO. JURNAL EKONOMI, MANAJEMEN DAN AKUNTANSI
Judul: PENGUJIAN VALIDASI EMPIRIS CAPITAL ASSET PRICING MODEL (CAPM) DI JAKARTA ISLAMIC INDEX (JILL) PERIODE 2011-2014
Perguruan Tinggi: Universitas Jenderal Achmad Yani
Jenis/sdm: dosen/0415049102

Tahun: 2016

return. In accordance with the concept of "High risk high return and low risk low

return" investors expect maximum return, therefore it is important for investors to pay

attention and estimate the factors that affect the return of future investment. One of

models that often be used by investors to determine the relationship risk and return is

Capital Asset Pricing Model (CAPM). However, many experts do not agree with the

concept of Capital Asset Pricing Model (CAPM), because there are still other factors

that can affect stock returns. Thus, it is important to conduct research on empirical

CAPM validity testing. The purpose of this study is to examine whether the Capital

Asset Pricing Model (CAPM) has empirical validity in the Jakarta Islamic Index period

2011-2014. Data analysis method used in this research has two stages of regression

process. The first-pass regression and second pass regression. In addition, classical

assumption test and coefficient of determination is being conducted after regression

process. The results of this study show that beta has an effect on return and significant

at 5% level. The amount of influence of beta to return equal to 33,83%. While the

remaining 66.17% return is influenced by other variables that are not being researched,

thus it can be concluded that beta has an effect on return. All in all , the Capital Asset

Pricing Model (CAPM) is valid in Jakarta Islamic Index (JII) because the result of this

research is in line with the concept of Capital Asset Pricing Model (CAPM).

Keywords : Capital Asset Pricing Model (CAPM)