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NURUL WAHYUNI
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Journal : Islamic Financial And Accounting Review

 1 
THE APPLICATION OF THE CAPITAL ASSET PRICING MODEL (CAPM) METHOD AS A BASIS FOR INVESTMENT DECISION MAKING IN LQ45 INDEX STOCKS ON THE INDONESIA STOCK EXCHANGE FOR THE PERIOD 2019-2023 Wahyuni, Nurul; Rismala; Husain, Saddan
Islamic Financial And Accounting Review Vol 3 No 2 (2025): Islamic Financial And Accounting Review
Publisher : Institut Agama Islam Negeri Parepare

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35905/ifar.v3i2.14959

Abstract

In the world of investment, investors must be able to identify investment opportunities that provide returns so that they can generate optimal levels of return with minimal risk. This study aims to analyze stock investment decisions using the Capital Asset Pricing Model (CAPM) using the LQ45 Index as a market proxy. This type of research is descriptive research with quantitative methods. The data source used is secondary data, namely monthly closing price data. The sampling in this study was determined using purposive sampling, out of 45 companies included in the LQ45 index, only 23 companies met the criteria and became a research sample. The data analysis method was used using the Capital Asset Pricing Model (CAPM) method to classify undervalued and overvalued stocks using Microsoft Excel 2016. The results of the calculation of the rate of return of individual shares (Ri) resulted in an average of 0.00506, with the largest return owned by ANTM shares and the lowest by INDF shares. The average systematic risk is worth more than 1, which is 1.25, so in general, the 23 shares of the companies used as research samples have high systematic risk and tend to be active in responding to market price changes. Based on the data analysis, there is a nonlinear relationship between systematic risk (β) and the expected rate of return on shares [E(Ri)]. Of the 23 company stocks that were the research sample, there were 12 company stocks that were included in the undervalued category, namely, ADRO, ANTM, BBCA, BBNI, BBRI, BBTN, BMRI, CPIN, EXCL, INCO, INKP, ITMG. Meanwhile, there are 11 company stocks that are in the overvalued category, namely, ASII, ICBP, INDF, INTP, KLBF, PGAS, PTBA, SMGR, TLKM, UNTR, UNVR.
Co-Authors Abid, Muhammad ACHMAD ZAINAL ABIDIN Adil Akhyar Affandi, Moch Agung Nurrahman Aji Permana Al ilmullah, Syarifah Fatimah Amelia, Risky Ana Mariatul Khiftiyah Andani, Kurnia Fitri Andi Aris Mattunruang Angelica Suwanto, Bunga Annas, Nurul Afiqah Annisa Afiva Annisa Astrid Annisa Sarif Anriansyah Renggaman Ansar Ansar Ansar Ansar Anugrah, Abdi Apriani, Amalia Apriliani, Ayu Arini Junaeny Asroa B. S., Iman Ayu, Ayu Azmi, Nida Barasa, Larsen Benandi, Nadya Brenhard Mangatur Tampubolon Brigita Nur Diyan Agustiana Dea Ajeng Pratiwi Dela Dwi Alawiyah Despry Nur Annisa Ahmad, Despry Nur Annisa Dodik Mulyono Dzulianur Mutsla Efriza, Selviana Egidia, Rhegita Erlina, Dian Fachry Abda El Rahman Farhan Aldiansyah Gay, Munawi Haliadi, Haliadi Hidayat, Rikzy Muslim Holandyah, Muhammad Husain, Saddan Irwandi, Andi IRWANSYAH Isty Adhitya Purwasena Izla Swasty Jaja Suparman Khahfi, Muh. Ash Habul Thoriq Kurniati Kurniati La ode Abdul Habib Kadir Lenny Marzulina, Lenny LUKMAN, LUKMAN Lutfi Anggadhania Madjid, Udaya Maulira, Dinda Ayu Mawardi, Dona Ningrum Metta Liana MIFTAHUL JANNAH Mochammad Imron Awalludin Muh Arif, Muh Mustamam Mustamam Mutahharatul Jannah Nastiti Trikurniadewi Ni'matuzahroh Nislawati, Nislawati Noor Hidayati Novia Nour Halisa Nur Adila Syahid Nurfadilah Nurfadilah Nurfadillah Nurfadillah Nurhikmah, A. Fatimah Nurhuda Nurhuda Nurwijayanti Prabowo, Rahmat Eko Putri, Himah Zalifah R, Baso Rahim, Abdurachman Rahman, Nurazisah Raudatul Husna Reza Faizal Suhaimin Ridwan, Sucilawaty risaldi, risaldi Rismala Rizki Amaliah Zain Roza, Yanti Mulia Rusidah, Siti Sakti, Harry Hardian Saladin Ghalib SALAMUN Sary Silvhiany Sharon, St Salmah Silvia Kurnia Sari Simanjuntak, M. Marihot Siska Yoniessa Siti Rusidah Soni Mirizon Suhayatman, Early Windari Sumarni S Sumarni S Sumarni S, Sumarni Sutra Awaliyah Darfin Syawal, Rahmat Trisnowali MS, Andi Wahyuningsih Wahyuningsih Y.M.M. Anita nugraheni Yohana, Ana