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All Journal Indikator: Jurnal Ilmiah Manajemen & Bisnis Jurnal Penelitian Pendidikan Indonesia
Tumpal Samosir
Mercu Buana University
Decision Sciences, Operations Research & Management Other

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Comparison Analysis Between Accuracy of CAPM and APT Models in Predicting Return of IDX-30 Stocks during Covid-19 Pandemic Siji Jati Sindhuarta; Ricky Albert Husni; Tumpal Samosir
Indikator: Jurnal Ilmiah Manajemen dan Bisnis Vol 7, No 1 (2023)
Publisher : Universitas Mercu Buana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22441/indikator.v7i1.15992

Abstract

This study is done to analyze and compare the accuracy of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) Model in predicting stocks’ actual return. The purpose of the study is to find the discrepancy of accuracy of CAPM and APT models in predicting company stocks’ return registered in IDX-30 index from Indonesian Stock Exchange from January 2020-2022. The period is chosen because of the Covid-19 pandemic in Indonesia. The chosen stocks are the stocks which have positive return, never leave the index, never have any changes in stocks’ amount in major and minor evaluation, never do stock split, and have routine dividend payout along the study’s period. The result is there is a significant difference between CAPM and APT models in predicting the actual return based on the result from t-test independent samples. Observed from the Mean Absolute Deviation (MAD) of the two models, CAPM model MAD is smaller than those from APT model, thus CAPM is the more accurate model in calculating return form IDX-30 stocks from January 2020-2022.
Analysis of the influence internal and external factors on the performance of IDXV30 Tumpal Samosir; Pardomuan Sihombing
JPPI (Jurnal Penelitian Pendidikan Indonesia) Vol 9, No 3 (2023): JPPI (Jurnal Penelitian Pendidikan Indonesia)
Publisher : Indonesian Institute for Counseling, Education and Theraphy (IICET)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29210/020232849

Abstract

In this research, authors examine the internal influence of BI7DRR, Inflation, Exchange Rate and JCI and external DJIA, the Fed, HSI and the contribution of factors that influence the performance of Index Value 30 (IDXV30) during the period September 2019 – December 2022. Type of data used is monthly time series data using the saturated sampling technique which is processed using the Eviews 12 application program using the VECM analysis method. The analysis phase is through the Stationarity Test, Optimal Lag Test, VAR Stability Test, Granger Causality Test, Cointegration Test, Impulse Response Function (IRF), and Forecast Error Variance Decomposition (FEVD). The results of the study prove that the Exchange Rate and DJIA together have a negative influence on the performance of the IDXV30 while the HSI and Inflation positively affect the IDXV30's performance. JCI, BI7DRR, FED have a negative influence on the performance of IDXV30. While the contributing factors are the IDXV30 itself while macroeconomics and global stock exchanges do not contribute.
Co-Authors Pardomuan Sihombing, Pardomuan Ricky Albert Husni Siji Jati Sindhuarta