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All Journal International Journal of Social Science, Educational, Economics, Agriculture Research, and Technology (IJSET) Jurnal Ilmiah Manajemen Inovasi Bisnis dan Strategi
Fathurrahman Anwar
Universitas Syiah Kuala
Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education

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Analisis Perbandingan Kinerja Portofolio Saham Pada Kelompok Saham Kapitalisasi Besar Dan Kapitalisasi Kecil Di Bursa Efek Indonesia Putri Sakina; Fathurrahman Anwar
Manajemen Inovasi Bisnis dan Strategi Vol 1, No 2 (2023): Desember
Publisher : Syiah Kuala University Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24815/manis.v1i2.35868

Abstract

The purpose of this study is to find out how to compare the performance of the optimal portfolio of the large capitalization stock and small capitalization stock on the Indonesia Stock Exchange for the period January 2020 December 2022. This study uses the Single Index Model to form an optimal portfolio and the Sharpe Index to measure the performance of the formed portfolio. The population in this study were 45 stocks including large capitalization and 56 stock including small capitalization. The technique of determining the sample using purposive sampling, namely 19 shares in large capitalization and 29 shares in small capitalization. The observation method was used in this study for data collection. iThe result showed that during ithe period iJanuary 2020 December 2022 the performance of the ismall capitalization istock iportfolio with a iSharpe ivalue of 90,45% was ibetter than the performance of the ilarge capitalizationi stock iportfolio with a iSharpe ivalue 60,81%. This study is consistent with the size effect anomaly, where small capitalized stock perform better or provide higher returns compared to large capitalized stock.
TESTING THE CAPITAL ASSET PRICING MODEL AND SENTIMENT ON STOCKS LISTED ON THE INDONESIA STOCK EXCHANGE Zaida Zainul; Nurhalis; Fathurrahman Anwar; Sophia Imari
International Journal of Social Science, Educational, Economics, Agriculture Research and Technology (IJSET) Vol. 5 No. 1 (2025): DECEMBER
Publisher : RADJA PUBLIKA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.5281/zenodo.18639841

Abstract

The Capital Asset Pricing Model (CAPM) provides a strong theoretical foundation for understanding stock returns; however, the dynamics of modern financial markets indicate that stock price movements are influenced not only by market risk but also by psychological factors, particularly sentiment. This study aims to analyze the effects of market risk premium, investor sentiment, and market sentiment on excess stock returns of companies listed on the Indonesia Stock Exchange (IDX). The sample consists of 93 companies listed on the IDX during the 2013–2023 period. Panel data regression analysis using the Common Effect Model is employed to test the research hypotheses. The results show that the market risk premium and investor sentiment have a positive and significant effect on excess stock returns in Indonesia. However, market sentiment does not have a significant effect on excess stock returns. These findings enrich the theoretical understanding of the relevance of the Capital Asset Pricing Model and stock market behavior in Indonesia. For investors, investment timing strategies can be implemented based on changes in market sentiment and market risk premium conditions to maximize potential returns.
Co-Authors Nurhalis Putri Sakina Sophia Imari Zaida Zainul