Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic

Achmad Fadhoil Mz

doi:doi:10.11648/j.ijeee.20220702.11

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Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic

Achmad Fadhoil Mz

Published in International Journal of Economy, Energy and Environment (Volume 7, Issue 2)

Received: 22 February 2022 Accepted: 12 March 2022 Published: 29 March 2022

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Abstract

The purpose of this study was to determine and analyze the application of the Capital Asset Pricing Modeling (CAPM) method in determining investment options in banking stocks during the global economic crisis due to the pandemic caused by the COVID-19 virus, as well as sorting out efficient and inefficient stocks throughout 2020. This is a banking company listed on the Indonesia Stock Exchange, for the period March- September 2020 and there are 44 listed companies. Samples were taken by purposive sampling technique of 20 companies using the criteria for the company with the highest assets. This research method uses linear regression analysis to determine the beta coefficient in the Capital Asset Pricing Modeling (CAPM) method and compared with the variable rate of return obtained. The results in this study indicate that there are 16 stocks of efficient banking companies with a rate of return more than the expected return and 4 stocks of inefficient banking companies that have a rate of return less than the expected return. Shares with the BRIS code have the highest return rate of 0.3125 and are comparable to a high beta value of 5.5139 and NISP code shares have the smallest return rate of -0.0146 and a low beta of 0.1199.

Published in	International Journal of Economy, Energy and Environment (Volume 7, Issue 2)
DOI	10.11648/j.ijeee.20220702.11
Page(s)	32-37
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Risk, CAPM, Return, Efficient Stocks, Inefficient Stocks

References

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[3]	Nurmala & Aryani. 2017. Analysis of Return on Stock Investment Decisions Using the Capital Asset Pricing Model (CAPM) Approach in Banking Companies Listed on the Indonesia Stock Exchange. Balance Journal of Accounting and Business. Muhammadiyah University of Palembang.
[4]	Ferrari. 2018. Analysis of Capital Asset Pricing Modeling (CAPM) in Stock Investment Decision Making. STIE Indonesia Banking School.
[5]	Fahmi Irham. 2015. Introduction to Portfolio Theory and Investment Analysis. Bandung: Alphabeta Ferrari. 2018. Analysis of Capital Asset Pricing Modeling (CAPM) in Stock Investment Decision Making. STIE Indonesia Banking School.
[6]	Jogiyanto. 2010. Portfolio theory and investment analysis. Seventh Edition. Yogyakarta: BPFE Miskhin, Frederic S 2017. Money Economics, Banking and Financial Markets, Eleventh Edition. Jakarta: Four Salemba.
[7]	Daniel. Understanding Investment According to Experts, Types, History and Ways of Investing. https://ekonomimanajemen.com/pengertian-investasi/#:~:text=Menurut%20Salim%20HS%20dan%20Budi,usaha%20yang%20terbuka%20untuk%20investasi. (accessed January 21, 2021)
[8]	Van Horne, Machowicz. 1997, Principles of financial management. Ninth Edition. Jakarta: Salemba four.
[9]	Sugiyono. 2018. Statistics for Research. Bandung: Alphabeta.
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[13]	https://finance.yahoo.com/ (accessed December 17 and 19, 2020)

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APA Style

Achmad Fadhoil Mz. (2022). Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic. International Journal of Economy, Energy and Environment, 7(2), 32-37. https://doi.org/10.11648/j.ijeee.20220702.11

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ACS Style

Achmad Fadhoil Mz. Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic. Int. J. Econ. Energy Environ. 2022, 7(2), 32-37. doi: 10.11648/j.ijeee.20220702.11

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AMA Style

Achmad Fadhoil Mz. Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic. Int J Econ Energy Environ. 2022;7(2):32-37. doi: 10.11648/j.ijeee.20220702.11

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@article{10.11648/j.ijeee.20220702.11,
  author = {Achmad Fadhoil Mz},
  title = {Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic},
  journal = {International Journal of Economy, Energy and Environment},
  volume = {7},
  number = {2},
  pages = {32-37},
  doi = {10.11648/j.ijeee.20220702.11},
  url = {https://doi.org/10.11648/j.ijeee.20220702.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijeee.20220702.11},
  abstract = {The purpose of this study was to determine and analyze the application of the Capital Asset Pricing Modeling (CAPM) method in determining investment options in banking stocks during the global economic crisis due to the pandemic caused by the COVID-19 virus, as well as sorting out efficient and inefficient stocks throughout 2020. This is a banking company listed on the Indonesia Stock Exchange, for the period March- September 2020 and there are 44 listed companies. Samples were taken by purposive sampling technique of 20 companies using the criteria for the company with the highest assets. This research method uses linear regression analysis to determine the beta coefficient in the Capital Asset Pricing Modeling (CAPM) method and compared with the variable rate of return obtained. The results in this study indicate that there are 16 stocks of efficient banking companies with a rate of return more than the expected return and 4 stocks of inefficient banking companies that have a rate of return less than the expected return. Shares with the BRIS code have the highest return rate of 0.3125 and are comparable to a high beta value of 5.5139 and NISP code shares have the smallest return rate of -0.0146 and a low beta of 0.1199.},
 year = {2022}
}

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TY  - JOUR
T1  - Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic
AU  - Achmad Fadhoil Mz
Y1  - 2022/03/29
PY  - 2022
N1  - https://doi.org/10.11648/j.ijeee.20220702.11
DO  - 10.11648/j.ijeee.20220702.11
T2  - International Journal of Economy, Energy and Environment
JF  - International Journal of Economy, Energy and Environment
JO  - International Journal of Economy, Energy and Environment
SP  - 32
EP  - 37
PB  - Science Publishing Group
SN  - 2575-5021
UR  - https://doi.org/10.11648/j.ijeee.20220702.11
AB  - The purpose of this study was to determine and analyze the application of the Capital Asset Pricing Modeling (CAPM) method in determining investment options in banking stocks during the global economic crisis due to the pandemic caused by the COVID-19 virus, as well as sorting out efficient and inefficient stocks throughout 2020. This is a banking company listed on the Indonesia Stock Exchange, for the period March- September 2020 and there are 44 listed companies. Samples were taken by purposive sampling technique of 20 companies using the criteria for the company with the highest assets. This research method uses linear regression analysis to determine the beta coefficient in the Capital Asset Pricing Modeling (CAPM) method and compared with the variable rate of return obtained. The results in this study indicate that there are 16 stocks of efficient banking companies with a rate of return more than the expected return and 4 stocks of inefficient banking companies that have a rate of return less than the expected return. Shares with the BRIS code have the highest return rate of 0.3125 and are comparable to a high beta value of 5.5139 and NISP code shares have the smallest return rate of -0.0146 and a low beta of 0.1199.
VL  - 7
IS  - 2
ER  -

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Author Information

Achmad Fadhoil Mz

Management Economy and Business, University Islam Malang, Malang, Indonesia

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Plain Text BibTeX RIS

APA Style

Achmad Fadhoil Mz. (2022). Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic. International Journal of Economy, Energy and Environment, 7(2), 32-37. https://doi.org/10.11648/j.ijeee.20220702.11

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ACS Style

Achmad Fadhoil Mz. Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic. Int. J. Econ. Energy Environ. 2022, 7(2), 32-37. doi: 10.11648/j.ijeee.20220702.11

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AMA Style

Achmad Fadhoil Mz. Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic. Int J Econ Energy Environ. 2022;7(2):32-37. doi: 10.11648/j.ijeee.20220702.11

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@article{10.11648/j.ijeee.20220702.11,
  author = {Achmad Fadhoil Mz},
  title = {Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic},
  journal = {International Journal of Economy, Energy and Environment},
  volume = {7},
  number = {2},
  pages = {32-37},
  doi = {10.11648/j.ijeee.20220702.11},
  url = {https://doi.org/10.11648/j.ijeee.20220702.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijeee.20220702.11},
  abstract = {The purpose of this study was to determine and analyze the application of the Capital Asset Pricing Modeling (CAPM) method in determining investment options in banking stocks during the global economic crisis due to the pandemic caused by the COVID-19 virus, as well as sorting out efficient and inefficient stocks throughout 2020. This is a banking company listed on the Indonesia Stock Exchange, for the period March- September 2020 and there are 44 listed companies. Samples were taken by purposive sampling technique of 20 companies using the criteria for the company with the highest assets. This research method uses linear regression analysis to determine the beta coefficient in the Capital Asset Pricing Modeling (CAPM) method and compared with the variable rate of return obtained. The results in this study indicate that there are 16 stocks of efficient banking companies with a rate of return more than the expected return and 4 stocks of inefficient banking companies that have a rate of return less than the expected return. Shares with the BRIS code have the highest return rate of 0.3125 and are comparable to a high beta value of 5.5139 and NISP code shares have the smallest return rate of -0.0146 and a low beta of 0.1199.},
 year = {2022}
}

Copy | Download

TY  - JOUR
T1  - Application of the Capital Asset Pricing Modeling (CAPM) Method to Determine Efficient and Inefficient Stock Investment Options During the COVID-19 Pandemic
AU  - Achmad Fadhoil Mz
Y1  - 2022/03/29
PY  - 2022
N1  - https://doi.org/10.11648/j.ijeee.20220702.11
DO  - 10.11648/j.ijeee.20220702.11
T2  - International Journal of Economy, Energy and Environment
JF  - International Journal of Economy, Energy and Environment
JO  - International Journal of Economy, Energy and Environment
SP  - 32
EP  - 37
PB  - Science Publishing Group
SN  - 2575-5021
UR  - https://doi.org/10.11648/j.ijeee.20220702.11
AB  - The purpose of this study was to determine and analyze the application of the Capital Asset Pricing Modeling (CAPM) method in determining investment options in banking stocks during the global economic crisis due to the pandemic caused by the COVID-19 virus, as well as sorting out efficient and inefficient stocks throughout 2020. This is a banking company listed on the Indonesia Stock Exchange, for the period March- September 2020 and there are 44 listed companies. Samples were taken by purposive sampling technique of 20 companies using the criteria for the company with the highest assets. This research method uses linear regression analysis to determine the beta coefficient in the Capital Asset Pricing Modeling (CAPM) method and compared with the variable rate of return obtained. The results in this study indicate that there are 16 stocks of efficient banking companies with a rate of return more than the expected return and 4 stocks of inefficient banking companies that have a rate of return less than the expected return. Shares with the BRIS code have the highest return rate of 0.3125 and are comparable to a high beta value of 5.5139 and NISP code shares have the smallest return rate of -0.0146 and a low beta of 0.1199.
VL  - 7
IS  - 2
ER  -

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