Analisis Portofolio Optimal Dengan Model CAPM Pada Saham-Saham Syariah Jakarta Islamic Index (JII) Tahun 2017-2020

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Muhammad Firliansyah Alqiha
Galuh Lindra Lazuardi Imani

Abstract

This study aims to analyze individual stock returns (Ri), systematic risk (βi), expected returns and the comparison of individual stock returns (Ri) with expected returns using the Capital Assets Pricing Model (CAPM) method on stocks that are included in the Jakarta Islamic Index for the 2017-2020 period. The research methodology used is a qualitative descriptive research method with a case study approach, namely on stocks belonging to the Jakarta Islamic Index group for the 2017-2020 period through an analysis of the Capital Assets Pricing Model (CAPM) method as the basis for making decisions. Investation decision. The type of data used in conducting this research is panel data (Time Series) for the period 2017 to 2020. The source of the data used comes from secondary data that has been published and issued by the Indonesia Stock Exchange and Bank Indonesia, namely Price Index data. Joint Stock (JCI), Share Price and Bank Indonesia Certificates. The results of this study indicate that stock beta has a significant effect on stock returns. The higher the risk (βi), the higher the stock return. Associated with the CAPM theory that beta is a company's measure of beta. The results of this study indicate individual stock returns, systematic risk and a comparison of individual returns expected by investors on stocks included in the JII index for the 2017-2020 period

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