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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

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), 2022. Published by Science Publishing Group

Keywords

Risk, CAPM, Return, Efficient Stocks, Inefficient Stocks

References
[1] https://m.bisnis.com/amp/read/20200329/55/1219348/strategi-investasi-di-tengah-pandemi-virus-corona (accessed January 21, 2021).
[2] Sartono Agus. 2001. Financial Management Theory and Applications Fourth Edition. Yogyakarta: BPFE.
[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.
[10] Kayo, Edison Sutan. 2020. IDX bank sub-sector. https://www.sahamok.net/emiten/sector-finance/sub-sector-bank/ (accessed December 17, 2020).
[11] https://www.idx.co.id/ (accessed December 17, 2020)
[12] https://www.bi.go.id/ (accessed on December 17, 2020).
[13] https://finance.yahoo.com/ (accessed December 17 and 19, 2020)
Cite This Article
  • 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
  • Management Economy and Business, University Islam Malang, Malang, Indonesia

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