COMPARATIVE ANALYSIS OF ACCURACY BETWEEN CAPITAL ASSET PRICING MODEL (CAPM) AND ARBITRAGE PRICING THEORY (APT) IN PREDICTING STOCK RETURN (CASE STUDY: MANUFACTURING COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE FOR THE 2015-2018 PERIOD)

Try Wahyuny, Tri Gunarsih

Abstract


This study aims to analyze the accuracy comparison between the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) in predicting stock return in manufacturing companies listed on the Indonesia Stock Exchange (BEI) for the period 2015 - 2018. CAPM is a model of the relationship between risk and expected return of a security or portfolio. It can be used to determine the price of a risky asset, whereas APT is an approach in determining the price of an asset that is not only based on one variable, but many variables. The variables used in this study consist of market risk premium, inflation, exchange rates (Rp / USD), interest rates, and stock returns. The method used in sampling is purposive sampling. Based on the method, 20 samples of companies with certain criteria were obtained. The data used in this study are secondary data. Secondary data collection was obtained from the Yahoo Finance website, the Bank Indonesia website, and the Ok Stock website, which includes monthly time series data on closing stock prices and the Composite Stock Price Index (CSPI), as well as monthly time series on macroeconomic variables. Data analysis in this study uses Mean Absolute Deviation (MAD) by comparing the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). The results of data calculations show that the Mean Absolute Deviation (MAD) value on the CAPM model has a value of 0.1096 and the APT model has a value of 0.3631. The smaller the value of Mean Absolute Deviation (MAD), it indicates that the regression model is more precise or accurate in predicting the dependent variable, namely stock returns. The results of data analysis show that the CAPM model is more precise or accurate than the APT model in predicting stock returns.

Keywords: CAPM, APT, Accuracy, Stock Return

 

 


Full Text:

PDF
rticle

References


Aqli, M. I. (2015). Analisis Perbandingan Keakuratan Metode Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Return Saham. Skripsi Fakultas Ekonomi dan Bisnis Islam. Semarang: Universitas Islam Negeri Walisongo.

Bank Indonesia. (2018). Laporan Inflasi (Indeks Harga Konsumen), Tingkat Suku Bunga SBI, dan Kurs Transaksi Bank Indonesia (2015-2018). Retrieved from www.bi.go.id.

Bodie, Z., Kane, A., & Marcus, A. J. (2016). Manajemen Portofolio dan Investasi. Jilid Satu. Edisi Kesembilan. Jakarta: Salemba Empat.

Boediono. (2015). Seri Sinopsis Pengantar Ilmu Ekonomi No. 2 Ekonomi Makro. Edisi Keempat. Yogyakarta: BPFE.

Brigham, E. F., & Houston, J. F. (2014). Dasar-Dasar Manajemen Keuangan. Buku Satu. Edisi Kesebelas. Jakarta: Salemba Empat.

Febriantiwi, D. M., & Ermawati, E. (2019). Perbandingan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Return Saham Industri Pertambangan di BEI. Progress Conference, 2, 305-312.

Ghozali, I. (2013). Aplikasi Analisis Multivariate dengan Program IBM SPSS 21. Semarang: Badan Penerbit Undip.

Ghozali, I. (2018). Aplikasi Analisis Multivariate dengan Program IBM SPSS 25. Semarang: Badan Penerbit Undip.

Gojali, A. (2011). Model Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Imbal Hasil Saham (Return Saham) di Bursa Efek Indonesia (BEI).

Gusni & Riantani, S. (2017). Penggunaan Arbitrage Pricing Theory untuk Menganalisis Return Saham Syariah. Ultima Management, 9(1), 68-84.

Hartono, J. (2014). Teori dan Praktik Portofolio dengan Excel. Jakarta: Salemba Empat.

Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. Edisi Kesebelas. Yogyakarta: BPFE.

Herlianto, D. (2013). Manajemen Investasi Plus Jurus Mendeteksi Investasi Bodong. Cetakan Pertama. Yogyakarta: Pustaka Baru.

Ibrahim, M.I., Titaley, J., & Manurung, T.K. (2017). Analisis Keakuratan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Expected Saham pada LQ45, Maret JdC, 6(1), 30-44.

Indonesia Stock Exchange (IDX). (2018). Nilai Kapitalisasi Terbesar Perusahaan Manufaktur. Retrieved from www.idx.co.id.

Irawan & Sanusi, A. (2017). Determinasi Faktor Keakuratan Return Saham Capital Asset Pricing Model (CAPM) dengan Arbitrage Pricing Theory (APT) Perusahaan Pertambangan di Bursa Efek Indonesia. Seminar Nasional dan Gelar Produk, Oktober, 952-963.

Juwana, C. (2014). Studi Perbandingan Metode CAPM dan APT pada Perusahaan Sektor Manufaktur yang Terdaftar di Bursa Efek Indonesia Periode 2008 – 2013.

Karim, A. (2015). Analisis Pengaruh Faktor Internal dan Eksternal terhadap Return Saham Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2010-2012. Media Ekonomi dan Manajemen, 30(1), 41-55.

Kementerian Keuangan Republik Indonesia. (2019). Asumsi Dasar Ekonomi Makro #RAPBN2018. Retrieved from www.kemenkeu.go.id.

Komaini, D.K., Mardini, R.M., & Wahono, B. (2018). Perbandingan Penerapan Model Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Return Saham (Studi Pada Perusahaan Sektor Industri Barang Konsumsi yang Terdaftar di BEI Periode 2016-2017). E-Jurnal Riset Manajemen, 163-176.

Parkin, M. (2018). Ekonomi Buku 2: Makro. Jilid Dua. Edisi Kesebelas. Jakarta: Salemba Empat.

Pramitasari, N. & Asandimitra, N. (2013). Pengaruh Risiko Pasar Terhadap Required Return Saham Aktif dan Tidak Aktif di Bursa Efek Indonesia Tahun 2008-2012. Jurnal Ilmu Manajemen, 1(3), 786-797.

Rosyidah, U. (2018). Analisis Perbandingan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Return Saham pada Perusahaan yang Terdaftar dalam Jakarta Islamic Index (JII) Periode Tahun 2015-2017. Skripsi Fakultas Ekonomi dan Bisnis Islam. Surakarta: Institut Agama Islam Negeri Surakarta.

Saham OK. (2008). Tingkat Suku Bunga (BI Rate). Retrieved from www.sahamok.com.

Sekaran, U. & Bougie, R. (2017). Metode Penelitian untuk Bisnis. Buku Satu. Edisi Keenam. Jakarta: Salemba Empat.

Suyati, S. (2015). Pengaruh Inflasi, Tingkat Suku Bunga dan Nilai Tukar Rupiah/US Dollar Terhadap Return Saham Properti yang Terdaftar di Bursa Efek Indonesia. Jurnal Ilmiah, 70-86.

Yahoo Finance. (2018). Indeks Harga Saham Gabungan (2015-2018). Retrieved from www.finance.yahoo.com.

Zubir, Z. (2011). Manajemen Portofolio Penerapannya dalam Investasi Saham. Jilid Satu. Jakarta: Salemba Empat.




DOI: https://doi.org/10.20961/aedc.v5i1.53442

Refbacks

  • There are currently no refbacks.


Copyright (c) 2021 Journal of Applied Economics in Developing Countries



Journal of Applied Economics in Developing Countries
Master of Economics and Development Studies, Faculty of Economics and Business
Universitas Sebelas Maret
Jl. Ir Sutami 36 A Surakarta, 57126 Indonesia
Telp: +62271-647481
Email: jurnalaedc@gmail.com