Afirsta Dyah Mega Safitri, NIM.: 18108030063 (2024) ANALISIS PERBANDINGAN KEAKURATAN CAPM DAN APT DALAM MEMPREDIKSI RETURN SAHAM PERUSAHAAN YANG TERDAFTAR DALAM INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2018- 2022. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.
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Text (ANALISIS PERBANDINGAN KEAKURATAN CAPM DAN APT DALAM MEMPREDIKSI RETURN SAHAM PERUSAHAAN YANG TERDAFTAR DALAM INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2018- 2022)
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Text (ANALISIS PERBANDINGAN KEAKURATAN CAPM DAN APT DALAM MEMPREDIKSI RETURN SAHAM PERUSAHAAN YANG TERDAFTAR DALAM INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2018- 2022)
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Abstract
This study aims to analyze the comparison of the accuracy of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting the stock returns of companies listed in the Islamic Stock Index (ISSI) for the period 2018-2022. The CAPM method uses market return (Rm), risk-free asset return (Rf), and beta (β) variables. While the APT method uses variables of inflation, Gross Domestic Product (GDP), foreign exchange rates, and unemployment rates. The method used in this research is quantitative method. The data used in this research is secondary data. The population in this study was 469 and the number of research samples was 16 companies selected by purposive sampling method. The data analysis techniques used are descriptive analysis, Mean Absolute Deviation (MAD) test, normality test, and Paired T-Test test. Based on the MAD calculation results, the CAPM method is more accurate than APT in predicting stock returns. Paired T-Test results show that there is a significant difference between CAPM and APT in predicting stock returns. The results of this study are expected to be considered by investors in making investment decisions and can become new literacy for further research.
Item Type: | Thesis (Skripsi) |
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Additional Information: | Pembimbing: Dr. H. Darmawan, S. Pd., MAB., CFRM |
Uncontrolled Keywords: | Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), Return Saham |
Subjects: | 600 Sains Terapan > 650 Business/Bisnis > 658.15 Manajemen Keuangan |
Divisions: | Fakultas Ekonomi dan Bisnis Islam > Manajemen Keuangan Syariah (S1) |
Depositing User: | Muh Khabib, SIP. |
Date Deposited: | 19 Aug 2024 08:34 |
Last Modified: | 19 Aug 2024 08:34 |
URI: | http://digilib.uin-suka.ac.id/id/eprint/66586 |
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