Sermaye Varlıkları Fiyatlama Modellerinin Analizi: Endonezya Menkul Kıymetler Borsası (IDX) Bankacılık Sektöründen Kanıt

Öz

Son yıllarda, Dijital ekonominin gelişimi giderek daha fazla ilerlemekte ve bankalar için yeni riskler yaratmaktadır. Bu nedenle birçok bankacılık şubesi nihayetinde kapanmak zorunda kalan işlevlerindeki bir azalış yaşadı ve ve yatırımcıların alacağı getiri oranını etkilenmiştir. Bu araştırmanın amacı, finans endüstride olan bankacılık sektörünün IDX üzerindeki risk ve getirisini analiz etmek, verimli ve verimsiz hisse senetlerini bulmak ve yatırımcılara en yüksek yatırım getirisini sağlayabilecek hisse senetlerini analiz etmektir. Bu araştırma türü, ikincil verilerden, yani Endonezya Menkul Kıymetler Borsası'ndaki (IDX) hisse senetlerine ilişkin kapanış fiyatı verilerinden kaynaklanan nicel araştırmadır. Özellikle amaçlı örneklem ile Şubat 2019 - Ağustos 2022 dönemi için Endonezya Borsasında işlem gören tesadüfi olmayan örneklem kullanarak 43 bankanın verileri kullanılmıştır. Kullanılan analitik araç, Sermaye Varlık Fiyatlandırma Modeli'dir (CAPM). Sonuçlar, araştırma örneklemi olarak kullanılan finans endüstride olan 43 banka β_i değeri < 1 olan 18 hisse senedi ve β_i değeri > 1 olan 25 hisse senedi olduğunu göstermiştir. Woori Saudara Indonesia 1906 Tbk (SDRA) bankasının hisseleri en düşük E(r_i) ile en küçük β_i değerine sahip hisse senetleridir ve Bank Rakyat Indonesia Tbk (AGRO) hisseleri en yüksek β_i değerine ve en büyük E(r_i) sahip hisselerdir. Etkin ve etkin olmayan hisse senetleri incelendiğinde, etkin hisse sayısının 28 adet, etkin olmayan hisse sayısının ise 15 adet hisse olduğu görülmektedir. 28 etkin hisse senedinden Bank Jago Tbk (ARTO) hissesi diğer hisse senetlerine göre en çok getiri sağlayan (%0,20280 veya %20,28) hissedir.

Anahtar Kelimeler

• Risk
• Getiri
• Sermaye Varlıkları Fiyatlama Modeli

Analysis of Capital Asset Pricing Models: Evidence from the Bank Sector on the Indonesia Stock Exchange (IDX)

Abstract

In recent years, The development of the digital economy is increasingly advanced, creating new risks for banks because many banking branch offices have experienced a decline in their functionality which eventually had to be closed and had an impact on the rate of return that investors will receive. The objective of this research is to analyze the risk and return of the banking sector financial industry on the IDX, to find out efficient and inefficient stocks and to analyze stocks that can provide the greatest return on investment to investors. This type of research is quantitative research originating from secondary data, namely closing price data on stocks on the Indonesian Stock Exchange (IDX). The number of samples used was 43 banks which were taken using a non-probability sampling technique, especially purposive sampling which was listed on the Indonesia Stock Exchange for the period February 2019 to August 2022. The analytical tool used was the Capital Asset Pricing Model (CAPM). The results showed that of the 43 bank financial sector industries that were used as research samples, there were 18 stocks with a β_i value < 1 and 25 stocks with a β_i value > 1. Shares of the bank Woori Saudara Indonesia 1906 Tbk (SDRA) are stocks that have the smallest β_i value with The lowest E(r_i) and shares of Bank Rakyat Indonesia Tbk (AGRO) are the shares that have the highest β_i value with the largest E(r_i). Analysis of efficient and inefficient stocks shows that the number of efficient shares is 28 shares and the number of shares that are inefficient is as much as 15 shares. Of the 28 efficient stocks, Bank Jago Tbk (ARTO) shares are the ones that provide the most profit, namely 0.20280 or 20.28% when compared to other stocks.

Keywords

• Risk
• Return
• Capital Asset Pricing Models

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