Research Article
BibTex RIS Cite

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

Year 2023, Volume: 5 Issue: 1, 1 - 15, 31.03.2023
https://doi.org/10.54821/uiecd.1242635

Abstract

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.

References

  • Akpo, E. S., Hassan, S., & Esuike, B. U. (2015). Reconciling the arbitrage pricing theory (APT) and the capital asset pricing model (CAPM) institutional and theoretical framework. International Journal of Development and Economic Sustainability, 3(6), 17-23.
  • Alwi, M., Ali, M., & Rahim, F. R. (2022). Analysis of investment risk and return. Hasanuddin Journal of Business Strategy, 4(1), 73-84.
  • Brealey, R., Myers, S. C., & Allen, F. (2009). Principles of corporate finance. Moscow: Olimp-Bisnes.
  • Chiang, T. C., & Zhang, Y. (2018). An empirical investigation of risk-return relations in Chinese equity markets: Evidence from aggregate and sectoral data. International Journal of Financial Studies, 6(2), 35.
  • Czekierda, B. (2007). The Capital asset pricing model: Test of the model on the Warsaw Stock Exchange.
  • Fabinu, I. B., Makinde, K. O., & Folorunso, A. O. (2017). Empirical analysis of capital assets pricing model (CAPM) as a tool for valuation of a company’s returns. Net Journal of Business Management, 5(2), 30-40.
  • Giva, S. I. (2015). The relationship between risk and return for firms listed at the Nairobi securities exchange (Doctoral dissertation, University of Nairobi).
  • Hasan, M. Z., Kamil, A. A., Mustafa, A., & Baten, M. A. (2012). Relationship between risk and expected returns: Evidence from the dhaka stock exchange. Procedia Economics and Finance, 2, 1-8.
  • Hasan, N., Pelleng, F. A., & Mangindaan, J. V. (2019). Analisis capital asset pricing model (CAPM) sebagai dasar pengambilan keputusan berinvestasi saham (Studi pada Indeks Bisnis-27 di Bursa Efek Indonesia). Jurnal Administrasi Bisnis (JAB), 8(1), 36-43.
  • Hongkong, H. (2017). The effect of earning per share and return on equity on stock price (study on listed banks). Accountability, 6(2), 20-25.
  • Husein, F., & Hasanah, S. M. (2017). Determining the optimum portfolio of Sharia stocks using an approach of Shariah compliant asset pricing model (SCAPM). Journal of Economics, Business & Accountancy Ventura, 19(3), 349.
  • Husnan, F., & Creativity, J. (2015). Buku pintar bisnis online. Elex Media Komputindo.
  • Ibrahim, M. I., Titaley, J., & Manurung, T. (2017). Analisis keakuratan capital asset pricing model (CAPM) dan arbitrage pricing theory (APT) dalam memprediksi expected saham pada LQ45. d'CARTESIAN: Jurnal Matematika dan Aplikasi, 6(1), 30-44.
  • Jamil, P. C. (2018). Analisis Market Return di Indonesia. Jurnal Ekonomi KIAT, 29(1), 61-65.
  • Maharani, N. D. (2021). Analisis capital asset pricing model (CAPM) terhadap keputusan investasi (Studi pada perusahaan yang tergabung Di Idx30 Periode 1 Februari 2017-31 Januari 2020) (Doctoral dissertation, Universitas Brawijaya).
  • Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151-158.
  • Markowski, L. (2020). Further evidence on the validity of CAPM: The Warsaw Stock Exchange application. Journal of Economics and Management, 39(1), 82-104.
  • Nadyayani, D. A. D., & Suarjaya, A. A. G. (2021). The effect of profitability on stock return. American Journal of Humanities and Social Sciences Research (AJHSSR), 5(1), 695-703.
  • Nurhan, Y. P., Hutabarat, F. M., & Nadine, V. (2017). Capital asset pricing model analysis in determining risk and return of companies listed at Jakarta Islamic Index (JII) of Indonesia Stock Exchange. IMC 2016 Proceedings, 1(1).
  • O’Neill, M. (2021). The validity of the capital asset pricing model, in the Modern Irish Market (Doctoral dissertation, Dublin, National College of Ireland).
  • Pacho, F. (2014). Capital Asset Pricing Model (CAPM) testability and its validity in stock market: Evidence from previous literatures. Research Journal of Finance and Accounting, 5(21), 2222-1697.
  • Pham, T. (2021). Testing the validity of the capital asset pricing model with empirical evidence from the London Stock Exchange, in the period of 2012-2020: an examination of the validity of the capital asset pricing model in the UK financial market and the potential impact of size, value and momentum risk factors.
  • Pramono, E. S., Rudianto, D., Siboro, F., Baqi, M. P. A., & Julianingsih, D. (2022). Analysis investor index Indonesia with capital asset pricing model (CAPM). Aptisi Transactions on Technopreneurship (ATT), 4(1), 35-46.
  • Rammadhan, M. R. (2020). Analisis keakuratan dari capital asset pricing model (CAPM) dan arbitrage pricing theory (APT) dalam memprediksi return saham pada perusahaan sektor perbankan di Bursa Efek Indonesia Tahun 2015-2018.
  • Rasyad, M. I. (2022). Analysis of capital asset pricing model (CAPM) on health sector stocks as a growing sector during the pandemic. Jurnal Ilmiah Econosains, 20(1), 13-22.
  • Rui, K. X., Rasiah, D., Yen, Y. Y., Ramasamy, S., & Pillay, S. D. (2018). An analysis of the relationship between risk and expected return in Malaysia stock market: Test of the CAPM. International Journal of Engineering & Technology, 3(21), 161-170.
  • Sartono, R. A. (2005). Trading behavior and asset pricing under heterogeneous expectations. Gadjah Mada International Journal of Business, 7(1).
  • Suryanarayana, P. S. (2021). China–India rivalry: The Saga of game changers. East Asian Policy, 13(02), 5-18.
  • Tlemsani, I., Alkhaldi, A., Aljeshi, B., Alluwaimi, I., & Alrayes, J. (2020). Analysis of the capital asset pricing model: Application to general electric performance. Theoretical Economics Letters, 10(05), 1103.
  • Wahyuny, T., & Gunarsih, T. (2020). 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). Journal of Applied Economics in Developing Countries, 5(1), 23-30.
  • Widianingsih, Y. P. N. (2019). Analysis of capital asset pricing model according to Shariah principle: Indonesian evidence. International Journal of Economics, Business and Accounting Research (IJEBAR), 3(03).

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

Year 2023, Volume: 5 Issue: 1, 1 - 15, 31.03.2023
https://doi.org/10.54821/uiecd.1242635

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.

References

  • Akpo, E. S., Hassan, S., & Esuike, B. U. (2015). Reconciling the arbitrage pricing theory (APT) and the capital asset pricing model (CAPM) institutional and theoretical framework. International Journal of Development and Economic Sustainability, 3(6), 17-23.
  • Alwi, M., Ali, M., & Rahim, F. R. (2022). Analysis of investment risk and return. Hasanuddin Journal of Business Strategy, 4(1), 73-84.
  • Brealey, R., Myers, S. C., & Allen, F. (2009). Principles of corporate finance. Moscow: Olimp-Bisnes.
  • Chiang, T. C., & Zhang, Y. (2018). An empirical investigation of risk-return relations in Chinese equity markets: Evidence from aggregate and sectoral data. International Journal of Financial Studies, 6(2), 35.
  • Czekierda, B. (2007). The Capital asset pricing model: Test of the model on the Warsaw Stock Exchange.
  • Fabinu, I. B., Makinde, K. O., & Folorunso, A. O. (2017). Empirical analysis of capital assets pricing model (CAPM) as a tool for valuation of a company’s returns. Net Journal of Business Management, 5(2), 30-40.
  • Giva, S. I. (2015). The relationship between risk and return for firms listed at the Nairobi securities exchange (Doctoral dissertation, University of Nairobi).
  • Hasan, M. Z., Kamil, A. A., Mustafa, A., & Baten, M. A. (2012). Relationship between risk and expected returns: Evidence from the dhaka stock exchange. Procedia Economics and Finance, 2, 1-8.
  • Hasan, N., Pelleng, F. A., & Mangindaan, J. V. (2019). Analisis capital asset pricing model (CAPM) sebagai dasar pengambilan keputusan berinvestasi saham (Studi pada Indeks Bisnis-27 di Bursa Efek Indonesia). Jurnal Administrasi Bisnis (JAB), 8(1), 36-43.
  • Hongkong, H. (2017). The effect of earning per share and return on equity on stock price (study on listed banks). Accountability, 6(2), 20-25.
  • Husein, F., & Hasanah, S. M. (2017). Determining the optimum portfolio of Sharia stocks using an approach of Shariah compliant asset pricing model (SCAPM). Journal of Economics, Business & Accountancy Ventura, 19(3), 349.
  • Husnan, F., & Creativity, J. (2015). Buku pintar bisnis online. Elex Media Komputindo.
  • Ibrahim, M. I., Titaley, J., & Manurung, T. (2017). Analisis keakuratan capital asset pricing model (CAPM) dan arbitrage pricing theory (APT) dalam memprediksi expected saham pada LQ45. d'CARTESIAN: Jurnal Matematika dan Aplikasi, 6(1), 30-44.
  • Jamil, P. C. (2018). Analisis Market Return di Indonesia. Jurnal Ekonomi KIAT, 29(1), 61-65.
  • Maharani, N. D. (2021). Analisis capital asset pricing model (CAPM) terhadap keputusan investasi (Studi pada perusahaan yang tergabung Di Idx30 Periode 1 Februari 2017-31 Januari 2020) (Doctoral dissertation, Universitas Brawijaya).
  • Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151-158.
  • Markowski, L. (2020). Further evidence on the validity of CAPM: The Warsaw Stock Exchange application. Journal of Economics and Management, 39(1), 82-104.
  • Nadyayani, D. A. D., & Suarjaya, A. A. G. (2021). The effect of profitability on stock return. American Journal of Humanities and Social Sciences Research (AJHSSR), 5(1), 695-703.
  • Nurhan, Y. P., Hutabarat, F. M., & Nadine, V. (2017). Capital asset pricing model analysis in determining risk and return of companies listed at Jakarta Islamic Index (JII) of Indonesia Stock Exchange. IMC 2016 Proceedings, 1(1).
  • O’Neill, M. (2021). The validity of the capital asset pricing model, in the Modern Irish Market (Doctoral dissertation, Dublin, National College of Ireland).
  • Pacho, F. (2014). Capital Asset Pricing Model (CAPM) testability and its validity in stock market: Evidence from previous literatures. Research Journal of Finance and Accounting, 5(21), 2222-1697.
  • Pham, T. (2021). Testing the validity of the capital asset pricing model with empirical evidence from the London Stock Exchange, in the period of 2012-2020: an examination of the validity of the capital asset pricing model in the UK financial market and the potential impact of size, value and momentum risk factors.
  • Pramono, E. S., Rudianto, D., Siboro, F., Baqi, M. P. A., & Julianingsih, D. (2022). Analysis investor index Indonesia with capital asset pricing model (CAPM). Aptisi Transactions on Technopreneurship (ATT), 4(1), 35-46.
  • Rammadhan, M. R. (2020). Analisis keakuratan dari capital asset pricing model (CAPM) dan arbitrage pricing theory (APT) dalam memprediksi return saham pada perusahaan sektor perbankan di Bursa Efek Indonesia Tahun 2015-2018.
  • Rasyad, M. I. (2022). Analysis of capital asset pricing model (CAPM) on health sector stocks as a growing sector during the pandemic. Jurnal Ilmiah Econosains, 20(1), 13-22.
  • Rui, K. X., Rasiah, D., Yen, Y. Y., Ramasamy, S., & Pillay, S. D. (2018). An analysis of the relationship between risk and expected return in Malaysia stock market: Test of the CAPM. International Journal of Engineering & Technology, 3(21), 161-170.
  • Sartono, R. A. (2005). Trading behavior and asset pricing under heterogeneous expectations. Gadjah Mada International Journal of Business, 7(1).
  • Suryanarayana, P. S. (2021). China–India rivalry: The Saga of game changers. East Asian Policy, 13(02), 5-18.
  • Tlemsani, I., Alkhaldi, A., Aljeshi, B., Alluwaimi, I., & Alrayes, J. (2020). Analysis of the capital asset pricing model: Application to general electric performance. Theoretical Economics Letters, 10(05), 1103.
  • Wahyuny, T., & Gunarsih, T. (2020). 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). Journal of Applied Economics in Developing Countries, 5(1), 23-30.
  • Widianingsih, Y. P. N. (2019). Analysis of capital asset pricing model according to Shariah principle: Indonesian evidence. International Journal of Economics, Business and Accounting Research (IJEBAR), 3(03).
There are 31 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Research Articles
Authors

Rosdiana Rosdiana

Publication Date March 31, 2023
Published in Issue Year 2023 Volume: 5 Issue: 1

Cite

APA Rosdiana, R. (2023). Analysis of Capital Asset Pricing Models: Evidence from the Bank Sector on the Indonesia Stock Exchange (IDX). International Journal of Business and Economic Studies, 5(1), 1-15. https://doi.org/10.54821/uiecd.1242635


28007

BES JOURNAL-International Journal of Business and Economic Studies is licensed with Creavtive Commons (CC) Attribution 4.0 International Licence (CC BY 4.0).