ANALISIS CAPITAL ASSET PRICING MODEL (CAPM) DALAM PENGAMBILAN KEPUTUSAN INVESTASI SAHAM (STUDI PADA SAHAM YANG LISTING DI JAKARTA ISLAMIC INDEX PERIODE 2015-2017)

Abstract

This research aims to determine various stock investments with the Capital Asset Pricing Model
(CAPM) method, to help investors pick efficient and inefficient stock. The population in this
study are all companies listing in Jakarta Islamic Index. The sampling technique used was
purposive sampling method and acquired 16 stocks. The results show that there was positive
relationship or non linear relationship between systematic risk and expected return. There are
13 stocks included on efficient and investment decisions should be taken by investors was to
buy efficient stocks, while there are 3 stocks included on inefficient and investment decisions
should be taken by investors was to sell inefficient stocks.

Keywords: Capital Asset Pricing Model (CAPM), Systematic Risk, Investment Decisions