Analysis of the Capital Asset Pricing Model (CAPM) Method to Determine Investment Options in LQ45 Stocks on the Indonesia Stock Exchange (IDX) for the 2019-2023 Period

Dwi Aris Setyawan, Mutamimah Mutamimah

Abstract


Stock valuation is a crucial component of investment analysis, helping investors make informed decisions amid fluctuating market conditions. Despite its popularity, the Capital Asset Pricing Model (CAPM) often yields inconsistent results in practice, especially in emerging markets such as Indonesia. Previous studies have not sufficiently addressed how effectively CAPM distinguishes undervalued and overvalued stocks in the LQ45 Index, which comprises high-capitalization and liquid stocks on the Indonesia Stock Exchange (IDX). This study aims to assess the performance of CAPM in identifying mispriced stocks and guiding portfolio decisions. A total of 23 stocks were selected from the LQ45 Index based on their consistent inclusion from 2019 to 2023 and complete data availability. The analysis utilizes daily closing stock prices, the Jakarta Composite Index (JCI) as a market proxy, and the Bank Indonesia 7-Day Reverse Repo Rate as the risk-free rate. The results reveal six undervalued stocks: PT Aneka Tambang Tbk (ANTM), PT Bank Rakyat Indonesia (Persero) Tbk (BBRI), PT Bank Mandiri (Persero) Tbk (BMRI), PT XL Axiata Tbk (EXCL), PT Hanjaya Mandala Sampoerna Tbk (HMSP), and PT Media Nusantara Citra Tbk (MNCN). Meanwhile, 17 stocks are categorized as overvalued, including PT Adaro Energy Indonesia Tbk (ADRO), PT Astra International Tbk (ASII), PT Bank Central Asia Tbk (BBCA), PT Indofood CBP Sukses Makmur Tbk (ICBP), and others. These findings confirm that CAPM remains a useful tool in valuing stocks and shaping rational investment strategies. The study contributes to a better understanding of CAPM’s empirical relevance in emerging capital markets and provides practical insights for investors and financial analysts.


Keywords


Capital Asset Pricing Model; stock valuation, LQ45 Index; investment strategy; Indonesian capital market

Full Text:

PDF

References


Adriani, A., & Nurjihan, L. (2020). Earning Per Share, Sinyal Positif Bagi Investor Saham Syariah? Proceeding of National Conference on Accounting & Finance, 2, 47–59. https://doi.org/10.20885/ncaf.vol2.art5

Annisa, N., Fitri, N., & Parina, I. (2019). Dampak Pandemi Covid-19 Terhadap Pasar Modal Di Indonesia: Studi Kasus Index Lq45. Research In Accounting Journal, 2(3), 342–348. http://journal.yrpipku.com/index.php/raj%7C

Antoro, W., & Muchlis. (2024). PENILAIAN HARGA SAHAM WAJAR PT BANK XYZ DENGAN MENGGUNAKAN METODE DISCOUNTED EARNING APPROACH DAN. Jurnal of Accounting, Management, And Islamic Economy, 02(02), 783–802.

Arifin, B., & Rudianto, D. (2024). Portfolio Optimization Using The Capital Asset Pricing Model ( CAPM ) And Multi Index Model In LQ45 Companies. Jurnal Scientia, 13(03), 1107–1117.

Citra Asmara, T., Desmintari, D., & Arrafi Juliannisa, I. (2022). Faktor–Faktor yang Mempengaruhi Indeks Harga Saham Gabungan. Jurnal Indonesia Sosial Sains, 3(05), 822–834. https://doi.org/10.59141/jiss.v3i05.590

Dewi Lubis, P. K., Br Silalahi, H. H., Fitria Sinaga, A., Nidia Sapma, P., & Sitio, V. (2024). Pasar Modal Dan Pengaruhnya Terhadap Perekonomian Di Indonesia. JAKA (Jurnal Akuntansi, Keuangan, Dan Auditing), 5(1), 196–214. https://doi.org/10.56696/jaka.v5i1.10755

Fadilah, I. N., Sumarsih, E., & Java, W. (2023). Menentukan Keputusan Investasi Saham Pada Perusahaan Sektor Pertanian (Pendekatan Metode Capital Asset Pricing Model (CAPM). Agrisep, 22(1), 49–70. https://doi.org/10.31186/jagrisep.17.2.49-70

Gracia Nazaretha Nauli br Silitonga, & Aziz, A. (2023). Analisis Portofolio Optimal Model Capm Dalam Pengambilan Keputusan Investasi Saham Pada Idxq30. Media Mahardhika, 22(1), 125–137. https://doi.org/10.29062/mahardika.v22i1.802

Habis, H. (2024). A three-period extension of the CAPM. Journal of Economic Studies, 51(9), 200–211. https://doi.org/10.1108/JES-11-2023-0640

Indonesia, K. S. E. (2023). Siaran Pers Antusiasme Antusiasme Investor Muda Berinvestasi Terus Meningkat. https://www.ksei.co.id/files/uploads/press_releases/press_file/id-id/232_berita_pers_antusiasme_investor_muda_berinvestasi_terus_meningkat_20231031134735.pdf

Jumintang, F., & Utami, K. (2022). Analysis of efficient market anomaly on stock returns on Indonesia’s composite stock price index and global stock price index. International Journal of Business Ecosystem & Strategy (2687-2293), 4(1), 57–67. https://doi.org/10.36096/ijbes.v4i1.309

Kusumaningrum, N., Gustirina, S., & Andini, Y. (2024). Eco-Iqtishodi Eco-Iqtishodi. Jurnal Ilmiah Ekonomi Dan Keuangan Syariah, 6(1), 100–114.

Marcella Trianita Abur, Salija Ridayati, Rr Jihan Faadhilah Yuwandono, & Maria Yovita R. Pandin. (2023). Analysis of the Use of CAPM in Investing Decisions in the Financial Sector Listed on the IDX for the Period 2020 – 2022. Finance : International Journal of Management Finance, 1(2), 1–10. https://doi.org/10.62017/finance.v1i2.10

Nur, R. I., Alimuddin, & Usman, A. (2024). Analysis of Stock Portfolio Performance Optimization Using the Mean Absolute Deviation Model, Single Index Model, and Capital Asset Pricing Model (Issue Icame 2023). Atlantis Press International BV. https://doi.org/10.2991/978-94-6463-400-6_42

Oktavioni, Y. (2018). Analisis Return Saham Sebelum Dan Sesudah Merger Dan Akuisisi Pada Perusahaan Akuisitor Yang Terdaftar Di Bei Periode 2012-2016. 10(2021), 1–80.

Pooja, R., Kayal, P., & Maiti, M. (2024). Enhancing portfolio decision-making: a capital asset pricing model-based clustering analysis. Journal of Economic Studies, 51(9), 358–379. https://doi.org/10.1108/JES-08-2024-0573

Soraya, D., Vidiati, C., Selasi, D., Pratama, G., Studi, P., Syariah, E., Ekonomi, F., & Islam, B. (2023). Peran Aplikasi Digital Investasi Saham Terhadap Pertumbuhan Ekonomi Di Indonesia 2022. Bridging: Journal of Islamic Digital Economic and Management, 1(1), 250–255.

Sudiarti, S., & Doni, ; (2024). Capital Asset Pricing Model Analysis (Capm) in Stock Investment Decision Making. Archipelago Of Journal Management Business (NUMABI), 1(2), 31–40. http://journal.nusantara.ac.id/numabi

Suhandi. (2024). STOCK PORTFOLIO ANALYSIS USING THE CAPITAL ASSET PRICING. Indonesian Interdisciplinary Journal of Sharia Economics, 7(3), 8292–8309.

Urwah, K. N., Farida, I., & Faozi, A. Z. (2024). Analisis Capital Asset Pricing Model (CAPM): Dasar Pengambilan Keputusan Investasi Saham pada Perusahaan Sektor Perbankan. Owner: Riset Dan Jurnal Akuntansi, 8(1), 333–344. https://doi.org/10.33395/owner.v8i1.1850

Yang, J. (2025). Exploration of Remaining Issues in Capital Asset Pricing Model: Hypothesis Bias and Effectiveness of Variables. Advances in Economics, Management and Political Sciences, 174(1), 101–106. https://doi.org/10.54254/2754-1169/2025.21841

Ye, J. (2025). Systematic Risk and Idiosyncratic Risk: Their Application in the Capital Asset Pricing Model and Modern Portfolio Theory. Advances in Economics, Management and Political Sciences, 184(1), 103–108. https://doi.org/10.54254/2754-1169/2025.bl23217




DOI: http://dx.doi.org/10.30659/jamr.6.1.70-88

Refbacks

  • There are currently no refbacks.


Copyright (c) 2025 Dwi Aris Setyawan, Mutamimah

Journal of Advanced Multidisciplinary Research (JAMR) is published by Research and Community Service Department (LPPM) Universitas Islam Sultan Agung Semarang, Indonesia.

Address: Jl. Kaligawe Raya Km. 4 Semarang, Indonesia.