Memilih Sampel Dalam Pengujian Capital Assets Pricing Model Di Pasar Modal Indonesia Denganproksilq45dan Indeks Saham Atraktif Sebagai Indeks Pasar

Abstract

Research CAP.M during this time conducted in Indonesia not yet shown the result appropriate with model CA.PM theoretically. This research test by using sample of Price Index of Share ofAttractive and Price Index of Share LQ .45, in .Jakarta Stock Exchange (BEJ).Process this research use the statistical test with the test different two mean, covering alpha, beta and correlation. Result of this research showing, although have used two different proxy sample in the reality get the same result that is less support the model CA.PM theoretically. Most of all research expresses that theory or model the CA.PM still difficult to be proved although is true there is result of research supporting it. The result which supporting is only became of the certain research period in the market which efficient.Contribution of examination with the model CAPM in Jakarta Stock Exchange (BEJ), which using two different correlation proxy sample in the reality give the different result that is at the correlation between alpha and beta. This research also give the contribution at investor that if the market active and efficient they will not get abnormal return, because all investor have the same information go together internal and external emitten. So that the price that happened in Stock have mirrored actual cost.