Analisis Perbandingan Metode Capital Asset Pricing Model (CAPM) untuk Menentukan Pilihan Investasi Saham Perusahaan Perbankan dan Perusahaan Asuransi di Bursa Efek Indonesia Periode 2016 – 2020

Abstract

The purpose of this research is to determine and analyze the comparison of the Capital Asset Pricing Model (CAPM) method for determining investment options in shares of banking companies and insurance companies on the Indonesian Stock Exchange for the 2016 - 2020 period, as well as to find out which of the two company sectors is more efficient in producing returns. This research was conducted at the Index Finance Banking Company and Insurance Company on the Indonesia Stock Exchange. The population in this study is the number of shares that have entered or are still remaining during the research period with a total population of 57 company shares. The sampling technique used a purposive sampling technique, with the criteria being that shares were consistently included in the list of finance index shares during the research period with a total sample of 50 company shares. The method used in this research is a quantitative approach and by collecting secondary data obtained from the Indonesia Stock Exchange (BEI) website. This type of research is descriptive research. The research results show that the CAPM calculation analysis for index finance insurance companies has a return of 17% higher than that of banking companies. It can be seen that index finance insurance companies are able to provide the largest return of 1.7%, while banking companies are able to provide the largest return of 1.4% per month. This calculation also produces 6 efficient shares in index finance insurance companies and 28 efficient shares in banking companies which are effective investment choices.