标题：THE USE OF CAPM METHOD IN ASSESSING STOCK RISK AND RETURN TO DEFINING INVESTMENT CHOICE IN JAKARTA ISLAMIC INDEX STOCK FOR PERIOD OF JANUARY 2004 – DECEMBER 2008 IN INDONESIA STOCK EXCHANGE
摘要：Keyword: Key words: Risk, Return, Beta, CAPM, Investment, JII StocksAbstrack:ABSTRACT:To form portfolio efficient stock, we shall have knowledge how risk which must be accounted and how big the return is obtained after accounting the risk. Method Capital Assets Pricing Models (CAPM) applicable to analyze risk and return stock. This research aims to analyze the calculation of CAPM in value of risk and return and choice invests best at JII stocks. Data which is used to in this research is secondary data in the form of closing price monthly stock (monthly closing price), JII Price Index and interest rate monthly SBI. All data is calculated with CAPM method, tested by hypotheses by using of simple linear regression analysis and is processed by using of SPSS 17. Research sample consists of 9 JII stocks entering by continue in stock list JII time line 2004-2008, they are ANTM stock, BUMI, INTP, INCO, KLBF, TBBA, TLKM, UNVR, and UNTR. Node result of research is there 5 aggressive stock that is INCO, TBBA, UNTR, ANTM, BUMI, and INTP ; 6 stock having excess positive return that is ANTM, BUMI, INTP, INCO, TBBA, and UNTR ; and there are 6 stock (almost entirely) which having correlation positive linear and ß significant that is ANTM, BUMI, INCO, TBBA, TLKM, UNTR. Choice of best investment is performed by INCO stock, TBBA, UNTR, ANTAM, BUMI, INTP, KLBF, TLKM, UNVR.
