标题：CAPM METHOD IN ASSESSING RISK AND RETURN OF SHARES TO DETERMINE INVEST IN SHARE OPTIONS JAKARTA ISLAMIC INDEX PERIOD JANUARY 2004-DECEMBER 2008 STOCK EXCHANGE IN INDONESIA
摘要：Keywords: Risk, Return, Beta, CAPM, Investment, JII Stocks ABSTRACT To form portfolio efficient stock, we shall have knowledge how risk which must be accounted and how big return which can we obtain after accounting the risk. Method Capital Assets Pricing Models (CAPM) applicable to analyze risk and return stock. This research aim to analyze calculation 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 stock entering by continues in stock list JII time line 2004-2008, that is 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 β 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, and UNVR.
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