PENGUJIAN CAPITAL ASSET PRICING MODEL (CAPM) DALAM MENILAI RISIKO DAN RETURN SAHAM JAKARTA ISLAMIC INDEX (JII) DENGAN TWO PASS REGRESSION

Abstract

The aim of this research is to investigate the validity of Capital Asset Pricing Model (CAPM) in assessing risk and return of Sharia stock in JII during 2014-2016. The samples are 18 companies obtained by purposive sampling. This research uses quantitative approach with two pass regression method. The result of empirical testing explains that CAPM is not accurate because one of the CAPM assumption is unfulfilled that the beta value is negative and not significant to the expected return. This results fail to confirm linear and positive relation between beta and the expected return such in the CAPM theory. The overall results demonstrate that the CAPM is not accurate particularly on JII sharia stocks during the observation period