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Abstract
Investment in the capital market generally has a higher rate of return compared to investing in the financial market. Investors sometimes get difficulty in determining which stocks will produce a large return with a small risk. The method used to describe the application of CAPM in this research is done by grouping the efficient, yet inefficient stocks of the banking sector based on the CAPM method. The method in the sample selection was a purposive sample method and obtained 40 banking sector companies listed on the Indonesia Stock Exchange (IDX) during the period of August 2016 - July 2018. The results of this study indicate that there are 31 efficient stocks out of 40 stocks in banking sector. It can be seen that there are 31 banking stocks with a positive average rate of returns and 9 banking stocks with a negative average rate of returns. Meanwhile, the implication of this study is that banking sector shares have efficient shares, since the average rate of return is higher than the expected returns.
Highlights
Investment is one of the places that many people are interested in getting fund in the future
The form of financial investments in the money market can be described as certificates of deposit and money market securities, financial investments in the capital market can be in the form of bonds, warrants, mutual funds, options, futures, and stocks (Yulianti, 2014)
The method being used in this research is Capital Asset Pricing Model (CAPM) which is to see the relevant returns and risks, and to find an expected return on the asset if the capital market is equal (Tandelilin, 2010)
Summary
Investment is one of the places that many people are interested in getting fund in the future. An investor's accuracy in finding information and processing information is very necessary because it will be used as a decision-making tool for investing that will determine how much profit will be gained in the future (Putra, 2013). Growing investment is not released from the risk, potential investor should be capable of their insight, explore information or see investments that will be profitable in the future. Real asset investment is investment in the form of physical tangible asset, while financial investments are investments in the form of securities/ securities which is conducted in money market and capital market. The form of financial investments in the money market can be described as certificates of deposit and money market securities, financial investments in the capital market can be in the form of bonds, warrants, mutual funds, options, futures, and stocks (Yulianti, 2014)
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