PORTOFOLIO CAPM ATAU MODEL BLACK LITTERMAN ? (STUDI PADA PERUSAHAAN INDEKS LQ45 PERIODE 2017-2018)

  • Endra Wahyu Ningdiyah Sekolah Tinggi Ilmu Ekonomi Indonesia Surabaya
  • Wahidahwati Wahidahwati Sekolah Tinggi Ilmu Ekonomi Indonesia Surabaya
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Abstract

This study aims to determine the difference in the expected return portfolio value between the CAPM model and the Black Litterman model as a determinant of investment decision making. This research uses a quantitative research approach. The population and sample are 35 stocks that are consistently included in the LQ-45 Index for the 2017-2018 period. To determine whether or not there is a difference between the expected return value of the CAPM model stock portfolio and the expected return value of the Black Litterman model stock portfolio. Then testing the hypothesis using the Independent T-Test test. Where the calculation of the hypothesis uses the help of the PASW Statistic 18 program. Based on the calculation of the data, the results of this study are obtained that there are 18 stocks included in the CAPM portfolio and 12 stocks included in the Black Litterman portfolio. Based on the hypothesis test using the Paired Sample T-test, it shows that there is a difference in the Expected Return portfolio between the CAPM and Black Litterman methods when the portfolio is optimal.


Penelitian ini bertujuan untuk mengetahui perbedaan nilai expected return potofolio antara model CAPM dengan model Black Litterman sebagai penentu pengambilan keputusan investasi. Penenlitian Ini menggunakan pendekatan penelitian kuantitatif. Populasi dan Sampel yaitu 35 Saham yang konsisten masuk dalam Indeks LQ-45 periode 2017-2018. Untuk mengetahui adanya perbedaan atau tidak antara nilai expected return portofolio saham model CAPM dengan nilai expected return portofolio saham model Black Litterman. Maka pengujian hipotesisnya menggunakan uji Independent T-Test. Dimana perhitungan hipotesis tersebut menggunakan bantuan program PASW Statistic 18. Berdasarkan perhitungan data, hasil penelitian ini diperleh bahwa terdapat 18 saham yang termasuk dalam portofolio CAPM dan 12 saham yang termasuk dalam portofolio Black Litterman. Berdasarkan Uji Hipotesis dengan menggunakan Uji Paired Sample T-test menunjukkan hasil bahwa ada perbedaan Expected Return portofolio antara metode CAPM dan Black Litterman  pada saat portofolio optimal.

References

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Published
2021-09-30
How to Cite
NINGDIYAH, Endra Wahyu; WAHIDAHWATI, Wahidahwati. PORTOFOLIO CAPM ATAU MODEL BLACK LITTERMAN ? (STUDI PADA PERUSAHAAN INDEKS LQ45 PERIODE 2017-2018). Bilancia : Jurnal Ilmiah Akuntansi, [S.l.], v. 5, n. 3, p. 291-296, sep. 2021. ISSN 2685-5607. Available at: <http://www.ejournal.pelitaindonesia.ac.id/ojs32/index.php/BILANCIA/article/view/1457>. Date accessed: 04 dec. 2021.

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