Systematical Risks Toward Banking and Manufacturing Company; Validation Test of Capital Asset Pricing Model in Indonesia

Permatasari, Anita (2017) Systematical Risks Toward Banking and Manufacturing Company; Validation Test of Capital Asset Pricing Model in Indonesia. IOSR Journal of Business and Management (IOSR-JBM), 19 (12v7). pp. 16-23. ISSN p-ISSN:2319-7668 ; e-ISSN:2278-487X

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Abstract

The existence of the capital market is expected to be an alternative fundraising in addition to the banking system, it also bears investors to have some investment options in accordance with risk preferences. Stock market conditions are always changing, causing uncertainty for investors to gain profits, so almost all investments have risks. The risk caused by aggregate market movements, where stocks move depends on market movements, known as Beta (β). In the Capital Asset Pricing Model (CAPM) beta is defined as a measure of the volatility return of securities to market return. Therefore, before taking aninvestment, the investors should always pay attention and remember what factors that could affect the amount of risk that it bears. One factor that carefully must be paid attention by the investor is deposit rate. This research proposed to analyze the risk difference between banking companies and manufacturing companies: validation test of CAPM in Indonesia period 2003 - 2006. The result courage to indicate the influence of excess return of market to excess return individual in the operational company and manufacturing company, interest on deposits, both the 3-months and 6-months Depsito rates have no effect on the individual's excess return, either on bank or manufacturing company. The second result is no difference between market beta excess return, 3-month or 6-month deposit rate, both in railway and manufacturing companies. In addition, the results of this study also mention Asset Capital pricing models on manufacturing companies is more valid rather than the banking

Item Type:	Article
Uncontrolled Keywords:	CAPM, JSX, Market Excess Return, 3 Months Deposit Rate, 6 Months Deposit Rate
Subjects:	H Social Sciences > HG Finance
Divisions:	Fakultas Ekonomi > Prodi Akuntansi
Depositing User:	Anita Permatasari
Date Deposited:	19 Mar 2021 09:29
Last Modified:	26 Mar 2021 04:27
URI:	http://repositori.ukdc.ac.id/id/eprint/674

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