PENGUJIAN CAPM DI BEJ PERIODE 1994-1997: Standard CAPM ataukah Zero Beta?



Suad Husnan(1*)

(1) Universitas Gadjah Mada
(*) Corresponding Author

Abstract


Dengan menghindari analisis cross seclional, pengujian unluk saham-saham yang relatif aktip diperdagangkan di BEJ, periods 1994-1997, menunjukkan bahwa hubungan sebagaimani diharapkan dalam standard CAPM berlaku. Penggunaan cara ini akan menghindarkan analisis dari kemungkinan terjadinya bias karena dipergunakannya estimated beta dalam analisis cross seclional. Kelemahan cara ini adalah tidak dapat menaksir harga risiko. Analisis lebih lanjut ieniang kemungkinan berlakunya zero Beta CAPM ternyata tidak mendukung, karena tanda a, tidak selalu sesuai dengan nilai p,, dan tidak terdapat korelasi yang negatip antara ft dengan ay. Hasil analisis lebih mendukung standard CAPM karena secara keseluruhan, a,, tidaklah bsrbeda secara nyata dari not.

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