DAFTAR ISI. ABSTRACT... i. ABSTRAK... ii. KATA PENGANTAR... iii. UCAPAN TERIMA KASIH... iv. DAFTAR ISI... v. DAFTAR GAMBAR... viii. DAFTAR TABEL

DAFTAR ISI

ABSTRACT ............................................................................................................ i ABSTRAK ............................................................................................................. ii KATA PENGANTAR .......................................................................................... iii UCAPAN TERIMA KASIH ............................................................................... iv DAFTAR ISI ...........................................................................................................v DAFTAR GAMBAR .......................................................................................... viii DAFTAR TABEL ................................................................................................ ix DAFTAR BAGAN ................................................................................................ xi DAFTAR LAMPIRAN ....................................................................................... xii BAB I PENDAHULUAN 1.1. Latar Belakang Masalah ............................................................................1 1.2. Rumusan Masalah ......................................................................................5 1.3. Tujuan Penulisan ........................................................................................5 1.4. Batasan Masalah ........................................................................................6 1.5. Manfaat Penulisam.....................................................................................6 BAB II KAJIAN PUSTAKA 2.1. Pasar Modal ...............................................................................................8 2.2. Investasi ....................................................................................................8 2.3. Saham .........................................................................................................9 2.4. Indeks Harga Saham ................................................................................10 2.5. Portofolio .................................................................................................11 2.6. Return .......................................................................................................11 2.7. Risiko .......................................................................................................13 2.8. Portofolio Efisien dan Portofolio Optimal ...............................................19

Ogi Jayaprana, 2014 Perbandingan Return Saham Lq45 Di Bursa Efek Indonesia Dengan Menggunakan Capital Asset Pricing Model (Capm) Dan Arbitrage Pricing Theory (Apt) Universitas Pendidikan Indonesia | repository.upi.edu | perpustakaan.upi.edu

2.9. Analisis Regresi .......................................................................................20 2.9.1 Analisis Regresi Linear Sederhana ....................................................20 2.9.2 Analisis Regresi Linear Berganda .....................................................21 2.9.3 Metode Kuadrat Terkecil ..................................................................22 2.9.4 Koefisien Korelasi dan Koefisien Determinasi ...............................22 2.10. Uji Normalitas ..........................................................................................24 2.11. Uji Asumsi Klasik ....................................................................................26 2.11.1 Uji Multikolinearitas ........................................................................26 2.11.2 Uji Heterokedastisitas ......................................................................27 2.11.3 Uji Autokorelasi ...............................................................................27 2.12. Analisis Faktor .........................................................................................28 2.13. Variable-Variable Makroekonomi ...........................................................36 2.13.1 Inflasi ...............................................................................................37 2.13.2 Suku Bunga Sertifikat Bank Indonesia (SBI) ...................................38 2.13.3 Kurs (Nilai Tukar Rupiah terhadap Dollar AS) ...............................40 2.13.4 Jumlah Uang Yang Beredar .............................................................41 2.13.5 Harga Minyak Dunia .......................................................................42 2.13.6 Harga Emas Dunia ...........................................................................43 2.14. Metode Autoregressive Integrated Moving Average (ARIMA) ..............43

BAB III CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING TEORY (APT) 3.1. Model Keseimbangan ..............................................................................49 3.1.1 Capital Asset Pricing Model (CAPM) ...............................................49 3.1.2 Arbitrage Pricing Theory (APT) .......................................................59 3.2. Metode Analisis ......................................................................................62 3.3. Perumusan Hipotesis ................................................................................65 3.4. Operasional Variabel Penelitian ..............................................................66 BAB IV PEMBAHASAN 4.1. Ruang Lingkup Penelitian........................................................................68 Ogi Jayaprana, 2014 Perbandingan Return Saham Lq45 Di Bursa Efek Indonesia Dengan Menggunakan Capital Asset Pricing Model (Capm) Dan Arbitrage Pricing Theory (Apt) Universitas Pendidikan Indonesia | repository.upi.edu | perpustakaan.upi.edu

4.2. Jenis dan Sumber Data .............................................................................68 4.3. Metode Penentuan Sampel .......................................................................69 4.4. Analisis Data ............................................................................................71 4.4.1. Return Saham LQ45 .....................................................................71 4.4.2. Return Market ..............................................................................73 4.4.3. Risk Free Asset (Aset Bebas Risiko) ...........................................74 4.4.4. Analisis Faktor .............................................................................75 4.4.5. Penentuan Variabel Menggunakan Model ARIMA pada APT....80 4.4.6. Perubahan Variabel Makroekonomi ............................................88 4.4.7. Uji Normalitas dan Uji Asumsi Klasik ........................................92 4.4.8. Risiko Sistematis (beta) Saham ....................................................97 4.4.9. Penghitungan Return Menurut CAPM .........................................99 4.4.10. Penghitungan Return Menurut APT.............................................99 4.4.11. Nilai MAD, MSE, & MAPE model CAPM dan model APT .. 102 BAB V PENUTUP 5.1. Kesimpulan........................................................................................106 5.2. Saran .................................................................................................106 DAFTAR PUSTAKA .........................................................................................108 LAMPIRAN .......................................................................................................112 DAFTAR RIWAYAT HIDUP ..........................................................................194


DAFTAR GAMBAR

Gambar 2.1. Risiko Sistematis dan Nonsistematis ...............................................18 Gambar 2.2. Serangkaian Portofolio yang Mungkin dan Efisien ..........................19 Gambar 3.1. Hubungan beta dari sekuritas dan expected return dari sekuritas individual (Security Market Line) ....................................................56 Gambar 3.2. Capital Market Line (CML) ..............................................................58 Gambar 4.1. Screen Plot Eigenvalue .....................................................................78


DAFTAR TABEL

Tabel 4.1. Sampel Saham LQ 45 ...........................................................................70 Tabel 4.2. Rata-rata Return dan Standar Deviasi Saham .......................................72 Tabel 4.3. Return Market

Periode November 2008-Februari 2014 .............73

Tabel 4.4. Risk Free Asset

Periode November 2008-Februari 2014 .............74

Tabel 4.5. KMO and Bartletts Test ........................................................................76 Tabel 4.6. Anti Image Matrices..............................................................................76 Tabel 4.7. Communalities ......................................................................................77 Tabel 4.8. Total Variance Explained......................................................................78 Tabel 4.9. Component Matrix ................................................................................79 Tabel 4.10. Unit Root Test SBI Diff 2 ...................................................................81 Tabel 4.11. Correlogram SBI Diff 2 .....................................................................81 Tabel 4.12. Model ARIMA SBI.............................................................................82 Tabel 4.13. Unit Root Test Inflasi Diff 2 ..............................................................83 Tabel 4.14. Correlogram Inflasi Diff 2 ..................................................................83 Tabel 4.15. Model ARIMA Inflasi .........................................................................84 Tabel 4.16. Unit Root Test Kurs Diff 1 ..................................................................85 Tabel 4.17. Correlogram Kurs Diff 1 ....................................................................85 Tabel 4.18. Model ARIMA Kurs ...........................................................................86 Tabel 4.19. Unit Root Test Minyak Diff 1 .............................................................87 Tabel 4.20. Correlogram Minyak Diff 1 ................................................................87 Tabel 4.21. Model ARIMA Minyak .....................................................................88 Tabel 4.22. Perubahan Tingkat SBI Periode Nov 2008-Feb 2014 .........................90 Ogi Jayaprana, 2014 Perbandingan Return Saham Lq45 Di Bursa Efek Indonesia Dengan Menggunakan Capital Asset Pricing Model (Capm) Dan Arbitrage Pricing Theory (Apt) Universitas Pendidikan Indonesia | repository.upi.edu | perpustakaan.upi.edu

Tabel 4.23. Perubahan Tingkat Inflasi Periode Nov 2008- Feb 2014 ....................90 Tabel 4.24. Perubahan Minyak Periode Nov 2008-Feb 2014 ................................91 Tabel 4.25. Perubahan Kurs Periode Nov 2008 - Feb 2014...................................91 Tabel 4.26. Return Perusahaan LQ45 dengan Kormogorov-Smirnov ...................92 Tabel 4.27. Pengujian Durbin Watson Model CAPM ...........................................95 Tabel 4.28. Pengujian Durbin Watson Model APT ...............................................96 Tabel 4.29. Risiko Sistematis atau Beta

..........................................................98

Tabel 4.30. Expected Return CAPM Saham ASII .................................................99 Tabel 4.31. Expected Return Model APT Saham ASII ......................................102 Tabel 4.32. Nilai MAD ........................................................................................103 Tabel 4.26. Nilai MSE .........................................................................................104 Tabel 4.26. Nilai MAPE.......................................................................................105


DAFTAR BAGAN

Bagan 2.1. Estimasi model ARIMA ......................................................................46 Bagan 3.1. Metode Analisis ...................................................................................65


DAFTAR LAMPIRAN

1. Data Saham LQ45 ....................................................................................112 2. Data Tingkat Suku Bunga SBI .................................................................114 3. Data Tingkat Inflasi..................................................................................115 4. Data Harga Minyak Dunia ......................................................................116 5. Data Kurs Rupiah terhadap Dollar AS .....................................................117 6. Data Jumlah Uang Yang Beredar ............................................................118 7. Data Harga Emas Dunia ...........................................................................118 8. Return Aktual ..........................................................................................119 9. Data Perubahan Harga Minyak Dunia Aktual .........................................121 10. Data Perubahan Kurs Rupiah Terhadap Dollar AS Aktual ......................122 11. Data Perubahan Jumlah Uang Yang Beredar Aktual ...............................123 12. Data Perubahan Harga Emas Dunia Aktual ............................................123 13. ARIMA Inflasi .........................................................................................124 14. ARIMA Kurs ............................................................................................128 15. ARIMA SBI .............................................................................................131 16. ARIMA Minyak .......................................................................................135 17. Peramalan Tingkat Inflasi bulan Nov 2008-Feb 2014 .............................140 18. Peramalan Kurs bulan Nov 2008-Feb 2014 .............................................141 19. Peramalan SBI bulan Nov 2008-Feb 2014...............................................142 20. Peramalan Minyak bulan Nov 2008-Feb 2014 ........................................144 21. Perubahan Tingkat Inflasi Periode Nov 2008-Feb 2014 ..........................146 22. Perubahan Tingkat SBI Periode Nov 2008-Feb 2014 ..............................147 Ogi Jayaprana, 2014 Perbandingan Return Saham Lq45 Di Bursa Efek Indonesia Dengan Menggunakan Capital Asset Pricing Model (Capm) Dan Arbitrage Pricing Theory (Apt) Universitas Pendidikan Indonesia | repository.upi.edu | perpustakaan.upi.edu

23. Perubahan Minyak Periode Nov 2008-Feb 2014 .....................................148 24. Perubahan Kurs Periode Nov 2008-Feb 2014 ..........................................149 25. Model CAPM Saham LQ45 .....................................................................150 26. Model APT Saham LQ45 ........................................................................170 27. Expected Return Model CAPM ...............................................................190 28. Expected Return Model APT ...................................................................192


DAFTAR ISI. ABSTRACT... i. ABSTRAK... ii. KATA PENGANTAR... iii. UCAPAN TERIMA KASIH... iv. DAFTAR ISI... v. DAFTAR GAMBAR... viii. DAFTAR TABEL

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