Analisis Capital Asset Pricing Model (CAPM) pada Saham Sektor Teknologi Periode Sebelum dan Selama Pandemi COVID- 19

Abstract

Pandemi Covid-19 membuat masyarakat memilih untuk menabung saham di pasar modal. Saham sektor teknologi menjadi saham yang primadona karena volume perdagangan yang meningkat hingga 7,3 kali selama pandemi. Capital Asset Pricing Model (CAPM) adalah model untuk melihat tingkat return yang diharapkan dan bertujuan untuk membantu investor dalam mengambil keputusan investasi. Penelitian ini bertujuan untuk melihat perbedaan saham sektor teknologi pada periode sebelum dan selama pandemi menggunakan metode CAPM serta ujit berpasangan. Waktu penelitian dimulai Januari hingga Maret 2023 di website Bursa Efek Indonesia dengan menggunakan metode penarikan sampel yaitu purposive sampling. Metode deskriptif kuantitatif digunakan dalam penelitian ini yang menggunakan data sekunder berupa laporan keuangan perusahaan sektor teknologi yang terdapat di Bursa Efek Indonesia periode Januari 2018 hingga Juni 2022 sebanyak 7 sampel penelitian. Berdasarkan hasil penelitian, 7 saham memiliki rata-rata return yang negatif sebelum pandemi dan return positif pada periode selama pandemi. Terdapat 1 saham efisien periode sebelum pandemi dan 6 saham tidak efisien serta 7 saham tergolong saham efisien selama pandemi. Dari hasil uji-t berpasangan menunjukkan bahwa adanya perbedaan yang signifikan antara return pengembalian individu pada sebelum dan selama pandemi.

The Covid-19 pandemic made people more active in saving, one of which is investing in the capital market. Stocks in the technology sector were excellent stocks because the trading volume increased by up to 7.3 times during the pandemic. The Capital Asset Pricing Model (CAPM) was a model to see the expected rate of return and aimed to assist investors in making investment decisions. This study aimed to look at differences in technology sector stocks in the period before and during the pandemic using the CAPM method and paired ttest. The research time started from January to March 2023 on the website of the Indonesia Stock Exchange using a purposive sampling method. A quantitative descriptive method was used in this study and used secondary data in the form of financial statements of technology sector companies listed on the Indonesia Stock Exchange for the period January 2018 to June 2022 as many as 7 research samples. Based on the results of the study, 7 stocks had an average negative return before the pandemic and positive returns during the pandemic. There was 1 efficient stock in the pre-pandemic period and 6 inefficient shares, and 7 shares were classified as efficient shares during the pandemic. The results of the paired t-test showed that there was a significant difference between individual returns before and during the pandemic.