Analisis Tingkat Pengembalian Investasi Saham Lq-45 Tahun 2015

Abstract

The LQ-45 stock index is an index of 45 stocks selected because of its good
fundamentally good performance so that its capitalization continues to show progress.
Therefore, LQ-45 shares are stocks that are in great demand by investors and are believed to
provide a positive rate of return that exceeds the risk. In this connection, research is conducted
to ensure LQ-45 stock performance by using Single Index Model. The hope of this study is that
if indeed the stocks incorporated in the LQ-45 index are able to provide abnormal positive
returns significantly, LQ-45 stocks are eligible to be selected as part of the investor portfolio.
The results showed that of 40 LQ-45 stocks selected for study showed that 17 stocks resulted in
abnormal average returns above zero (positive) and 23 stocks resulted in abnormal average
returns below zero (negative). However, after statistically tested between abnormal positive and
abnormal returns the negative rate of return is the rate of return is not different from zero. Thus,
the selected shares in the LQ-45 index are not able to give a significantly positive abnormal
return rate which means that the LQ-45 stock is only capable of providing the same rate of
return as the risk..
Keywords: LQ-45 Stocks, Abnormal Return,Single-Index Model .