CAPM LQ 45 Analysis on IDX: Comparison Between the Property & Building Sector and the Agricultural Sector Before COVID-19
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Aug 30, 2025
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Abstract
This study maps the risk and returns with the CAPM approach, looking at stock issuers and comparing the property with agricultural sectors. The aim is to dig deeper into the differences in risk and return faced by these two sectors. In addition, this study has practical value for investors who want to mitigate risk and optimize portfolios and for decision makers who need to consider which sectors are more vulnerable to economic changes. The property sector and the agricultural sector behave quite differently in changing market conditions during the observation period. Based on empirical testing, it was found that stocks in the property and building sector are aggressive compared to the share in the sector of Agriculture. This is seen from each shared sample research's mark beta (β). Ultimately, these findings can help manage portfolios with more measurable risks
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How to Cite
Silalahi, P. (2025). CAPM LQ 45 Analysis on IDX: Comparison Between the Property & Building Sector and the Agricultural Sector Before COVID-19. Enrichment : Journal of Management, 15(3), 302-312. https://doi.org/10.35335/enrichment.v15i3.2324
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Pratami, F., Marwa, T., Andaiyani, S., & Abukosim, A. (2024). WHAT FACTORS CAN AFFECT INDONESIAN PROPERTY PRICE? TRIKONOMIKA: Jurnal Ekonomi, 23(1), 49-54.
Puspitasari, W., Syaukat, Y., & Irawan, T. (2019). The Influence of Macroeconomic Factors on Agricultural Sector Stock Price in Indonesia Stock Exchange. International Journal of Research and Review, 6(8).
Rojo‐Suárez, J., Alonso‐Conde, A. B., & Ferrero‐Pozo, R. (2022). Liquidity, time‐varying betas and anomalies: Is the high trading activity enhancing the validity of the CAPM in the UK equity market? International Journal of Finance & Economics, 27(1), 45-60.
Rozaki, Z., Wijaya, O., Rahmawati, N., & Rahayu, L. (2021). Farmers’ disaster mitigation strategies in Indonesia. Reviews in Agricultural Science, 9, 178-194.
Tejokusumo, P., Anastasia, N., & Atmadja, A. S. (2023). The influence of real interest rates, inflation, exchange rates and GDP on stock return in the property sector Petra Christian University].
Zaimovic, A., Omanovic, A., & Arnaut-Berilo, A. (2021). How many stocks are sufficient for equity portfolio diversification? A review of the literature. Journal of Risk and Financial Management, 14(11), 551.
Airinen, A. (2021). Testing the validity of the Capital Asset Pricing Model during the Covid-19 pandemic: A comparison between pre-pandemic and pandemic periods.
Assagaf, A. (2015). Analysis of relevance concept of measurement capm return and risk of shares. International Journal of Business and Management, 10(10), 194.
Authority. (2021). Handbook.
Baioni, R., Águila, N., Urban, J., Haufe, P., Schairer, S., & Wullweber, J. (2025). Playing the capital market? Sustainable finance and the discursive construction of the Capital Markets Union as a common good. Journal of European Public Policy, 1-28.
Bhattacharya, S. (1979). Imperfect information, dividend policy, and" the bird in the hand" fallacy. The bell journal of economics, 259-270.
Black, F., Jensen, M. C., & Scholes, M. (1972). The capital asset pricing model: Some empirical tests.
Chikwira, C., & Mohammed, J. I. (2023). The impact of the stock market on liquidity and economic growth: Evidence of volatile market. Economies, 11(6), 155.
Cotter, J., & Salvador, E. (2022). The non-linear trade-off between return and risk and its determinants. Journal of Empirical Finance, 67, 100-132.
Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of financial economics, 7(2), 197-226.
Fabozzi, F. J. (2025). Capital markets: institutions, instruments, and risk management. Mit Press.
Fahrbach, C. (2023). Transformative finance. International Journal of Pluralism and Economics Education, 14(3-4), 234-245.
Fama, E. F. (1968). Risk, return and equilibrium: some clarifying comments. The Journal of Finance, 23(1), 29-40.
Gao, Y., Zhao, C., Sun, B., & Zhao, W. (2022). Effects of investor sentiment on stock volatility: New evidences from multi-source data in China’s green stock markets. Financial Innovation, 8(1), 77.
Hull, J. C. (2023). Risk management and financial institutions. John Wiley & Sons.
Iqbal, J., & Brooks, R. (2007). A test of CAPM on the Karachi Stock Exchange. International Journal of Business, 12(4), 429.
Khalfaoui, R., Ben Jabeur, S., Hammoudeh, S., & Ben Arfi, W. (2025). The role of political risk, uncertainty, and crude oil in predicting stock markets: Evidence from the UAE economy. Annals of Operations Research, 345(2), 1105-1135.
Kumar, S., Kumar, A., Singh, K. U., & Patra, S. K. (2023). The six decades of the capital asset pricing model: a research agenda. Journal of Risk and Financial Management, 16(8), 356.
Lai, T.-Y., & Stohs, M. H. (2021). CAPM and Asset Pricing. International Journal of Business, 26(4), 105-118.
Lathief, J. T. A., Kumaravel, S. C., Velnadar, R., Vijayan, R. V., & Parayitam, S. (2024). Quantifying risk in investment decision-making. Journal of Risk and Financial Management, 17(2), 82.
Leal, D., Jiménez, R., Riquelme, M., & Leiva, V. (2023). Elliptical capital asset pricing models: Formulation, diagnostics, case study with Chilean data, and economic rationale. Mathematics, 11(6), 1394.
Lintner, J. (1975). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. In Stochastic optimization models in finance (pp. 131-155). Elsevier.
Margono, F. P., & Gantino, R. (2021). The influence of firm size, leverage, profitability, and dividend policy on firm value of companies in indonesia stock exchange. Copernican Journal of Finance & Accounting, 10(2), 45-61.
Mehta, N. J., & Yang, F. (2022). Portfolio optimization for extreme risks with maximum diversification: An empirical analysis. Risks, 10(5), 101.
[Record #36 is using a reference type undefined in this output style.]
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.
Nurwulandari, A. (2021). Analysis of the relationship between risk and return using the capital asset pricing model (Capm) method at Kompas 100. Enrichment: Journal of Management, 11(2), 528-534.
Pandey, A., & Joshi, R. (2022). Examining asset pricing anomalies: Evidence from Europe. Business Perspectives and Research, 10(3), 362-378.
Pratami, F., Marwa, T., Andaiyani, S., & Abukosim, A. (2024). WHAT FACTORS CAN AFFECT INDONESIAN PROPERTY PRICE? TRIKONOMIKA: Jurnal Ekonomi, 23(1), 49-54.
Puspitasari, W., Syaukat, Y., & Irawan, T. (2019). The Influence of Macroeconomic Factors on Agricultural Sector Stock Price in Indonesia Stock Exchange. International Journal of Research and Review, 6(8).
Rojo‐Suárez, J., Alonso‐Conde, A. B., & Ferrero‐Pozo, R. (2022). Liquidity, time‐varying betas and anomalies: Is the high trading activity enhancing the validity of the CAPM in the UK equity market? International Journal of Finance & Economics, 27(1), 45-60.
Rozaki, Z., Wijaya, O., Rahmawati, N., & Rahayu, L. (2021). Farmers’ disaster mitigation strategies in Indonesia. Reviews in Agricultural Science, 9, 178-194.
Tejokusumo, P., Anastasia, N., & Atmadja, A. S. (2023). The influence of real interest rates, inflation, exchange rates and GDP on stock return in the property sector Petra Christian University].
Zaimovic, A., Omanovic, A., & Arnaut-Berilo, A. (2021). How many stocks are sufficient for equity portfolio diversification? A review of the literature. Journal of Risk and Financial Management, 14(11), 551.