DAFTAR ISI

Kata Pengantar........................................................................................................ i
Daftar Isi................................................................................................................... iii
Daftar Tabel............................................................................................................. v
Daftar Grafik............................................................................................................ vi
Daftar Lampiran...................................................................................................... vii
BAB I : PENDAHULUAN
1.1. Latar Belakang Masalah....................................................................... 1
1.2. Rumusan Masalah................................................................................. 5
1.3. Tujuan Penelitian.................................................................................. 5
1.4. Manfaat Penelitian................................................................................ 6
BAB II : TELAAH LITERATUR DAN PENGEMBANGAN HIPOTESIS
2.1. Pasar Modal......................................................................................... 7
2.1.1. Pengertian Pasar Modal............................................................. 7
2.1.2. Peranan Pasar Modal................................................................. 8
2.1.3. Macam-Macam Pasar Modal..................................................... 11
2.2. Saham.................................................................................................. 13
2.2.1. Saham Biasa.............................................................................. 13
2.2.2. Saham Preferensi....................................................................... 15
2.3. Risiko.................................................................................................. 16
2.3.1. Jenis Risiko................................................................................ 17
2.3.2. Perhitungan Risiko Menggunakan Model Indeks Tunggal........ 17
2.4. Beta...................................................................................................... 19
2.4.1. Beta Pada Thin Market.............................................................. 19
2.4.2. Koreksi Terhadap Bias Beta Saham........................................... 22
2.5. Rumusan Hipotesis.............................................................................. 25
2.5.1. Bias............................................................................................ 26
2.5.2. Stabilitas.................................................................................... 27
2.5.3. Korelasional Antrara Beta Saham Dengan Return Saham......... 30
BAB III : METODA PENELITIAN
3.1. Jenis Penelitian................................................................................... 33
3.2. Populasi Dan Sampel......................................................................... 33
3.3. Data Penelitian................................................................................... 35
3.3.1. Jenis Dan Sumber Data............................................................ 35
3.3.2. Teknik Pengumpulan Data....................................................... 36
3.4. Variabel Penelitian Dan Pengukurannya............................................ 36
3.4.1. Beta Saham Yang Belum Dikoreksi......................................... 37
3.4.2. Beta Saham Yang Sudah Dikoreksi......................................... 37
3.4.3. Return Saham........................................................................... 42
3.5. Metode Analisis Data......................................................................... 43
3.5.1. Bias.......................................................................................... 43
3.5.2. Stabilitas.................................................................................. 44
3.5.3. Korelasional............................................................................. 46
BAB IV : HASIL DAN PEMBAHASAN
4.1. Penentuan Beta Saham Dan Koreksi Terhadap Beta Saham.............. 48

4.2. Statistik Deskriptif............................................................................. 49

4.3. Pengujian Terhadap Bias Beta Saham................................................ 53
4.4. Pengujian Terhadap Stabilitas Beta Saham........................................ 55
4.5. Pengujian Terhadap Korelasional Beta Saham Dengan Return
Saham...............................................................................................56
4.6. Pembahasan Hasil Penelitian............................................................. 57
BAB V : PENUTUP
5.1. Kesimpulan.......................................................................................... 69
5.2. Keterbatasan........................................................................................ 69
5.3. Implikasi.............................................................................................. 70
DAFTAR PUSTAKA............................................................................................... 72