The Investing Decisions during the COVID-19 Pandemic by Using the Capital Asset Pricing Model (CAPM) Method in LQ 45 Index Companies

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INTRODUCTION
Indonesia's economic growth since the second quarter of 2020 has decreased quite significantly, namely by -5.32%. The main reason for this decline was that the government announced the first Covid 19 cases in Indonesia. So that the government made several policies to prevent transmission of the virus. These policies include implementing 3M (using masks, washing hands and maintaining a distance), then the government carries out PSBB and recommends WFH (Work From Home). With some of these policies, totally public activity, especially in the economic sector, stopped. This also has an impact on stock price trading in the capital market. Below is a picture of the development of the IHSG for the first and second quarters of 2020.
Source: (HOts Mirae Asset Sekuritas, 2020) Fig.1. Development of IHSG for the first and second quarter of 2020 Based on Fig.1. it is known that the JCI in March 2020 was quite deep and had experienced halt trading. Many investors felt panic so that investors gave up their share ownership, which in the end, the JCI's lowest peak reached 3,911.72. However, in the following quarter, the JCI has begun to crawl up and investors have begun to believe that investors are starting to be optimistic and starting to carry out buying and selling transactions as usual [1]. One of the methods used to determine the risk and rate of return of an asset is the Capital Asset Pricing Model (CPAM). CAPM is designed to help investors select stocks and minimize risky investments. By implementing CAPM, investors can be helped in understanding the complex market conditions, minimizing investment risk and estimating the amount of return they will get, especially in this pandemic [2]. There are several previous studies that discuss CAPM, including Susanti, with the results of the study showing that there are 10 companies in an efficient state and 10 inefficient companies [3]. Furthermore, the research conducted by Hasan with the results of the study contained 11 inefficient companies and 19 efficient companies in the Business index company 27 [2]. Another case with the results of research conducted by Isnurhadi statistically with the results of the CAPM method can predict stock returns in JII companies with conventional companies at LQ 45 [4]. Furthermore, Putra and Yadnya's research results show that there are 15 company stocks that are undervalued, 5 company shares are overvalued [5]. According to the results of research conducted by Yulianti, Topowijono and Devi with the results of research that there are 6 company shares that are included in the efficient stock group and 1 company share is included in the inefficient stock group [6]. With some of these research results, the researcher is interested in conducting research on the object of the LQ 45 Index. This study aims to use the CAPM method in determining and analyzing risk and return to determine investment decisions. During the COVID-19 pandemic and can classify and rate the LQ 45 index companies based on their undervalued and overvalued levels.

Literature Review Return
Return is the result gotten from speculation. Returns can be within the frame of realized returns that have happened or anticipated returns that have not happened that are expected to happen within the future [7].

Realized Return or Ri
Realized return is calculated based on chronicled information, this can be vital since it is utilized as a benchmark for company execution. Thus, this can be used as a benchmark for company performance.

Expected Return or E (Ri)
Expected Return is the return that investors expect in the future. Contrary to realization, it means the return that has occurred, while the expected return means the expected return has not occurred [7]. The formula for calculating the Stock Return (Ri) according to Hartono [7] Where Ri is an individual stock return; Pt is the share price in period t and Pt-1 is the share price in period t-1

Risk
Risk is usually associated with deviations from the results received or expected. In the investment concept, risk can usually be divided into 2 categories namely 1. Systematic risk is macro risk, because it involves changes in the entire market and can cause changes in investment returns. 2. Unsystematic risk is the risk associated with changes in the risk of a particular company's micro condition, so that it will only affect the company's investment return. [7]. To calculate risk, a widely used method is the standard deviation used to measure the absolute deviation of a value that coincides with the expected value [7].

Composite Stock Price Index (IHSG)
Is a comprehensive index of all types of shares listed on the Stock Exchange. If the company's shares have increased while the JCI has also increased, then the shares have a positive correlation with the JCI. Therefore it is necessary to calculate the risk from the stock price with market risk or it can be called the stock beta (β) [8].
The formula for calculating the Stock Market Index (RM) according to Hartono [7] Where RM is the stock market rate of return; IHSGt is the Stock Price Index in period and IHSGt-1 is the Stock Price Index in period t-1.

Beta
In calculating CAPM, risk factors are very influential in determining the appropriate rate of return measurement. This risk is denoted by beta (β), with the following determination if the value of ß = 1 then there is a perfect relationship with the performance of all markets, such as the market index. Meanwhile, if ß <1.00 (Defensive Stock) then this stock will tend to experience lower fluctuations than the market index in general [9]. The formula for calculating beta (βi) according to Hartono[7] Where βi is the Stock Beta; σim is the covariance of market returns; σ2m is the market variant Risk Free Risk free or known as the chance free rate of return alludes to the rate of return on money related resources without risk. The intrigued rate for securities issued by the government is the estimation premise utilized, hereinafter alluded to as Bank Indonesia Certificates (SBI).

CAPM (Capital Asset Pricing Market)
There are several benchmarks that can be used to determine stock returns during the investment period. One of them is the CAPM (Capital Asset Pricing Market) method, where the CAPM incorporates the element of equity risk into the minimum return. The higher the stock risk, the greater the expected minimum stock return [8]. CAPM is a balanced model that can help simplify the relationship between benefits and risks that occur during very complex periods [9]. How to calculate E (Ri) Where E (Ri) is the expected rate of return, Rf is the risk-free rate of return; βi is the systematic risk level of each stock, E (RM) is the expected rate of return from the stock portfolio. Security Market Lines CAPM tries to explain the relationship between risk and rate of return. The concept of β (systematic risk) relationship with return is described by the Security Market Line (SML). The relationship between expected return and risk lies on the SML line.

II. METHODS
This type of quantitative descriptive research is the type of research applied in this research. The population in this study used data from the LQ 45 Index for the period February -July 2020. In this study using a saturated sample method. Data calculations were performed using the Microsoft Excel application program. Techniques from data analysis include : Based on the data above, it can be seen that the highest rate of return on shares (Ri) is found in the company PT XL Axiata, Tbk which is 1.8603 and for the lowest rate of return on shares (Ri) is found in the company PT Media Nusantara Citra, Tbk of -0 5768.

Market Returns Analysis Results
In calculating market returns, the IHSG is the market index used in this study, with the use of the JCI because it is considered capable of representing all stock transaction activities on the IDX. Table 2. JCI Market Return for the January -July 2020 Period

Source: Data processed by Microsoft Excel 2020
Risk Free Analysis Results BI interest rate data in this study is used as an indicator in calculating the level of risk free (Rf), the results of calculating the Risk Free Rate are as follows: Table 3.Rf Calculation Results for the period Feb -July 2020

Results of Systematic Risk Calculation Analysis for Individual Shares
The relationship between stock returns and market returns will be seen by calculating stock beta. Following are the results of the systematic risk calculation of 45 company stocks in this study. Table 4.

Source: Data processed by Microsoft Excel 2020
Based on table 4, it can be seen that the systematic risk value or the minimum beta (β) value is found in PT XL Xiata, Tbk at -7.7065. This means that the economic condition is in a depressed state so that the beta result is negative.

Results of the Calculation Analysis of the Expected Rate of Return
The level of return expected by investors from the stock investment made is called the expected rate of return [E (Ri)]. The results of the E (Ri) calculation are as follows:  Based on table 6, it can be seen that there are 20 companies whose shares are classified as Undevalued, while 25 other companies are classified as Overvalued. Thus it can be concluded that at times like this, investors need to purchase shares, especially in companies that are included in the undervalued group. This is because these investors have a great opportunity to get high returns in the future. Furthermore, investors who already have overvalued shares should sell these shares in order to prevent investors from experiencing greater risks in the future.

IV. CONCLUSION
Based on the results of the study by comparing the value of β with E (Ri), it has an inverse relationship, this means that the higher the value of β, the lower the E (Ri) and vice versa. Of the 45 companies, there are 20 Undervalued companies and 25 Overvalued companies. It is hoped that further researchers will be able to develop methods used to make investment decisions such as using the Single Index Model, APT so that it can be expected to be able to make comparisons in terms of making investment decisions. For further research it is expected to increase the research period and change the object of research.