Abstract
Capital Asset Pricing Model (CAPM) is one of the estimated return models developed in conventional financial instruments that have different characteristics from Islamic financial instruments. So the CAPM model cannot be directly applied in Islamic financial instruments, so an estimation model is needed, namely the Shariah Compliant Capital Asset Pricing Model (SCAPM). This study aims to produce a SCAPM model that can be applied to estimate returns in Islamic financial instruments. The data used in the test is a list of sharia companies listed on the IDX, sharia company stock prices, Indonesia Sharia Stock Index (ISSI), yield of sukuk and return of Bank Indonesia Certificates (SBI) for the period 2010 - 2018. Testing is done by comparing expected return with the CAPM and SCAPM models. The SCAPM model used is to eliminate the risk free asset factor and replace it with inflation, zakat, and yield of sukuk. The results of the analysis using graphs and the compare mean test show that the results of the expected return with the SCAPM and CAPM models have no difference, so the SCAPM model can be used as an alternative model of return estimation in Islamic Financial Instruments on the IDX.
Highlights
Efforts to select investments in a financial instrument are appropriate by estimating the level of returns and risks of the financial instruments that we choose
If the Shariah Compliant Asset Pricing Model (SCAPM) pattern is the same as the Capital Asset Pricing Model (CAPM) pattern, the SCAPM model can be used as an alternative estimation return model
Results The results of the descriptive analysis based on the mean value, testing with graphs and Levene's test show that the SCAPM model that does not use risk asset factors cannot be used, because it International Journal of Economics, Business and Accounting Research (IJEBAR) Peer Reviewed – International Journal Vol-3, Issue-3, 2019 (IJEBAR) E-ISN: 2614-1280 P-ISSN 2622-4771 http://jurnal.stie-aas.ac.id/index.php/IJEBAR has a different pattern with CAPM and the data is not homogeneous even though it has the same return value as the CAPM
Summary
Efforts to select investments in a financial instrument are appropriate by estimating the level of returns and risks of the financial instruments that we choose. There are two models used to estimate the level of stock returns of Capital Asset Pricing Model (CAPM) and Aribitrage Pricing Theory (APT). The CAPM was first developed by Willian Sharpe (1964). This model is a development of the Markowitz model (Reilly and Brown, 2006). Just like the CAPM, APT illustrates the relationship between returns and risks but with different assumptions and procedures. The assumption underlying the APT model is the condition of the capital market is in the form of perfect competition, investors always prefer wealth greater than a little even though with certainty and the results of the stochastic process or asset income are determined by the risk factor model
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
