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- Title
The Model of Sharia Compliant Asset Pricing Model (Scapm): Evidence of Indonesia.
- Authors
PUSPITASARI, Novi; SUKORNO, Hari; RAMADHIANI, Rizkia
- Abstract
Islam does not recognize risk-free in an investment because it contains ribawi elements that are prohibited in Islam. Based on sharia principles, the CAPM model actually cannot be used because it contains both riskfree elements and time value of money. Inflation, zakat, and SBIS are as a substitute for the risk-free element in the conventional CAPM. This study aims to analyze the level of model accuracy of the Sharia Compliant Asset Pricing Model Inflation (SCAPMI), Sharia Compliant Asset Pricing Zakat (SCAPMZ) and Sharia Compliant Asset Pricing Bank Indonesia Sharia Certificate or Sertifikat Bank Indonesia Sharia (SCAPMSBIS). This paper is the quantitative research with an explainatory approach. The population of this research is stocks that listed on Indonesia Sharia Stock Index (ISSI) in 2015-2019. This paper used purposive sampling method and got 164 shares. This study used mean absolute deviation (MAD) and mean square error (MSE) to analysis the data. The results showed that SCAPMSBIS is the most accurate SCAPM model for predicting expected returns with the smallest MAD and MSE values. SBIS is also considered the most appropriate to replace the risk-free proxy in the conventional CAPM.
- Publication
Quality - Access to Success, 2022, Vol 23, Issue 189, p316
- ISSN
1582-2559
- Publication type
Academic Journal
- DOI
10.47750/QAS/23.189.36