SCAPM (Shariah Compliant Asset Pricing Model); the Formula of Risk and Return Modification in Islamic Finance
Keywords:
Capital Market, Capital asset pricing model, SCAPM
Abstract
As an Islamic financial institutions into the capital market for investment, the guidance in the areas of risk and return and security prices under Shari'a framework necessary. Traditional CAPM is developed in an environment based on the interest (riba) is not in accordance with Islamic financial system. So that made the model estimates of the risks and return received by sharia models without changing the assumption of an existing model (CAPM). This research is expected to contribute in terms of risk and return assessment on investment of sharia, especially in Indonesia. The method in this research is exploratory through in approach literature studies about the model Capital Asset Pricing Model (CAPM) and explore studies on investmentsharia compliance issues to obtain the valuation model risk and return within the framework of sharia that is Shariah Compliant Asset Pricing Model (SCAPM).The results of this study indicate that Shariah Compliant Asset Pricing Model (SCAPM) is a modification of the model Capital Asset Pricing Model (CAPM), which has been explained that one of the basic assumptions of CAPM is no inflation. So in this study, the researchers did not use inflation but replacing the inflation factor to the rate of return on Certificates Sharia of Bank Indonesia (SBIS)References
QS. Luqman (31): 34
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Najmudin, 2011. Manajemen Keuangan dan Akuntansi Syariah Modern, Yogyakarta: ANDI.
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Peraturan Bank Indonesia.
Peter C. Dawson, “The Capital Asset Pricing Model in Economic Perspective”, Applied Economics, Vol. 47, No. 6, pp.569-598, 2015.
Randolph B. Cohen, Christopher Polk, and Tuomo Vuolteenaho, How the Inflation Illusion Killed the CAPM,Available at SSRN: http://ssrn.com/abstract=548402 or http://dx.doi.org/10.2139/ssrn.548402, May 12, 2004.
Roger Dayala, “The Capital Asset Pricing Model, A Fundamental Critique”,Business Valuation Review, Vol.31, Issue 1, pp.23-34, April, 1 2012.
Suhartono dan Fadlillah Qudsi, 2009. Portofolio Investasi dan Bursa Efek, Yogyakarta: UPP YKPN.
Toto Prihadi, 2013. Analisis Laporan Keuangan Lanjutan:Proyeksi dan Valuasi, Jakarta: PPM.
Yi-Cheng, Shih Sheng-Syan, Chen Cheng-Few dan Lee Po-Jung Chen, “The Evolution of Capital Asset Pricing Models”, Review Quantitative 42:415–448, Springer Science Business Media New York, 2014.
Agus Sartono, 2010. Manajemen Keuangan; Teori dan Aplikasi, Yogyakarta: BPFE.
David Blitz and Falkenstein, Eric G. and van Vliet, Pim, Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions, Journal of Financial and Quantitative Analysis No. 34 Vol. (4),May 28, 2013.
Fatwa Dewan Syariah Nasional No: 64/DSN-MUI/XII/2007 Tentang Sertifikat Bank Indonesia Syariah Ju’alah (SBIS Ju’alah).
Graham N. Bornholt, “The Failure of the Capital Asset Pricing Model (CAPM): An Update and Discussion”, Available at SSRN: http://ssrn.com/abstract=2224400orhttp://dx.doi.org/10.2139/ssrn.2224400, August 26, 2012.
James Turner, “Momentum Portfolios and the Capital Asset Pricing Model: A Bayesian Approach”, Quarterly Journal of and , Vol. 49, Nos. 3 and 4, DOI: 10.2307/23074629, January 2010.
Jan F. Jacobs, “CAPM Failure & New CAPM Relationship”, Business Valuation Review, Vol.31, October 14, 2004.
Jogiyanto, 2010. Studi Peristiwa: Menguji Reaksi Pasar Modal Akibat Suatu Peristiwa, Yogyakarta: BPFE
Jogiyanto Hartono, 2013. Teori Portofolio dan Analisis Investasi, Yogyakarta: BPFE.
Jusmliani, 2008. Investasi Syariah, Yogyakarta: Kreasi Wacana.
Mike Dempsey, “The Capital Asset Pricing Model (CAPM): The History of a Failed Revolutionary Idea in ?”,Abacus, Vol. 49, pp. 7-23, January 2013.
Mona A. Elbannan, “The Capital Asset Pricing Model: An Overview of the Theory”, International Journal of Economics and ; Vol. 7, No. 1; 2015, ISSN 1916-971X, E-ISSN 1916-9728, 2015.
Muhammad Hanif (Corresponding Author), “Risk and Return under Shari’a Framework: An Attempt to Develop Shari’a Compliant Asset Pricing Model (SCAPM)”, Pakistan Journal Commer Social Science. Vol. 5, No. 2, page 283-292, 2011.
Najmudin, 2011. Manajemen Keuangan dan Akuntansi Syariah Modern, Yogyakarta: ANDI.
Oghenovo A Obrimah, Jacob Alabi and Blessing Ugo-Harry, “How Relevant is the Capital Asset Pricing Model (CAPM) for Tests of Market Efficiency on the Nigerian Stock Exchange?”,Research Journal of and , No. 4, June 4, 2014.
Peraturan Bank Indonesia.
Peter C. Dawson, “The Capital Asset Pricing Model in Economic Perspective”, Applied Economics, Vol. 47, No. 6, pp.569-598, 2015.
Randolph B. Cohen, Christopher Polk, and Tuomo Vuolteenaho, How the Inflation Illusion Killed the CAPM,Available at SSRN: http://ssrn.com/abstract=548402 or http://dx.doi.org/10.2139/ssrn.548402, May 12, 2004.
Roger Dayala, “The Capital Asset Pricing Model, A Fundamental Critique”,Business Valuation Review, Vol.31, Issue 1, pp.23-34, April, 1 2012.
Suhartono dan Fadlillah Qudsi, 2009. Portofolio Investasi dan Bursa Efek, Yogyakarta: UPP YKPN.
Toto Prihadi, 2013. Analisis Laporan Keuangan Lanjutan:Proyeksi dan Valuasi, Jakarta: PPM.
Yi-Cheng, Shih Sheng-Syan, Chen Cheng-Few dan Lee Po-Jung Chen, “The Evolution of Capital Asset Pricing Models”, Review Quantitative 42:415–448, Springer Science Business Media New York, 2014.