Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM)
Shariah Compliant Asset Pricing Model (SCAPM) is a modification of the model Capital Asset Pricing Model (CAPM). This research is quantitative descriptive study of theories of optimal portfolio analysis applied to trading stocks, especially in stocks Jakarta Islamic Index. Sampling technique used wa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Pusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE)
2017-03-01
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| Series: | Journal of Economics, Business & Accountancy |
| Subjects: | |
| Online Access: | https://journal.perbanas.ac.id/index.php/jebav/article/view/569 |
| _version_ | 1828530615355441152 |
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| author | Fakhri Husein Shofia Mauizotun Hasanah |
| author_facet | Fakhri Husein Shofia Mauizotun Hasanah |
| author_sort | Fakhri Husein |
| collection | DOAJ |
| description | Shariah Compliant Asset Pricing Model (SCAPM) is a modification of the model Capital Asset Pricing Model (CAPM). This research is quantitative descriptive study of theories of optimal portfolio analysis applied to trading stocks, especially in stocks Jakarta Islamic Index. Sampling technique used was purposive sampling and obtained 26 shares. The analysis tool used is MatLab R2010a. The results of this study are not prove theMarkowitz portfolio theory. This is explained by the amount of Beta market (β_m) a value beta below 1 indicates that the fluctuation of stocks returns do not follow the movement of market fluctuations. Investors are likely to want a high profit, the investors are advised to choose a second portfolio groups, with rate of 0.176722% and investors are likely to enjoy a substantial risk in the investment portfolio are advised to choose the first group with a great risk of 0.8501%. |
| first_indexed | 2024-12-11T22:25:43Z |
| format | Article |
| id | doaj.art-24cdb53cd0bc4babb4d4241c8d0e828a |
| institution | Directory Open Access Journal |
| issn | 2087-3735 2088-785X |
| language | English |
| last_indexed | 2024-12-11T22:25:43Z |
| publishDate | 2017-03-01 |
| publisher | Pusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE) |
| record_format | Article |
| series | Journal of Economics, Business & Accountancy |
| spelling | doaj.art-24cdb53cd0bc4babb4d4241c8d0e828a2022-12-22T00:48:17ZengPusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE)Journal of Economics, Business & Accountancy2087-37352088-785X2017-03-0119310.14414/jebav.v19i3.569536Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM)Fakhri Husein0Shofia Mauizotun Hasanah1Universitas Islam Negeri Sunan Kalijaga YogyakartaUniversitas Islam Negeri Sunan Kalijaga YogyakartaShariah Compliant Asset Pricing Model (SCAPM) is a modification of the model Capital Asset Pricing Model (CAPM). This research is quantitative descriptive study of theories of optimal portfolio analysis applied to trading stocks, especially in stocks Jakarta Islamic Index. Sampling technique used was purposive sampling and obtained 26 shares. The analysis tool used is MatLab R2010a. The results of this study are not prove theMarkowitz portfolio theory. This is explained by the amount of Beta market (β_m) a value beta below 1 indicates that the fluctuation of stocks returns do not follow the movement of market fluctuations. Investors are likely to want a high profit, the investors are advised to choose a second portfolio groups, with rate of 0.176722% and investors are likely to enjoy a substantial risk in the investment portfolio are advised to choose the first group with a great risk of 0.8501%.https://journal.perbanas.ac.id/index.php/jebav/article/view/569Shariah Compliant Asset Pricing Model (SCAPM), Capital Asset Pricing Model (CAPM), Tingkat Imbalan Sertifikat Bank Indonesia Syariah (SBIS). |
| spellingShingle | Fakhri Husein Shofia Mauizotun Hasanah Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM) Journal of Economics, Business & Accountancy Shariah Compliant Asset Pricing Model (SCAPM), Capital Asset Pricing Model (CAPM), Tingkat Imbalan Sertifikat Bank Indonesia Syariah (SBIS). |
| title | Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM) |
| title_full | Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM) |
| title_fullStr | Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM) |
| title_full_unstemmed | Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM) |
| title_short | Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM) |
| title_sort | determining the optimum portfolio of sharia stocks using an approach of shariah compliant asset pricing model scapm |
| topic | Shariah Compliant Asset Pricing Model (SCAPM), Capital Asset Pricing Model (CAPM), Tingkat Imbalan Sertifikat Bank Indonesia Syariah (SBIS). |
| url | https://journal.perbanas.ac.id/index.php/jebav/article/view/569 |
| work_keys_str_mv | AT fakhrihusein determiningtheoptimumportfolioofshariastocksusinganapproachofshariahcompliantassetpricingmodelscapm AT shofiamauizotunhasanah determiningtheoptimumportfolioofshariastocksusinganapproachofshariahcompliantassetpricingmodelscapm |