Can Zakat and Purification be Employed in Portfolio Modelling?
The Capital Asset Pricing Model (CAPM), which has interest rates in its specification, can be deemed non-Shariah compliant. Therefore, the sukuk rate has been proposed to replace these rates in CAPM. This study analyses portfolio modelling by involving two essential elements in Islamic principles...
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | مقال |
| اللغة: | English |
| منشور في: |
Bank Indonesia Institute
2022
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://repository.ugm.ac.id/278824/1/CAN%20ZAKAT%20AND%20PURIFICATION%20BE%20EMPLOYED%20IN%20PORTFOLIO%20MODELLING.pdf |
| _version_ | 1826050328948113408 |
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| author | Subekti, Retno Abdurakhman, Abdurakhman Rosadi, Dedi |
| author_facet | Subekti, Retno Abdurakhman, Abdurakhman Rosadi, Dedi |
| author_sort | Subekti, Retno |
| collection | UGM |
| description | The Capital Asset Pricing Model (CAPM), which has interest rates in its specification,
can be deemed non-Shariah compliant. Therefore, the sukuk rate has been proposed to
replace these rates in CAPM. This study analyses portfolio modelling by involving two
essential elements in Islamic principles, namely zakat and purification. The concept
of purification has been applied in the Shariah stock selection process in Indonesia,
while at the same time, zakat has been widely socialised in stock investment. The study
highlights two models that consider the concept of zakat reduction and the purification
factors for portfolios in the Indonesian stock market. According to the robustness tests
conducted, the proposed Shariah-compliant asset pricing model developed in this
study is valid. Zakat reduction and purification factor integration in mathematical
models can be applied in portfolio modelling. |
| first_indexed | 2024-03-14T00:02:15Z |
| format | Article |
| id | oai:generic.eprints.org:278824 |
| institution | Universiti Gadjah Mada |
| language | English |
| last_indexed | 2024-03-14T00:02:15Z |
| publishDate | 2022 |
| publisher | Bank Indonesia Institute |
| record_format | dspace |
| spelling | oai:generic.eprints.org:2788242023-11-01T07:07:13Z https://repository.ugm.ac.id/278824/ Can Zakat and Purification be Employed in Portfolio Modelling? Subekti, Retno Abdurakhman, Abdurakhman Rosadi, Dedi Mathematics and Applied Sciences The Capital Asset Pricing Model (CAPM), which has interest rates in its specification, can be deemed non-Shariah compliant. Therefore, the sukuk rate has been proposed to replace these rates in CAPM. This study analyses portfolio modelling by involving two essential elements in Islamic principles, namely zakat and purification. The concept of purification has been applied in the Shariah stock selection process in Indonesia, while at the same time, zakat has been widely socialised in stock investment. The study highlights two models that consider the concept of zakat reduction and the purification factors for portfolios in the Indonesian stock market. According to the robustness tests conducted, the proposed Shariah-compliant asset pricing model developed in this study is valid. Zakat reduction and purification factor integration in mathematical models can be applied in portfolio modelling. Bank Indonesia Institute 2022 Article PeerReviewed application/pdf en https://repository.ugm.ac.id/278824/1/CAN%20ZAKAT%20AND%20PURIFICATION%20BE%20EMPLOYED%20IN%20PORTFOLIO%20MODELLING.pdf Subekti, Retno and Abdurakhman, Abdurakhman and Rosadi, Dedi (2022) Can Zakat and Purification be Employed in Portfolio Modelling? Journal of Islamic Monetary Economics and Finance, 8. pp. 1-16. ISSN 2460-6618 https://jimf-bi.org/index.php/JIMF https://doi.org/10.21098/jimf.v8i0.1418 |
| spellingShingle | Mathematics and Applied Sciences Subekti, Retno Abdurakhman, Abdurakhman Rosadi, Dedi Can Zakat and Purification be Employed in Portfolio Modelling? |
| title | Can Zakat and Purification be Employed in Portfolio Modelling? |
| title_full | Can Zakat and Purification be Employed in Portfolio Modelling? |
| title_fullStr | Can Zakat and Purification be Employed in Portfolio Modelling? |
| title_full_unstemmed | Can Zakat and Purification be Employed in Portfolio Modelling? |
| title_short | Can Zakat and Purification be Employed in Portfolio Modelling? |
| title_sort | can zakat and purification be employed in portfolio modelling |
| topic | Mathematics and Applied Sciences |
| url | https://repository.ugm.ac.id/278824/1/CAN%20ZAKAT%20AND%20PURIFICATION%20BE%20EMPLOYED%20IN%20PORTFOLIO%20MODELLING.pdf |
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