Faisol, Ahmad and Nidar, Sulaeman and Febrian, Erie and Herwany, Aldrin Sharia Compiant Assets Pricing Model in Mudharabah Perspective : Evidence from Indonesia Stock Exchange. In: Global Advance Research Conference On Management & Business, 24 -25 Oktober 2020, Bandung. (Submitted)

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Abstract: Introduction/Main Objectives: The use of risk-free rate instrument in calculating CAPM has been a distinctive problem for the performers of sharia economic because it is considered to be related to usury and violates the principle of profits accompanying risk (al-ghunm bi ghurum) and profit result from work. (al-kharaj bil damam). Therefore, some practitioners arrange the alternative model that do not involve risk-free rate in the calculation, namely Tomkin and Karim who remove all component of interest, Asker who proposes zakat 2,5% as the minimum rate, Dirbali who proposes the alternative use of sukuk returns, Sheikh who applies the alternative growth of GDP, and Hanif who uses inflation as the replacement of interest. The research proposes the arguments about the weakness of each model, as well as developing the other alternative models that could be used as the replacement of risk-free rate in the calculation of Sharia Compliant Asset Pricing Model (SCAPM) model. Novelty: The research proposes the SCAPM Model by applying mudharabah as the alternative of risk-free rate as a novelty. The inexistence of previous researcher who study the same model may be caused by the reason that mudharabah is not a return type that provides income certainty so that it is difficult to be set as a benchmark of risk in calculation. Research Methods: Model used in this research testing is the modification from the regression model of CAPM, with significant testing of mudharabah variable using partial significance test (t-test), while the test for SCAPM model as an alternative to CAPM uses two different mean tests as well as applying the Mann-Whitney test. Finding/Results: The result obtained in this research is mudharabah variable has significant value in SCAPM regression model so that it can be stated that mudharabah variable can be used as a substitute for the risk-free rate in developing the SCAPM model. Meanwhile, related to the difference test between SCAPM and CAPM models, it was found that there was no average difference between SCAPM and CAPM. Therefore, it could be concluded that mudharabah SCAPM model could be used as an alternative model for CAPM replacement model. Conclusion: It can be concluded that SCAPM model with the application of mudharabah variable can be used as the alternative replacement model of CAPM in estimating the return value of the securities. Keywords: SCAPM, risk-free rate, usury, mudharabah, zakat JEL Classifications: G1

Item Type: Conference or Workshop Item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Fakultas Ekonomi dan Bisnis (FEB) > Prodi Manajemen
Depositing User: AHMAD FAISOL
Date Deposited: 18 Nov 2020 07:32
Last Modified: 18 Nov 2020 07:32
URI: http://repository.lppm.unila.ac.id/id/eprint/26036

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