%A NIM. 17106010044 RYSTA DWI OKTAVIA
%O Dr. Epha Diana Supandi M.Sc
%T ANALISIS PORTOFOLIO OPTIMAL SAHAM SYARIAH MENGGUNAKAN SHARI’A COMPLIAN ASSET PRICING MODEL (SCAPM)
(Studi Kasus : Saham Syariah Jakarta Islamic Index (JII))
%X Capital Asset Pricing Model (CAPM) is one model that can be used to form an optimum portofolio. CAPM analysis in it’s calculating contains the concept of usury. As a Muslim investor, the concept of usury is prohibited in Islam. Modification of the CAPM model in the form of a sharia model analysis is called the Shari’a Complian Asset Pricing Model (SCAPM). This study replace the concept of interest in the CAPM model with the level of zakat, sukuk, and SBIS. The data used is stock data included in the Jakarta Islamic Index (JII) for the period June 2015 to June 2020. There are 11 stock samples used in this study. After the analysis, there are seven stock that make up the optimum portofolio using the zakat rate with the proportion of 3,558 % CPIN, 37,126 % ICBP, 0,021 % INCO, 12,282 % INDF, 0,954 % PTBA, 31,393 % TLKM, dan 14,666 % UNTR. This proportion is expected to provide a profit of 0,654 % and a risk of 7,672 % every month. SCAPM with a sukuk rate is expected to provide a profit of 1,026 % and a risk of 6,699 % every month with the proportion of its constituent shares being 2,32 % CPIN and 97,68 % ICBP. And the proportion of stocks forming the optimum portofolio using SCAPM with SBIS level is 2,679 % CPIN and 97,327 % ICBP with an expected profit of 1,029 % and a risk of 6,732 % each month. Based on the result that have been shown, SCAPM with SBIS has the highest expected rate of return
%K Investment, CAPM, Optimum Portofolio, SCAPM
%D 2021
%I UIN SUNAN KALIJAGA YOGYAKARTA
%L digilib46943