PENGUJIAN VALIDITAS EMPIRIS SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) PADA PASAR MODAL SYARIAH DI INDONESIA (STUDI KASUS PADA SAHAM-SAHAM SYARIAH YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) PERIODE 1 JANUARI 2020 – 31 DESEMBER 2021)

Indriyati, NIM.: 18106010049 (2024) PENGUJIAN VALIDITAS EMPIRIS SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) PADA PASAR MODAL SYARIAH DI INDONESIA (STUDI KASUS PADA SAHAM-SAHAM SYARIAH YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) PERIODE 1 JANUARI 2020 – 31 DESEMBER 2021). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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	Text (PENGUJIAN VALIDITAS EMPIRIS SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) PADA PASAR MODAL SYARIAH DI INDONESIA (STUDI KASUS PADA SAHAM-SAHAM SYARIAH YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) PERIODE 1 JANUARI 2020 – 31 DESEMBER 2021)) 18106010049_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf - Published Version Restricted to Registered users only Download (4MB) | Request a copy

Abstract

This research was conducted to test the empirical validity of the Sharia Compliant Asset Pricing Model (SCAPM) in assessing returns and risks on stocks in the Indonesian Islamic capital market. The sample used in this study were stocks listed on the Jakarta Islamic Index (JII) for the period 1 January 2020 to 31 December 2021. The test was carried out using the two pass regression method, which consists of time series regression for the first stage and cross sectional regression for the second stage, followed by a t-test of the intercept and slope. The results show that the SCAPM model is inaccurate because one of the CAPM assumptions is unfulfilied where the beta has no significant effect on the expected returns. This results show that the SCAPM model is not valid for sharia stocks listed on the JII index during the observation period. This study show that there is a linear relationship between the systematic risk and the expected return. However the analysis of SCAPM in this study is inconsistent and could not find complete support of the SCAPM model.

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