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All Journal Journal of Applied Islamic Economics and Finance
Abdurrohman Abdurrohman
Program Studi D4 Keuangan Syariah, Politeknik Negeri Bandung
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Penilaian Efisiensi Saham Syari’ah dengan Pendekatan Shari’a Compliant Asset Pricing Model pada Jakarta Islamic Index Abdurrohman Abdurrohman; Diharpi Herli Setyowati; Tjetjep Djuwarsa
Journal of Applied Islamic Economics and Finance Vol 1 No 3 (2021): Journal of Applied Islamic Economics and Finance (June 2021)
Publisher : Jurusan Akuntansi Politeknik Negeri Bandung

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (650.069 KB) | DOI: 10.35313/jaief.v1i3.2604

Abstract

The purpose of this study is to analyze the efficiency of Islamic stocks in several companies which are listed on the Jakarta Islamic Index (JII) from January 2014 to November 2018. This study uses the Shari'a Compliant Asset Pricing Model (SCAPM) method modification of the Capital Asset Pricing Model (CAPM) to be appropriate with sharia principles. The variables of this study are Stock Return (Ri), Market Return (Rm), Stock Beta (β), SBIS Yields, Requred Rate of Return (RRR). The sample in this study is determined by using purposive sampling. This research is a type of descriptive quantitative research and data collection technique is from the documentation of secondary quantitative data, then they are all processed by Microsoft Excel. The results of this study, from 12 samples of sharia stocks shows that there are 7 sharia stocks classified as efficient and 5 sharia stocks classified as inefficient.
Co-Authors Diharpi Herli Setyowati Tjetjep Djuwarsa