Analisis Saham Syariah Efisien dengan Pendekatan Shari’a Compliant Asset Pricing Model (SCAPM) pada Jakarta Islamic Index (JII)

Zainul Hasan Quthbi

Abstract


The objective of this article is to analyze the Islamic stocks are relatively efficient for investment decisions using SCAPM (Shari’a Compliant Asset Pricing Model). SCAPM is a modified form of the CAPM (Capital Asset Pricing Model) which aims to frame the analysis model within the framework of Shari’a. The data collection technique is documentation of data that is secondary. 13 samples used in the study of Islamic stocks with consistent criteria of Islamic stocks enter the JII (Jakarta Islamic Index) study period in December 2013 to November 2016 and has a positive individual stock returns. Results from the study showed there were 9 of Islamic stocks are relatively efficient and the 4 remaining inefficient. Shares of PT. Adaro Energy has the largest RVAR value means having the most excellent stock performance.

Artikel ini bermaksud untuk menganalisis saham syariah yang tergolong efisien untuk keputusan investasi dengan menggunakan SCAPM (Shari’a Compliant Asset Pricing Model). SCAPM adalah bentuk modifikasi dari CAPM (Capital Asset Pricing Model) yang bertujuan agar kerangka model analisis masih dalam kerangka syariah. Teknik pengumpulan data adalah dokumentasi dari data yang bersifat sekunder. Digunakan 13 sampel saham syariah pada penelitian ini dengan kriteria saham syariah yang konsisten masuk pada JII (Jakarta Islamic Index) periode penelitian Desember 2013 hingga November 2016 dan memiliki pengembalian saham individual positif. Hasil dari penelitian menunjukkan terdapat 9 saham syariah yang tergolong efisien dan 4 sisanya tidak efisien. Saham PT. Adaro Energy memiliki nilai RVAR terbesar yang berarti memiliki kinerja saham paling baik.


Keywords


saham; syariah; efisien; SCAPM

Full Text:

PDF

References


Elbannan, Mona A. 2015. "The Capital Asset Pricing Model: An Overview of The Theory." International Journal of Economic and Finance (, The Capital Asset Pricing Model: An Overview of The Theory. InternationaCanadian Center of Science and Education) 7, no. 1, 222.

Hadi, Irham Fahmi dan Yovi Lavianti. 2011. Teori Portofolio dan Analisis. Bandung: Alfabeta.

Halim, Abdul. 2005. Analisis Investasi. Jakarta: Salemba Empat.

Hanif, Muhammad. 2011. "Risk and Return Under Shari’a Framework: An Attempt to Develop Shari’a Compliant Asset Pricing Model (SCAPM)." Pakistan Journal Commer Social Science (Pakistan Journal Commer Social Science) 5, no. 2.

Hartono, Jogiyanto. 2010. Menguji Pasar Modal Akibat Suatu Peristiwa. Yogyakarta: BPFE.

—. 2013. Teori Portopolio dan Analisis Investasi. Vol. Edisi Ketujuh. Yogyakarta: BPFE.

Husnan, Suad. 2009. Teori Portopolio dan Analisis Sekuritas. Edisi Keempat. Yogyakarta: UPP STIM YKPN.

Ismail, Wan Abdillah Wan. 2015. "The Quality of Earnings in Shariah-Compliant Companies: Evidence From Malaysia." , et. al. The Quality of Earnings in Shariah Journal of Islamic Accounting and Business Research 6, no. 1.

Muhammad. 2014. Manajemen Keuangan Syari’ah. Yogyakarta: LPP STIM YKPN.

Randolf B. Cohen, et. al. n.d. 2017. SSRN: http://dx.doi.org/ 10.2139/ ssrn548402 (accessed Maret 10).

Supomo, Nur Indriantoro dan Bambang. 2014. "Metodologi Penelitian Bisnis." Yogyakarta: BPFE.

William F. Sharpe, Gordon J. Alexander dan Jeffery V. Bailey. 1995. Investment. New Jersey: Prentice Hall, Inc.




DOI: http://dx.doi.org/10.21580/economica.2017.8.1.1829

Refbacks

  • There are currently no refbacks.




Copyright (c) 2017 Economica: Jurnal Ekonomi Islam

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

Economica: Jurnal Ekonomi Islam Indexed by:

Journal Terindex di DOAJ Journal Terindex di Academia Journal Terindex di Base Journal Terindex di Crossref Journal Terindex di Google Scholar Journal Terindex di Portal Garuda Journal Terindex di Moraref    

Copyright (c) 2017 Economica: Jurnal Ekonomi Islam

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License

shopify analytics ecommerce View My Stats