Analisis Saham Syariah Efisien dengan Pendekatan Shari’a Compliant Asset Pricing Model (SCAPM) pada Jakarta Islamic Index (JII)
DOI:
https://doi.org/10.21580/economica.2017.8.1.1829Keywords:
saham, syariah, efisien, SCAPMAbstract
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.
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