creators_name: Abdullah Samy , Assyakiri 
creators_id: 2011011050
type: other
datestamp: 2025-02-05 04:06:07
lastmod: 2025-02-05 04:06:07
metadata_visibility: show
title: UJI VALIDITAS MODEL SHARIA COMPLIANCE ASSET PRICING MODEL
(SCAPM) MUDHARABAH DAN CAPITAL ASSET PRICING MODEL (CAPM)
PADA PORTOFOLIO OPTIMUM SAHAM SYARIAH DI BURSA EFEK
INDONESIA PERIODE 2019 - 2023
ispublished: submitted
subjects: 330
subjects: 332
subjects: 650
full_text_status: restricted
abstract: Penelitian ini mengevaluasi dan membandingkan Capital Asset Pricing Model
(CAPM) dan Sharia Compliance Asset Pricing Model (SCAPM) dalam membentuk
portofolio saham optimum berdasarkan indeks saham syariah di Bursa Efek
Indonesia, khususnya pada Jakarta Islamic Index (JII) selama periode 2019-2023.
Tujuan utama dari penelitian ini adalah untuk melihat apakah model SCAPM, yang
menggunakan return bagi hasil mudharabah sebagai pengganti risk-free rate, dapat
memberikan hasil yang lebih relevan bagi investor Muslim dibandingkan model
CAPM. Melalui pendekatan kuantitatif dan metode two-step regression, penelitian
ini membentuk portofolio optimum dengan menghitung beta saham dan menguji
hubungan antara risiko sistematis dan return ekspektasi. Hasil penelitian
menunjukkan bahwa kedua model, CAPM dan SCAPM, tidak valid terhadap risk
dan expected return portofolio saham optimum JII. Penelitian ini diharapkan dapat
menjadi referensi bagi investor syariah dalam membuat keputusan investasi dan
manajer investasi dalam merancang strategi investasi yang sesuai dengan syariat
Islam.
Kata kunci: Capital Asset Pricing Model, Sharia Compliance Asset Pricing Model,
Mudharabah, Portofolio Optimum, Saham Syariah, Jakarta Islamic Index

This study evaluatesand compares the Capital Asset Pricing Model (CAPM) and
the Sharia Compliance Asset Pricing Model (SCAPM) in forming an optimum stock
portfolio based on the sharia stock index on the Indonesia Stock Exchange,
particularly the Jakarta Islamic Index (JII) for the 2019-2023 period. The main
objective of this study is to assess whether the SCAPM model, which uses
mudharabah profit-sharing returns as a substitute for the risk-free rate, can provide
more relevant results for Muslim investors compared to the CAPM model. Through
a quantitative approach and the two-step regression method, this research forms
an optimum portfolio by calculating stock betas and examining the relationship
between systematic risk and expected returns. The results indicate that both models,
CAPM and SCAPM, are not valid in predicting risk and expected returns for the
JII optimum stock portfolio. This research is expected to serve as a reference for
sharia investors in making investment decisions and for investment managers in
designing investment strategies that comply with Islamic principles.
Keywords: Capital Asset Pricing Model, Sharia Compliance Asset Pricing Model,
Mudharabah, Optimum Portfolio, Sharia Stocks, Jakarta Islamic Index.
date: 2025-01-17
date_type: published
publisher: FAKULTAS EKONOMI DAN BISNIS
place_of_pub: UNIVERSITAS LAMPUNG
id_number: 2011011050
citation:   Abdullah Samy , Assyakiri   (2025) UJI VALIDITAS MODEL SHARIA COMPLIANCE ASSET PRICING MODEL (SCAPM) MUDHARABAH DAN CAPITAL ASSET PRICING MODEL (CAPM) PADA PORTOFOLIO OPTIMUM SAHAM SYARIAH DI BURSA EFEK INDONESIA PERIODE 2019 - 2023.  FAKULTAS EKONOMI DAN BISNIS, UNIVERSITAS LAMPUNG.    (Submitted)  
document_url: http://digilib.unila.ac.id/82063/1/ABSTRAK.pdf
document_url: http://digilib.unila.ac.id/82063/2/SKRIPSI%20FULL.pdf
document_url: http://digilib.unila.ac.id/82063/3/SKRIPSI%20TANPA%20BAB%20PEMBAHASAN.pdf