ANALISIS PORTOFOLIO OPTIMAL SAHAM SYARIAH MENGGUNAKAN SHARI'A COMPLIAN ASSET PRICING MODEL (SCAPM)

Abstract

Capital Asset Pricing Model (CAPM) is one model that can be used to form an optimum portofolio. CAPM analysis in its calculating contains the concept of usury. As a Muslim investor, the concept of usury is prohibited in Islam. Modification of the CAPM model in the form of a sharia model analysis is called the Sharia Complian Asset Pricing Model (SCAPM). This study replace the concept of interest in the CAPM model with the level of zakat, sukuk, and SBIS. The data used is stock data included in the Jakarta Islamic Index (JII) for the period June 2015 to June 2020. There are 11 stock samples used in this study. After the analysis, SCAPM with SBIS has the best expected return and portofolio performance when compared to the SCAPM model with zakat and sukuk levels.