Capital asset pricing model and pricing of Islamic financial instruments
Other Title(s)
نموذج تسعير الأصول الرأسمالية و تسعير الأدوات المالية الإسلامية
Joint Authors
Hakim, Shubayr Ahmad
Hamid, Zarinah
Mira, Ahmad Kamil Maydin
Source
Journal of King Abdulaziz University : Islamic Economics
Issue
Vol. 29, Issue 1 (31 Jan. 2016), pp.21-39, 19 p.
Publisher
King Abdulaziz University Scientific Publishing Center
Publication Date
2016-01-31
Country of Publication
Saudi Arabia
No. of Pages
19
Main Subjects
Financial and Accounting Sciences
Religion
Islamic Studies
Topics
- Islamic jurisprudence
- Foundations of Islamic jurisprudence
- Islam
- Markets
- Derivative securities
- Price policy
- Prices
- Financing
- Capital
- Interest rates
- Provisions of sharia
- Religious aspects
- Investment portfolio
Abstract AR
The prohibitions of ribā (interest) and trading in non-ḥalāl businesses in Islam redefines investment universe assumed by Capital Asset Pricing Model (CAPM).
In Islamic investment world, risk-free asset and market portfolio with non-ḥalāl constituents are irrelevant.
We propose two-versions of Sharīʿah-compliant CAPM that use Sharīʿahcomplaint market portfolio and are free of risk-free asset.
We test the proposed models together with conventional CAPM in Bursa Malaysia using three- and ten-year data.
The test results of the models with three-year data reveal remarkable similarity between versions of Sharīʿah-compliant models.
Besides, Sharīʿah-compliant CAPM is as capable of explaining returns on Sharīʿah-complaint stocks as conventional CAPM is of explaining returns on all stocks.
American Psychological Association (APA)
Hakim, Shubayr Ahmad& Hamid, Zarinah& Mira, Ahmad Kamil Maydin. 2016. Capital asset pricing model and pricing of Islamic financial instruments. Journal of King Abdulaziz University : Islamic Economics،Vol. 29, no. 1, pp.21-39.
https://search.emarefa.net/detail/BIM-667927
Modern Language Association (MLA)
Mira, Ahmad Kamil Maydin…[et al.]. Capital asset pricing model and pricing of Islamic financial instruments. Journal of King Abdulaziz University : Islamic Economics Vol. 29, no. 1 (Jan. 2016), pp.21-39.
https://search.emarefa.net/detail/BIM-667927
American Medical Association (AMA)
Hakim, Shubayr Ahmad& Hamid, Zarinah& Mira, Ahmad Kamil Maydin. Capital asset pricing model and pricing of Islamic financial instruments. Journal of King Abdulaziz University : Islamic Economics. 2016. Vol. 29, no. 1, pp.21-39.
https://search.emarefa.net/detail/BIM-667927
Data Type
Journal Articles
Language
English
Notes
Includes appendix : p. 36-37
Record ID
BIM-667927