Capital asset pricing model and pricing of Islamic financial instruments

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 Sharī...

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Main Authors:	Hakim, Shabir Ahmad, Hamid, Zarinah, Mydin Meera, Ahamed Kameel
Format:	Article
Language:	English English
Published:	King Abdulaziz University 2016
Subjects:	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation HJ Public Finance
Online Access:	http://irep.iium.edu.my/53401/ http://irep.iium.edu.my/53401/ http://irep.iium.edu.my/53401/ http://irep.iium.edu.my/53401/1/JKAU%20IE%20Journal-%2029%20No1%20Jan%202016.pdf http://irep.iium.edu.my/53401/7/53401-Capital%20asset%20pricing%20model%20and%20pricing%20of%20islamic%20financial%20instruments_SCOPUS.pdf

id	iium-53401
recordtype	eprints
spelling	iium-534012018-05-23T07:53:21Z http://irep.iium.edu.my/53401/ Capital asset pricing model and pricing of Islamic financial instruments Hakim, Shabir Ahmad Hamid, Zarinah Mydin Meera, Ahamed Kameel HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation HJ Public Finance 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. King Abdulaziz University 2016-01 Article PeerReviewed application/pdf en http://irep.iium.edu.my/53401/1/JKAU%20IE%20Journal-%2029%20No1%20Jan%202016.pdf application/pdf en http://irep.iium.edu.my/53401/7/53401-Capital%20asset%20pricing%20model%20and%20pricing%20of%20islamic%20financial%20instruments_SCOPUS.pdf Hakim, Shabir Ahmad and Hamid, Zarinah and Mydin Meera, Ahamed Kameel (2016) Capital asset pricing model and pricing of Islamic financial instruments. Journal of King Abdulaziz University Islamic Economics, 29 (1). pp. 21-39. ISSN 7383-1018 http://iei.kau.edu.sa/Files/121/Files/153873_29-01-02-CAPM.pdf 10.4197 / Islec. 29-1.2
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation HJ Public Finance
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation HJ Public Finance Hakim, Shabir Ahmad Hamid, Zarinah Mydin Meera, Ahamed Kameel Capital asset pricing model and pricing of Islamic financial instruments
description	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.
format	Article
author	Hakim, Shabir Ahmad Hamid, Zarinah Mydin Meera, Ahamed Kameel
author_facet	Hakim, Shabir Ahmad Hamid, Zarinah Mydin Meera, Ahamed Kameel
author_sort	Hakim, Shabir Ahmad
title	Capital asset pricing model and pricing of Islamic financial instruments
title_short	Capital asset pricing model and pricing of Islamic financial instruments
title_full	Capital asset pricing model and pricing of Islamic financial instruments
title_fullStr	Capital asset pricing model and pricing of Islamic financial instruments
title_full_unstemmed	Capital asset pricing model and pricing of Islamic financial instruments
title_sort	capital asset pricing model and pricing of islamic financial instruments
publisher	King Abdulaziz University
publishDate	2016
url	http://irep.iium.edu.my/53401/ http://irep.iium.edu.my/53401/ http://irep.iium.edu.my/53401/ http://irep.iium.edu.my/53401/1/JKAU%20IE%20Journal-%2029%20No1%20Jan%202016.pdf http://irep.iium.edu.my/53401/7/53401-Capital%20asset%20pricing%20model%20and%20pricing%20of%20islamic%20financial%20instruments_SCOPUS.pdf
first_indexed	2023-09-18T21:15:34Z
last_indexed	2023-09-18T21:15:34Z
_version_	1777411538604261376

Capital asset pricing model and pricing of Islamic financial instruments

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