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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| Format: | Article |
| Language: | English English |
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King Abdulaziz University
2016
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| Online Access: | 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 |
| _version_ | 1848784226431795200 |
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| 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 |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T16:33:53Z |
| format | Article |
| id | iium-53401 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T16:33:53Z |
| publishDate | 2016 |
| publisher | King Abdulaziz University |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 |
| 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 |
| title | 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_short | Capital asset pricing model and pricing of Islamic financial instruments |
| title_sort | capital asset pricing model and pricing of islamic financial instruments |
| topic | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation HJ Public Finance |
| 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 |