DO CAPM OR APT IS BETTER IN PREDICTING SHARIA STOCK RETURN?
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Date
2020
Journal Title
Journal ISSN
Volume Title
Publisher
Solid State Technology
Abstract
Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory are two basic models for
understanding the relationship between stock return and risk in assessing shares traded in
the capital market. The purpose of this study is to understand whether CAPM or APT is
better and more accurate in predicting the return of sharia stocks traded in the Indonesia
capital market. This study uses secondary data gathered from the official website of
Indonesia Capital Market. In the way to achieve the research objective, this study using mean
signed prediction error to verify which method is more accurate in predicting sharia stock
return in Jakarta Islamic Index (JII) 30 for the period of 2015 – 2019 which sample was
taken from 14 companies by using a purposive sampling technique. The result of this study
indicate that the APT method is more suitable and accurate using by investors in estimating
the return of sharia stocks that are registered in the Jakarta Islamic Index (JII) 30.
Description
Keywords
CAPM, APT, expected return, sharia stock, JII 30