Perbandingan Explanatory power dan Keakuratan Nilai Expected Return Dari Sharia Compliant Asset Pricing Model (SCAPM) Dalam Kegiatan Investasi Saham Syariah Di Pasar Modal Indonesia

Habibie, Jusuf Lamirada (2020) Perbandingan Explanatory power dan Keakuratan Nilai Expected Return Dari Sharia Compliant Asset Pricing Model (SCAPM) Dalam Kegiatan Investasi Saham Syariah Di Pasar Modal Indonesia. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Sharia Compliant Asset Pricing Model (SCAPM) adalah hasil pengembangan asset pricing model yang memperhatikan prinsip ajaran Islam dengan memodifikasi unsur pengembalian tanpa risiko. Telah ada beberapa penelitian yang menguji model SCAPM dalam hal investasi saham syariah di pasar modal Indonesia. Namun, penelitian mengenai topik tersebut masih sedikit dan mayoritas menggunakan populasi penelitian yang relatif kecil. Penelitian ini membandingkan SCAPM Zakat (SCAPMZ), SCAPM Inflasi (SCAPMI), dan SCAPM SBIS (SCAPMS) dalam hal keakuratan dan explanatory power terhadap pengembalian saham yang terdaftar dalam Daftar Efek Syariah (DES) pada tahun 2015 – 2019 sehingga dapat ditemukan model terbaik diantara tiga model SCAPM tersebut. Keakuratan dari model SCAPM diukur dengan nilai Mean Absolute Deviation (MAD) dan Mean Square Error (MSE). Explanatory power dari model SCAPM diukur dengan nilai adjusted R-squared yang didapatkan dari regresi linear sederhana. Nilai MAD, MSE, dan adjusted R-squared dibandingkan dengan menggunakan uji analisis ragam (ANOVA). Dari penelitian ini, ditemukan bahwa SCAPMI memiliki explanatory power terbaik. Namun, koefisien determinasi yang ditemukan menunjukkan bahwa model tidak dapat menjelaskan sebagian besar varian dari pengembalian saham syariah di pasar modal Indonesia, sehingga masih dibutuhkan pengembangan lebih lanjut agar model dapat menjelaskan varian pengembalian saham syariah di pasar modal Indonesia dengan lebih baik. Lalu, berdasar nilai MAD dan MSE, SCAPMS menjadi model yang paling akurat. Namun, nilai MAD dan MSE dari ketiga SCAPM masih relatif tinggi bila dibandingkan dengan pengembalian rata – rata dari saham syariah selama periode penelitian, sehingga akurasi dari nilai expected return saham yang dihasilkan model masih tergolong rendah. Oleh karena itu, masih diperlukan pengembangan lebih lanjut terhadap SCAPM agar dapat menghasilkan nilai expected return saham yang lebih akurat. ================================================================================================================== Sharia Compliant Asset Pricing Model (SCAPM) is the result of developing an asset pricing model that pays attention to the principles of Islamic teachings by modifying the element of riskless return. There have been several studies examining the SCAPM model in terms of investment in Islamic stocks in the Indonesian capital market. However, research on the topic is still small and the majority use a relatively small research population. This study compares SCAPM Zakat (SCAPMZ), SCAPM Inflation (SCAPMI), and SCAPM SBIS (SCAPMS) in terms of accuracy and explanatory power to stock returns listed in the List of Sharia Securities (DES) in 2015 - 2019 so that the best model can be found among the three SCAPM models. The accuracy of the SCAPM model is measured by the value of Mean Absolute Deviation (MAD) and Mean Square Error (MSE). Explanatory power of the SCAPM model is measured by adjusted R-squared values obtained from simple linear regression. MAD, MSE, and adjusted R-squared values were compared using analysis of variance (ANOVA). From this research, it was found that SCAPMI has the best explanatory power. However, the coefficient of determination found shows that the model cannot explain most of the variants of Islamic stock returns on the Indonesian capital market, so that further development is still needed so that the model can better explain the variance of Islamic stock returns on the Indonesian capital market. Then, based on MAD and MSE values, SCAPMS is the most accurate model. However, the MAD and MSE values of the three SCAPMs are still relatively high when compared to the average returns of Islamic stocks during the study period, so that the accuracy of the expected stock returns generated by the model is still relatively low. Therefore, further development of SCAPM is still needed to produce a more accurate expected stock return.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Saham Syariah, SCAPM, Keakuratan, Explanatory Power, MAD, MSE, Adjusted R-Squared, Islamic stocks, SCAPM, Accuracy, Explanatory Power, MAD, MSE, Adjusted R-Squared
Subjects: H Social Sciences > HA Statistics > HA31.35 Analysis of variance
H Social Sciences > HA Statistics > HA31.3 Regression. Correlation
H Social Sciences > HG Finance
Divisions: Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis
Depositing User: Jusuf Lamirada Habibie
Date Deposited: 14 Aug 2020 07:04
Last Modified: 14 Aug 2020 07:04
URI: http://repository.its.ac.id/id/eprint/78168

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