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Capital Asset Pricing Model and Pricing of Islamic Financial Instruments نموذج تسعير الأصول الرأسمالية وتسعير الأدوات المالية الإسلامية

Author

Listed:
  • Shabir Ahmad Hakim

    (Effat University Jeddah, Saudi Arabia)

  • Zarinah Hamid

    (International Islamic University Malaysia)

  • Ahamed Kameel Mydin Meera

    (International Islamic University Malaysia)

Abstract

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 Sharīʿah-complaint 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. إن تحريم الربا (الفائدة)، وتحريم تداول الأدوات المالية للشركات المحرمة (غير المتوافقة مع الشريعة) يفرض إعادة النظر في الفضاء الاستثماري الذي يقوم عليه نموذج تقييم الأصول الرأسمالية (Capital Asset Pricing Model - CAPM )؛ حيث أن أصولاً خالية من المخاطر ومحفظة سوقية تشتمل على أدوات للشركات المحرمة لا علاقة له بعالم الاستثمار القائم على الأسس والمبادئ الإسلامية. اقترحت الدراسة نوعين من (CAPM) نموذج تقييم الأصول الرأسمالية المتوافق مع الشريعة الإسلامية، والذي يستخدم محفظة سوقية تشتمل على أدوات متوافقة مع الشريعة فقط ولا يشتمل على أصول خالية من المخاطر. اختبرت الدراسة النماذج المقترحة مع النموذج التقليدي مع تطبيق لذلك في بورصة ماليزيا مستخدمةً بيانات تمتد مُدد بعضها إلى ثلاث سنوات، والبعض الآخر عشر سنوات. وأظهرت نتائج اختبار النماذج للبيانات ذات السنوات الثلاث تشابهاً ملحوظاً بين النماذج المقترحة المتوافقة مع الشريعة. وإلى جانب ذلك، فإن نموذج تقييم الأصول الرأسمالية المتوافق مع الشريعة قادر على شرح العوائد على الأسهم المتوافقة مع الشريعة بدقة مماثلة لـلنموذج التقليدي في شرحه للعوائد على جميع الأسهم.

Suggested Citation

  • Shabir Ahmad Hakim & Zarinah Hamid & Ahamed Kameel Mydin Meera, 2016. "Capital Asset Pricing Model and Pricing of Islamic Financial Instruments نموذج تسعير الأصول الرأسمالية وتسعير الأدوات المالية الإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 29(1), pages 21-39, January.
    • Handle: RePEc:abd:kauiea:v:29:y:2016:i:1:no:2:p:21-39
    DOI: 10.4197/Islec.29-1.2
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    References listed on IDEAS

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    Cited by:

    1. Abdelkader Derbali & Abderrazek El Khaldi & Fathi Jouini, 2017. "Shariah-compliant Capital Asset Pricing Model: new mathematical modeling," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 527-537, December.
    2. Nahla Ghazi Aljudaibi & Shabir Ahmad Hakim & Tahar Tayachi, 2018. "Modeling Prices of Islamic Commodity Swaption نمذجة أسعار عقود سلع المبادلة الإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 31(2), pages 111-131, July.
    3. Jardine A. Husman & Ali Sakti & Dahnila Dahlan & Imam Wahyudi Indrawan & Zaäfri A. Husodo & Nur Dhani Hendranastiti & Muhammad Budi Prasetyo & Wahyu Jatmiko, 2022. "On The Development Of The Islamic Benchmark Rate: An Indonesian Case," Working Papers WP/04/2022, Bank Indonesia.
    4. Ahmad Faisol & Sulaeman Rahman Nidar & Aldrin Herwany, 2022. "The Analysis of Risk and Return Using Sharia Compliance Assets Pricing Model with Profit-Sharing Approach (Mudharabah) in Energy Sector Company in Indonesia," JRFM, MDPI, vol. 15(10), pages 1-14, September.

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    More about this item

    Keywords

    Asset pricing; Sharīʿah-compliant CAPM; Sharīʿah-compliant zero-beta portfolio; Sharīʿah-compliant market portfolio; Islamic financial instruments.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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