Do CAPM or APT is Better in Predicting Sharia Stock Return?

Authors

  • Gusni, Gatri Susilawati, Indriati Melanda Utami, Novi Hardianti, Selvia Nurul Aswendah

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.

Published

2020-12-10

Issue

Section

Articles