Shariah-compliant Capital Asset Pricing Model: new mathematical modeling

Abdelkader Derbali (), Abderrazek El Khaldi () and Fathi Jouini ()
Additional contact information
Abdelkader Derbali: University of Sousse
Abderrazek El Khaldi: University of Sousse

Journal of Asset Management, 2017, vol. 18, issue 7, No 3, 527-537

Abstract: Abstract The main objective of our paper is to propose a novel approach in pricing Islamic financial assets in accordance with shariah, advocated by contemporary investment theories of Markowitz’s Mean–Variance Analysis and CAPM. The shariah-compliant Capital Asset Pricing Model that we developed with a few changing’s of the traditional Capital Asset Pricing Model is integrating zakat, purification of return and exclusion of short sales. Then, we utilize a sample composed of 10 shariah-compliant public-listed companies in Bursa Malaysia. The empirical results find that the proposed Islamic CAPM is appropriate and applicable in investigating the linkage among risk and return in the Islamic stock market. Our investigation contributes to existing body of knowledge by presenting an algorithm and mathematical modeling of the shariah-compliant CAPM which has been lacking in the literature of Islamic finance.

Keywords: CAPM; Shariah; Islamic finance; Zakat; Purification (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1057/s41260-017-0051-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Shariah-compliant capital asset pricing model: New mathematical modeling (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:18:y:2017:i:7:d:10.1057_s41260-017-0051-x

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-017-0051-x

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().