ACADSTAFF UGM
| Title | : | Toward the Black–Litterman with Shariah-compliant asset pricing model: a case study on the Indonesian stock market during the COVID-19 pandemic |
| Author | : |
RETNO SUBEKTI (1) Dr. Abdurakhman (2) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (3) |
| Date | : | 19 2022 |
| Keyword | : | Portfolio optimization ,Black–Litterman model ,Shariah investment ,Islamic finance,COVID-19 Portfolio optimization ,Black–Litterman model ,Shariah investment ,Islamic finance,COVID-19 |
| Abstract | : | Purpose – This research aims to demonstrate portfolio modeling, which leads to Sharia compliance in encountering crises because of COVID-19. The authors proposed modifying the Black–Litterman (BL) model adapted to the Sharia principle. The implementation of BL on Shariah-compliant stock data with capital asset pricing model (CAPM) requires adjustment because of the interest rate in the calculation. Thus, the objective of this study is to develop and evaluate the modified BL for Shariah-compliant stock portfolios in the financial crisis caused by the COVID-19 pandemic. Design/methodology/approach – The Sharia-compliant asset pricing model (SCAPM) with the inflation rate was regarded as the new starting point in the BL model. This proposed model was implemented in Indonesia using monthly returns from the Jakarta Islamic Index (JII) list collected from February 2014 to June 2019. Furthermore, the portfolio performance of BL-SCAPM was compared with two reference portfolios, the mean-variance method and BL-CAPM. Findings – The result presents that the portfolio performance of BL-SCAPM outperformed the MV and BLCAPM. The impact of the Sharpe ratio of BL-SCAPM was more significant than the reference portfolio. The equal benefit was procured from both portfolios in July and August 2019. After the COVID-19 outbreak was officially declared in January 2020, the performance of BL-SCAPM was still above the BL. Despite a decline in portfolio value before and during the outbreak, the reference portfolio losses were higher than those of BLSCAPM. Hence, this study manifested that BL-SCAPM outperformed the reference portfolio. Practical implications – The results illustrate the empirical study which can be implemented for the Shariah-compliant stock market in Indonesia. By evaluating portfolio value on the COVID crisis for long investment, replacing CAPM with SCAPM in the BL model can transform the asset proportion. It decreased the portfolio loss during the crisis. Future research can be developed more from the open problems in this implementation to deliver the portfolio model into the Shariah framework with varied SCAPM in BL. Originality/value – The attention to BL studies on portfolio building with Sharia-compliant stocks is rarely focused on the Islamic perspective. Hence, the novelty of this research is the idea of modifying the BL model with a Shariah starting point. More generally, this research enriches Shariah financial literacy regarding the stock market and, specifically, its implementation in the Indonesian stock market. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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L1 Rere DR IMEFM 2022.pdf
Document Type : Dokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian)
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Toward the Black–Litterman with.pdf
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2022 rere toward Toward the Black–Litterman.pdf
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