Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto

This study investigates the emerging field of Islamic finance through the lens of a Shari’ah-Compliant Asset Pricing Model (SCAPM) that incorporates the principles of Maqasid al-Shari’ah. By redefining the conventional risk-free rate based on necessities (daruriyyat) and integrating the investor sen...

Full description

Saved in:

Bibliographic Details
Main Author:	Febrianto, Igo
Format:	Thesis
Language:	English
Published:	2024
Subjects:	Economic development
Online Access:	https://ir.uitm.edu.my/id/eprint/107089/1/107089.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-uitm-ir.107089
record_format	uketd_dc
spelling	my-uitm-ir.1070892024-12-03T08:48:09Z Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto 2024 Febrianto, Igo Economic development Investment, capital formation, speculation This study investigates the emerging field of Islamic finance through the lens of a Shari’ah-Compliant Asset Pricing Model (SCAPM) that incorporates the principles of Maqasid al-Shari’ah. By redefining the conventional risk-free rate based on necessities (daruriyyat) and integrating the investor sentiment risk rooted in the concept of nafs in Islam derived from Maqasid al-Shari’ah, the study aims to enhance the SCAPM framework within the Islamic financial paradigm. The development of a framework grounded in Islamic principles, such as Maqasid al-Shari’ah, is expected to provide a foundation for Islamic financial stakeholders to further develop Islamic financial models. The research focuses on the Indonesian Stock Exchange, examining the complex interplay between the market risk premium, investor sentiment, and market conditions. The empirical investigation employs a Panel Autoregressive Distributed Lag (Panel ARDL) analysis. This approach allows for the estimation of both short-run and long-run correlations, aligning with the dynamic nature of financial markets. The dataset includes 109 Shari’ah-compliant entities listed over a period of 164 months from October 2007 to June 2021. The findings indicate that in the long-run, the Islamic market risk premium and investor sentiment positively affect Shari’ah-compliant stock returns. Interestingly, in the short term, the market risk premium exhibits a negative impact on these returns, while investor sentiment continues to have a positive influence. The role of moderating market conditions in the relationship between investor sentiment and Shari’ah-compliant stocks is only observed in the short term. The study further enriches and unravels sector-specific nuances within the framework by testing the SCAPM in industrial sectors such as Agriculture, Basic Industry and Chemicals, Consumer Goods, Infrastructure and Utilities, Mining, Miscellaneous, Property and Real Estate, and Trade, Service, and Investment. In industry-specific testing, the market risk premium remains a significant variable affecting Shari’ah-compliant stock returns. However, the results of investor sentiment, measured by direct, indirect measurements and sentiment index, vary from one industry to another. This suggests that an industry-specific analysis should be considered when evaluating market risk premium and investor sentiment as risk factors for investing in Shari’ah-compliant stocks. By integrating the Islamic ground principle of Maqasid al Shari'ah into the SCAPM framework, the research contributes to the theoretical underpinnings of Islamic finance and also provides empirical insights useful for investment decisions in Shari’ah-compliant markets. This study aims to promote the development of SCAPM using Maqasid al-Shari’ah and offer empirical evidence on market and investor risk factors. These findings can guide policymakers and researchers in fostering modern Islamic financial models grounded in Islamic principles. 2024 Thesis https://ir.uitm.edu.my/id/eprint/107089/ https://ir.uitm.edu.my/id/eprint/107089/1/107089.pdf text en public phd doctoral Universiti Teknologi MARA (UiTM) Accounting Research Institute (ARI) Mohamed, Norhayati Bujang, Imbarine
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
advisor	Mohamed, Norhayati Bujang, Imbarine
topic	Economic development Economic development
spellingShingle	Economic development Economic development Febrianto, Igo Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto
description	This study investigates the emerging field of Islamic finance through the lens of a Shari’ah-Compliant Asset Pricing Model (SCAPM) that incorporates the principles of Maqasid al-Shari’ah. By redefining the conventional risk-free rate based on necessities (daruriyyat) and integrating the investor sentiment risk rooted in the concept of nafs in Islam derived from Maqasid al-Shari’ah, the study aims to enhance the SCAPM framework within the Islamic financial paradigm. The development of a framework grounded in Islamic principles, such as Maqasid al-Shari’ah, is expected to provide a foundation for Islamic financial stakeholders to further develop Islamic financial models. The research focuses on the Indonesian Stock Exchange, examining the complex interplay between the market risk premium, investor sentiment, and market conditions. The empirical investigation employs a Panel Autoregressive Distributed Lag (Panel ARDL) analysis. This approach allows for the estimation of both short-run and long-run correlations, aligning with the dynamic nature of financial markets. The dataset includes 109 Shari’ah-compliant entities listed over a period of 164 months from October 2007 to June 2021. The findings indicate that in the long-run, the Islamic market risk premium and investor sentiment positively affect Shari’ah-compliant stock returns. Interestingly, in the short term, the market risk premium exhibits a negative impact on these returns, while investor sentiment continues to have a positive influence. The role of moderating market conditions in the relationship between investor sentiment and Shari’ah-compliant stocks is only observed in the short term. The study further enriches and unravels sector-specific nuances within the framework by testing the SCAPM in industrial sectors such as Agriculture, Basic Industry and Chemicals, Consumer Goods, Infrastructure and Utilities, Mining, Miscellaneous, Property and Real Estate, and Trade, Service, and Investment. In industry-specific testing, the market risk premium remains a significant variable affecting Shari’ah-compliant stock returns. However, the results of investor sentiment, measured by direct, indirect measurements and sentiment index, vary from one industry to another. This suggests that an industry-specific analysis should be considered when evaluating market risk premium and investor sentiment as risk factors for investing in Shari’ah-compliant stocks. By integrating the Islamic ground principle of Maqasid al Shari'ah into the SCAPM framework, the research contributes to the theoretical underpinnings of Islamic finance and also provides empirical insights useful for investment decisions in Shari’ah-compliant markets. This study aims to promote the development of SCAPM using Maqasid al-Shari’ah and offer empirical evidence on market and investor risk factors. These findings can guide policymakers and researchers in fostering modern Islamic financial models grounded in Islamic principles.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Febrianto, Igo
author_facet	Febrianto, Igo
author_sort	Febrianto, Igo
title	Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto
title_short	Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto
title_full	Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto
title_fullStr	Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto
title_full_unstemmed	Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto
title_sort	investor sentiment and shari’ah-compliant asset pricing model in indonesia / igo febrianto
granting_institution	Universiti Teknologi MARA (UiTM)
granting_department	Accounting Research Institute (ARI)
publishDate	2024
url	https://ir.uitm.edu.my/id/eprint/107089/1/107089.pdf
_version_	1818588204598558720

Investor sentiment and shari’ah-compliant asset pricing model in Indonesia / Igo Febrianto

Similar Items