Investor Sentiment Under the Maqasid Al-Shari’ah Compliance Asset Pricing Model: A Behavioral Finance Approach to Islamic Finance

IF 0.3 Q4 BUSINESS, FINANCE

Asia-Pacific Management Accounting Journal Pub Date : 2023-08-31 DOI:10.24191/apmaj.v18i2-07

Igo Febrianto, Norhayati Mohamed, Imbarine Bujang

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Abstract

This study provides perspectives and insights into the importance of Maqasid al-Shari’ah in the discourse of Shari’ah-Compliant Asset Pricing Model (SCAPM) development by considering inflation and zakat as the minimum level of expected return. The study also integrated market risk and investor sentiment as systematic risks faced by Muslim investors in stock investments. Using a non-linear panel ARDL approach with monthly panel data from 109 Shari’ah-compliant listed companies on the Indonesian Stock Exchange between October 2007 and June 2021 (164 months), the study found that the Islamic market risk premium and investor sentiment had a positive long-term impact on Shari’ah-compliant stock returns. Surprisingly, market risk premium had a reverse effect in the short term, while investor sentiment remained positive. These findings contribute to understanding Islamic finance and have practical implications for investors, financial institutions, and policymakers. Keywords: Maqasid al-Shari’ah, Shariah-compliant asset pricing model, investor sentiment

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Maqasid Al-Shari 'ah合规资产定价模型下的投资者情绪:伊斯兰金融的行为金融学方法

本研究通过考虑通货膨胀和zakat作为最低预期收益水平，为Maqasid al-Shari 'ah在符合Shari 'ah的资产定价模型(SCAPM)发展的话语中的重要性提供了视角和见解。该研究还将市场风险和投资者情绪作为穆斯林投资者在股票投资中面临的系统性风险进行了整合。该研究采用非线性面板ARDL方法，对2007年10月至2021年6月(164个月)期间印尼证券交易所109家符合伊斯兰教法的上市公司的月度面板数据进行分析，发现伊斯兰市场风险溢价和投资者情绪对符合伊斯兰教法的股票回报具有积极的长期影响。令人惊讶的是，市场风险溢价在短期内产生了相反的效果，而投资者情绪仍保持积极。这些发现有助于理解伊斯兰金融，并对投资者、金融机构和政策制定者具有实际意义。关键词:Maqasid al-Shari 'ah，符合伊斯兰教法的资产定价模型，投资者情绪

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Asia-Pacific Management Accounting Journal BUSINESS, FINANCE-

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