Retno Subekti, Abdurakhman and Dedi Rosadi
This research aims to demonstrate portfolio modeling, which leads to Sharia compliance in encountering crises because of COVID-19. The authors proposed modifying the…
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 BL-CAPM. 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 BL-SCAPM. 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.
Details
Keywords
Sukmawati Nur Endah, Suhartono Suhartono, Retno Kusumaningrum and Roihan Auliya Ulfattah
Currently, the industrial field has entered the revolution era 4.0. This era is marked by rapid globalization and the combination of information and communication technology with…
Abstract
Purpose
Currently, the industrial field has entered the revolution era 4.0. This era is marked by rapid globalization and the combination of information and communication technology with conventional technology to significantly improve production efficiency and customer service. One area of industry that is currently developing is the textile field. Indonesia has one of its flagship textiles, namely, Batik. Batik has different motives in each region, one of which is monumental batik typical of the area of Semarang. But making batik is still made by conventional methods. Based on the development of industry 4.0, making batik motifs can be improved by using 3D printing as the latest technology in the batik industry.
Design/methodology/approach
3D batik motifs are produced by the triangle mesh method.
Findings
In this research, Web-based applications are produced to produce 3D batik motifs with triangular mesh and batik ordering based on the designed batik designs
Originality/value
We can make 3D batik motifs, especially monumental building in Semarang