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Islamic Financial Asset Pricing Model: An Application on KATLM-30 Index

The aim of this study is to test the validity of the financial asset pricing model to Islamic finance. For this purpose, the returns of the shares of the 27 companies included in the KATLM-30 index, which can be reached uninterruptedly between 2011 and 2016, are taken as basis. The I-CAMP Model in which the inflation rate is accepted, is applied for estimating the stock returns of companies included in the study instead of the CAMP Model and the risk-free rate of return. The data were analyzed in the Eviews 8 program. As a results, it has been obtained that the Islamic Financial Asset Pricing Model and the Financial Asset Pricing model were applicable for the participation index between 2011 and 2016 but were not valid for the relevant period.

Financial Asset Pricing Model, Islamic Financial Asset Pricing Model, Participation Index


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