Pengujian Validitas Capital Asset Pricing Model (Capm), Islamic Capital Asset Pricing Model (Icapm) Dan Arbitrage Pricing Theory (Apt) Dalam Memprediksi Return Saham Syariah Di Jakarta Islamic Index

Purpose of this research is to analyze the accuracy of CAPM, ICAPM, and APT models in predicting return of sharia stock in Jakarta Islamic Index (JII). The variables of this research are the stock return of JII, Beta, risk free, market return, inflation, SBI and Exchange rate. The population of this research are all monthly return of sharia stock from companies that listed on JII. This research uses purposive sampling method. The sample used in this research is return of sharia stock per month of 16 companies JII in 2012 - 2016. The analytical method used to measure the level of expected macro variables is Exponential Smoothing method. The accuracy of the model CAPM, ICAPM and APT is measured by value of Mean Absolute Deviation (MAD) and the coefficient of determination used to compare the accuracy between CAPM, ICAPM, and APT model. Then independent t-tests to determine the difference in accuracy between CAPM, ICAPM and APT models. The results of this research shows that the ICAPM model more accurate than the CAPM and APT models because the value of MAD ICAPM is smaller than the value of MAD CAPM and APT models. Adjust R^2 shows that the CAPM model is more accurate than ICAPM and APT models because the value of adjusted R^2 CAPM model is higher than ICAPM and APT models. Independent t-test showed that there is no difference in accuracy between the CAPM model with ICAPM models in predicting return of sharia stock in JII