Islamic capital market was a capital market in which the stock issuer's business and the trading mechanism were both Islamic. Islamic corporate issuers were already selected in Islamic stock index while Islamic trade mechanism had to meet the requirements to avoid speculation (gharar). Some experts had proposed a model of an Islamic stock trading such as Metwally (1992) and Chapra (1992). The question was if the islamic model was applied, "was the stock market still interesting?" This study

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... ed to answer that question. By using a sample of companies in Jakarta Islamic Index (JII) from 2007 to 2013 this study showed the following results. Metwally model proved to be very attractive because it generated a return (capital gain) at least equal to real capital markets and the risk of capital loss was smaller. But investors should be careful because the standard deviation of return among stock in this stock market model was relatively high. Meanwhile, the Chapra model gave investors not only a lower risk but also lower returns. The performance of Chapra Islamic capital market model had not been conclusive because when using Sharpe index and Jensen index, the performance index decreased but when using the Treynor index, the performance did not decrease. Key words: Chapra Model, islamic capital market, Jakarta Islamic Index (JII), Metwally Model Pasar modal islami adalah konsep yang mendo-rong agar pasar modal menjadi tempat investasi yang sesungguhnya dan tidak tercampur dengan aktifitas spekulasi (gharar). Khan (1992) meng-indentifikasi sejumlah mekanisme perdagangan di pasar modal yang tidak sejalan dengan hukum islam, seperti saham dapat dijual beberapa kali sebelum penyerahan saham benar-benar dila-kukan, adanya praktik pembiayaan investasi yang bersumber dari dana perbankan dengan bunga harian, dan adanya instrumen opsi yang memung-kinkan investor membeli saham dengan harga dite-tapkan hari ini penyerahan sahamnya pada masa yang akan datang. Di luar tiga hal tersebut, Khan (1992) juga menyoroti adanya investor yang tidak asli (not genuine investor) yang sering disebut spe-kulator. Spekulator berusaha mendapat untung dengan memanfaatkan fluktuasi harga saham. Mereka membeli saham yang diperkirakan akan naik dalam waktu dekat dan akan menjualnya sete-lah harga naik. Dasar analisis yang digunakan untuk memprediksi apakah harga saham akan naik