Analisis Kinerja Saham Syariah Indonesia dan Malaysia Periode 2011-2018

Authors

  • Mohammad Farhan Qudratullah UIN Sunan Kalijaga Yogyakarta

DOI:

https://doi.org/10.29040/jiei.v8i1.4391

Keywords:

Modification of Sharpe Ratio, Return, Sharia Stock Performance, Technical Analysis, Value at Risk, Volatility

Abstract

Indonesia and Malaysia are two countries in Southeast Asia that are always included in the top ten countries in the world that have the health and development of Islamic Finance according to the State of The Global Islamic Economy (GEI) Report. This study analyzes the performance of Indonesian sharia stocks that are incorporated in the Jakarta Islamic Index (JII) and Malaysian Islamic stocks that are incorporated in the FTSE Bursa Malaysia Hijrah Shariah Index (FHSI) for the period 2011-2018 with a technical analysis approach using 4 indicators, namely: return, volatility, Value at Risk (VaR), and Modified Sharpe Ratio (MSR). The results obtained from this study are that there have no significant differences in return and MSR performance between Indonesian and Malaysian Islamic stocks, but there have differences in volatility and VaR, where Indonesian Islamic stocks have higher volatility and VaR than Malaysia at a 95% confidence level.

References

Akbar, A. R., Hidayat, A. R. & Sulasmiyati, S. (2017). Analisis Kinerja Investasi Saham dengan Metode Sharpe Model di Beberapa Bursa Efek ASEAN (Studi Pasar Modal Pada Filipina, Indonesia, Malaysia, Singapura, Dan Thailand Tahun 2012 - 2015). Jurnal Administrasi Bisnis (JAB), Vol. 50 No. 6: 1-8.

Basri, H. & Mayasari, V. (2019). Perbandingan Kinerja Saham Syariah di Bursa Efek Indonesia dan Bursa Malaysia. Jurnal Ilmiah Ekonomi Global Masa Kini, Vol 10 (2): 82-92. DOI: http://dx.doi.org/10.36982/jiegmk.v10i2.842

Chambers, D. R. & Lu, Qin. (2011). Value at Risk: A Review and Extention. Layette College.Chen, J. M. (2014). Measuring Market Risk under the Basel Accords: VaR, Stressed VaR, and expected shortfall. Aestimatio, The IEB International Journal of Finance, 184-201. http://dx.doi.org/10.2139/ssrn.2252463

Consolacion, A. G. (2016). Comparative Analysis of Value at Risk, Stressed VaR, and Expected Shortfall using Philippine Data. Bangko Sentral Review. Retrieved from http://www.bsp.gov.ph.

Farooq, M. O. (2019). Rent-Seeking Behavior and Zulm (injustice/exploitation) beyond Riba-Interest equation. ISRA International Journal of Islamic Finance, 11 (1): 110-123. DOI 10.1108/IJIF-07-2018-0073

Harwaningrum, M. (2016). Perbandingan Penilaian Saham dengan Metode Analisis Fundamental dan Analisis Tehknical, Penggorengan Saham, serta Keputusan Penilaian Saham jika Hasil Berlawanan Arah untuk Kedua Metode Analisis pada Saham Bakrie Group untuk Periode 2005- 2009. Jurnal Ilmiah Manajemen dan Bisnis, Volume 2 (1): 138-149.

Hidayatullah, S. & Qudratullah, M. F. 2017. Analisis Risiko Investasi Saham Syariah Dengan Model Value AT Risk-Asymmetric Power Autoregressive Conditional Heterocedasticity (VaR-APARCH). Fourier, 6(1), 37–43. https://doi.org/10.14421/fourier.2017.61.37-43

Jones, P. C. 2009. Investment Analysis and management. New York. John Wiley and Sons.

Jorion, P. (2006). Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, New York

Downloads

Published

25-02-2022

How to Cite

Qudratullah, M. F. (2022). Analisis Kinerja Saham Syariah Indonesia dan Malaysia Periode 2011-2018. Jurnal Ilmiah Ekonomi Islam, 8(1), 171–179. https://doi.org/10.29040/jiei.v8i1.4391

Issue

Vol. 8 No. 1 (2022): JIEI : Vol. 8, No. 1, 2022

Section

Articles

Citation Check

License

The copyright of the article fully belongs to the Jurnal Ilmiah Ekonomi Islam and publishing rights belong entirely to LPPM STIE AAS Surakarta

 Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Similar Articles

1 2 3 4 5 6 7 8 9 10 > >> 

You may also start an advanced similarity search for this article.