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All Journal Jurnal Akuntansi, Manajemen, dan Perencanaan Kebijakan
Tyas Indrayanti
Universitas 17 Agustus 1945 Surabaya
Economics, Econometrics & Finance

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The Effects of Momentum Trading, Market Volatility, and Liquidity on the Risk of Sharia Stock Portfolios in Indonesia Tyas Indrayanti; Andini Bandiah; Tsinta Aryaningtyas; Isnani Fauziah; Bagas Saputra; Maria Pandin
Jurnal Akuntansi, Manajemen, dan Perencanaan Kebijakan Vol. 3 No. 2 (2025): December
Publisher : Indonesian Journal Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47134/jampk.v3i2.958

Abstract

This study aims to analyze the effect of momentum trading, market volatility, and liquidity on the risk of sharia stock portfolios at Islamic banks in Indonesia. The research population consists of four Islamic banks listed on the Indonesia Stock Exchange (BANK, BRIS, BTPS, and PNBS) during the period 2022–2024. Data were obtained from the official website of the Indonesia Stock Exchange and processed using the Partial Least Squares Structural Equation Modeling (PLS-SEM) method with the help of the SmartPLS 4 application. The independent variables used were momentum trading (RSI, MACD, Stochastic Oscillator), market volatility (ATR and Bollinger Bandwidth), and liquidity (Turnover Ratio and Bid-Ask Spread), while the dependent variables were sharia stock portfolio risk (Beta and Standard Deviation). The results of the study indicate that momentum trading and market volatility have a positive and significant effect on the risk of sharia stock portfolios, while liquidity has no significant effect. Simultaneously, all three variables have a significant effect on portfolio risk with an R² value of 0.829. These findings indicate that market volatility is the dominant factor affecting the risk of sharia stock portfolios in Indonesia. The implication of this study is that investors need to pay attention to technical indicators such as momentum and volatility to minimize investment risk, while Islamic capital market managers are advised to improve literacy and transparency so that investment strategies are more oriented towards fundamentals and Islamic principles.
Analyzing the Social Impact of ESG Programs Through the SDGs Framework and SROI Approach: A Case Study of PT Merdeka Copper Gold Tbk, Platinum Rank ASRRAT 2025 Tyas Indrayanti; Ida Bagus Ketut Bayangkara
Jurnal Akuntansi, Manajemen, dan Perencanaan Kebijakan Vol. 3 No. 4 (2026): June
Publisher : Indonesian Journal Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47134/jampk.v3i4.1141

Abstract

This study analyzes the social impact of Environmental, Social, and Governance (ESG) programs at PT Merdeka Copper Gold Tbk, an Indonesian mining company that achieved Platinum Rank in the Asia Sustainability Reporting Rating (ASRRAT) 2025. Using a qualitative case study approach through document analysis of the company's 2024 Sustainability Report, this research applies the Social Return on Investment (SROI) framework alongside the Sustainable Development Goals (SDGs) and GRI Standards as analytical lenses. The findings indicate that Merdeka allocated USD 5,613,149 toward community development and empowerment initiatives in 2024 an 83% increase from the prior year covering eight social pillars aligned with SDG 1, 3, 5, 6, 8, 12, 13, 15, 16, and 17. SROI analysis demonstrates that the social value generated through education, health, economic empowerment, gender equality, and environmental programs substantially exceeds the investment made. This study contributes to ESG accounting literature in the extractive sector and illustrates how the SROI framework can serve as a qualitative-evaluative instrument for social impact measurement in corporate sustainability reporting.
Co-Authors Andini Bandiah Bagas Saputra Ida Bagus Ketut Bayangkara Isnani Fauziah Maria Pandin Tsinta Aryaningtyas