Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Griya Journal of Mathematics Education and Application
Nico Berlinson Fernando
Peneliti Independen
Education Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Perbandingan Return dan Volatilitas Saham Bank Konvensional dan Syariah di Indonesia dengan Model GARCH(1,1) Romaito Br Silalahi; Nico Berlinson Fernando; Diah Ayu Saptyaningtyas; Nikmatul Ajizah Ambao
Griya Journal of Mathematics Education and Application Vol. 6 No. 2 (2026): Juni 2026
Publisher : Pendidikan Matematika FKIP Universitas Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29303/griya.v6i2.1078

Abstract

This study compares the return and volatility of conventional bank stocks (equal-weighted portfolio: BBCA, BBNI, BBRI, BBTN, BMRI, ARTO) and Islamic bank stock (BRIS) listed on the Indonesia Stock Exchange over the period 2022–2026 using the GARCH(1,1) model. BRIS outperforms in terms of return (+0.0226%/day; cumulative +21.58%) but exhibits higher volatility (2.5102% vs. 1.5527%) and greater shock sensitivity (α = 0.1840 vs. 0.0682). Conventional banks show stronger volatility persistence (α + β = 0.9779; half-life 7.32 days) compared to BRIS (α + β = 0.9029; half-life 2.10 days). Both segments exhibit fundamentally different risk-return profiles, while their moderate correlation (ρ = 0.4488) suggests meaningful portfolio diversification opportunities.
Co-Authors Diah Ayu Saptyaningtyas Nikmatul Ajizah Ambao Romaito Br Silalahi