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All Journal Jurnal Riset Ekonomi dan Bisnis Jurnal Manajemen Dayasaing
Purnomo, Dwi Tjahjo
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Optimisasi Portofolio di Bursa Efek Indonesia: Analisis VaR untuk Investasi Konvensional dan Syariah Purnomo, Dwi Tjahjo
Jurnal Riset Ekonomi dan Bisnis Vol. 18 No. 1 (2025): APRIL
Publisher : Universitas Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26623/jreb.v18i1.12114

Abstract

Penelitian ini mengembangkan kerangka statistik berbasis Value-at-Risk (VaR) untuk mengoptimalkan portofolio di Bursa Efek Indonesia (BEI), membandingkan performa portofolio konvensional (10 saham) dan syariah (5 saham) menggunakan data harga harian dari 2 Januari 2019 hingga 30 Desember 2024. Tujuan penelitian adalah mengevaluasi efektivitas tiga metode VaR, yaitu simulasi historis, varians-kovarians, dan Monte Carlo—serta mengintegrasikannya dengan optimalisasi Markowitz. Hasil menunjukkan bahwa portofolio syariah memiliki risiko lebih tinggi (VaR Rp21,2–22,4 juta) dibandingkan konvensional (Rp18,1–20,0 juta) pada tingkat kepercayaan 95%. Simulasi Monte Carlo terbukti paling akurat (pelanggaran ~4,5–4,9%), diikuti simulasi historis dan varians-kovarians. Optimalisasi Markowitz mengurangi volatilitas portofolio (konvensional: 18% menjadi 16%; syariah: 20% menjadi 18%) dan meningkatkan rasio Sharpe (konvensional: 0,85 menjadi 1,20; syariah: 0,80 menjadi 1,10). Validasi melalui backtesting dan uji Kupiec mengkonfirmasi robustnya model. Penelitian ini berkontribusi pada literatur pengelolaan risiko di pasar berkembang dengan menawarkan alternatif statistik terhadap pendekatan machine learning, sekaligus memberikan alat praktis bagi investor dan pedoman bagi regulator BEI, khususnya untuk investasi syariah.
Long-Term Effects of Sharia Stock Status Changes on Returns and Liquidity Purnomo, Dwi Tjahjo; Lestari, Rohmini Indah
Jurnal Manajemen Dayasaing Vol. 27 No. 2 (2025): Manajemen Dayasaing
Publisher : Universitas Muhammadiyah Surakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23917/dayasaing.v27i2.13683

Abstract

This study examines the long-term impact of changes in Sharia stock status (CSS) on abnormal returns (AR) and liquidity (LIQ) in the Indonesian Sharia Stock Index (ISSI). The analysis explores liquidity’s mediating and moderating roles to clarify how Sharia screening outcomes shape market behavior beyond short-term announcement effects. Monthly data from 2018–2024 are analyzed using an event-study framework and Partial Least Squares Structural Equation Modelling (PLS-SEM) to test direct, indirect, and interaction effects grounded in signaling, asymmetric information, and liquidity theories. The findings show that CSS strongly affects liquidity for excluded stocks but only marginally influences liquidity for included stocks. CSS does not directly generate abnormal returns for excluded firms, while inclusion triggers short-term return pressure. Liquidity acts as a significant mediating channel, particularly following exclusion, translating compliance-related signals into price adjustments. No moderating effect is identified, indicating that liquidity operates sequentially rather than conditionally. Model diagnostics confirm strong predictive performance for liquidity and relatively weaker explanatory power for returns, highlighting other contributing market forces. This study provides novel long-horizon evidence on Sharia index dynamics and underscores liquidity’s strategic relevance for investors and regulators in strengthening Islamic capital market efficiency and compliance mechanisms.
Co-Authors Lestari, Rohmini Indah