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All Journal Jurnal Maneksi (Management Ekonomi Dan Akuntansi) Assyarikah: Journal Of Islamic Economic Business
Prasetyo, Trijoko
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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THE EFFECT OF BETA DETERMINATION ON THE PERFORMANCE OF SHARIA AND NON-SHARIA STOCK PORTFOLIOS USING THE REWARD TO DIVERSIFICATION APPROACH: A STUDY OF THE INDONESIAN STOCK EXCHANGE Tania, Atika; Evana, Einde; Prasetyo, Trijoko
Jurnal Maneksi (Management Ekonomi Dan Akuntansi) Vol. 14 No. 4 (2025): December
Publisher : Politeknik Negeri Ambon

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31959/jm.v14i4.3474

Abstract

Introduction: Islamic finance is growing rapidly worldwide, as evidenced by the performance of sharia-compliant indices in countries such as Bangladesh and the Dow Jones Islamic Index. The number of Sharia stock investors in Indonesia is also increasing; therefore, it is vital to understand the performance of Sharia stock portfolios and the systemic risks that affect them. The purpose of this study is to examine the effect of beta on the performance of Sharia and non-Sharia stock portfolios in Indonesia.Methods: The research method used is quantitative, with data sources from Yahoo Finance and the IDX website. Beta is a systematic risk that determines the level of portfolio return. The betas used are market beta, accounting beta, fundamental beta, and macroeconomic beta.Results: The simultaneous multiple linear regression indicates that beta has a significant effect on stock portfolio performance. Meanwhile, accounting beta and fundamental beta partially affect the performance of Sharia stock portfolios, while fundamental beta and macroeconomic beta affect the performance of non-Sharia stock portfolios. The difference test between the two performances shows that there is no significant difference between Sharia and non-Sharia stocks. Keywords: Systemic risk, Return, Stock Portfolio Performance
Pembentukan Portofolio Saham Optimal Berbasis Model Sharpe Tania, Atika Lusi; Yudistira, Era; Evana, Einde; Prasetyo, Trijoko; Afrita, Winda Nur; Baradewa, Fajar; Pujianto, Husna Nur
Assyarikah: Journal of Islamic Economic Business Vol 6, No 2 (2025): Assyarikah: Journal Of Islamic Economic Business
Publisher : Al-Amien Prenduan for Islamic Institute

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.28944/assyarikah.v6i2.2529

Abstract

The purpose of this study is to analyse how to optimise Islamic stock portfolios in Indonesia using the Sharpe model. Most studies only focus on comparing Sharpe ratios between portfolios without exploring in depth the geometric structure of the relationship between return and risk. Many studies assume stable capital market conditions. This model considers the dynamics of return and risk movements as well as the Sharpe angle and the use of Excel Solver. Most studies discuss conventional stocks, while this study examines sharia stocks. Based on calculations using Excel Solver, two assets with the largest angles, meaning the best performance, were obtained. The best stock combination using the Sharpe method was obtained with a code of 70% and 30%. This study contributes to the development of portfolio management literature by offering a geometric perspective in stock performance analysis based on the Sharpe model, particularly for sharia stocks in Indonesia.
Co-Authors Afrita, Winda Nur Atika Lusi Tania, Atika Lusi Baradewa, Fajar Einde Evana, Einde Pujianto, Husna Nur Tania, Atika Yudistira, era