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All Journal Jurnal Ilmiah Ekonomi Islam FINANSIA : Jurnal Akuntansi dan Perbankan Syariah EKONOMI, KEUANGAN, INVESTASI DAN SYARIAH (EKUITAS) Asy Syar'iyyah: Jurnal Ilmu Syari'ah dan Perbankan Islam Jurnal Disrupsi Bisnis El-Qish: Journal of Islamic Economics JURNAL ECONOMINA Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi) Mamangan Social Science Journal Budgeting: Jurnal Akuntansi Syariah
Rohmi, Misfi Laili
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Religion Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Social Sciences

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Perbandingan Performa dan Volatilitas JII dan IHSG Periode 2020-2025 di Indonesia Riswanti, Riswanti; Rohmi, Misfi Laili; Apridasari, Esty; Ismail, Vera
Ekonomi, Keuangan, Investasi dan Syariah (EKUITAS) Vol 7 No 4 (2026): May 2026
Publisher : Forum Kerjasama Pendidikan Tinggi (FKPT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47065/ekuitas.v7i4.9614

Abstract

The Indonesian capital market experienced significant pressure, particularly during the early period of the COVID-19 pandemic, followed by a recovery phase amid persistently high global economic uncertainty. These conditions affected the performance and volatility of stock indices, both conventional and Sharia-based indices. This study aims to analyze and compare the performance and volatility of the Composite Stock Price Index (IHSG) and the Jakarta Islamic Index (JII) during the 2020–2025 period in Indonesia. The novelty of this research lies in the integration of performance and volatility analysis within a single comparative framework, as well as its focus on both crisis and economic recovery phases simultaneously, which remains limited in previous empirical studies. This study employs a quantitative approach with a descriptive-comparative method using secondary data in the form of monthly closing prices of IHSG and JII. Index performance is measured using average monthly returns, while volatility is analyzed through variance and standard deviation. The results show that IHSG has an average monthly return of 0.005134, while JII records −0.001511. These findings indicate that IHSG demonstrates better performance compared to JII, as it yields a positive return, whereas JII shows a negative return during the study period. In terms of risk, JII exhibits a higher level of volatility compared to IHSG. These findings suggest that Sharia stock indices do not always have lower risk than conventional indices, particularly under conditions of economic uncertainty, and highlight the importance of considering index structure in investment decision-making. The implications of this study are that investors, both conventional and Sharia, need to conduct more in-depth analyses of the risk and return characteristics of each index before making investment decisions. Furthermore, this research contributes to regulators and index providers in evaluating the stability and competitiveness of Sharia indices within the dynamics of the global capital market.
Co-Authors Aini, Aurelia Cahya Annisa Alifa Ramadhani apridasari, esty Fatonah, Anis Ismail, Vera Kiswanda, Ratri Mariska, Mega Nur Syamsiyah Rahmadhania, Fika Renfiana, Lilis Risvana, Audy Anzany Riswanti, Riswanti Tiara Juliana Jaya Yudhistira Ardana Yuyun Yunarti Zanzibar, Dani