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All Journal IQTISHADIA Jurnal Ilmiah Ekonomi Islam JISKa (Jurnal Informatika Sunan Kalijaga) Jurnal Bakti Saintek: Jurnal Pengabdian Masyarakat Bidang Sains dan Teknologi Iqtishadia: Jurnal Kajian Ekonomi dan Bisnis Islam
Mohammad Farhan Qudratullah
UIN Sunan Kalijaga Yogyakarta
Computer Science & IT Economics, Econometrics & Finance Education Electrical & Electronics Engineering Library & Information Science Social Sciences Other

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Journal : Jurnal Ilmiah Ekonomi Islam

 1 
Analisis Kinerja Saham Syariah Indonesia dan Malaysia Periode 2011-2018 Mohammad Farhan Qudratullah
Jurnal Ilmiah Ekonomi Islam Vol 8, No 1 (2022): JIEI : Vol. 8, No. 1, 2022
Publisher : ITB AAS INDONESIA Surakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29040/jiei.v8i1.4391

Abstract

Indonesia and Malaysia are two countries in Southeast Asia that are always included in the top ten countries in the world that have the health and development of Islamic Finance according to the State of The Global Islamic Economy (GEI) Report. This study analyzes the performance of Indonesian sharia stocks that are incorporated in the Jakarta Islamic Index (JII) and Malaysian Islamic stocks that are incorporated in the FTSE Bursa Malaysia Hijrah Shariah Index (FHSI) for the period 2011-2018 with a technical analysis approach using 4 indicators, namely: return, volatility, Value at Risk (VaR), and Modified Sharpe Ratio (MSR). The results obtained from this study are that there have no significant differences in return and MSR performance between Indonesian and Malaysian Islamic stocks, but there have differences in volatility and VaR, where Indonesian Islamic stocks have higher volatility and VaR than Malaysia at a 95% confidence level.
Co-Authors Maria Ulfah Siregar Mr. Fitree Tahe Rini Puspitaningtiyas Slamet Haryono Syaeful Arief Taufiq Aji