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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi I-Finance Journal Jurnal Fourier Jurnal Ilmiah Ekonomi Islam JTAM (Jurnal Teori dan Aplikasi Matematika) Beta: Jurnal Tadris Matematika Jambura Journal of Mathematics JISKa (Jurnal Informatika Sunan Kalijaga) Jurnal Bakti Saintek: Jurnal Pengabdian Masyarakat Bidang Sains dan Teknologi Iqtishadia: Jurnal Kajian Ekonomi dan Bisnis Islam MATHunesa: Jurnal Ilmiah Matematika Kaunia: Integration and Interconnection of Islam and Science Journal
Mohammad Farhan Qudratullah
Depertemen Matematika, Fakultas Sains Dan Teknologi, UIN Sunan Kalijaga Yogyakarta
Religion Biochemistry, Genetics & Molecular Biology Chemistry Computer Science & IT Economics, Econometrics & Finance Education Electrical & Electronics Engineering Library & Information Science Mathematics Physics Social Sciences Other

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Journal : Jurnal Fourier

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Pengembangan Website Jii - Analisa.Com Sebagai Alat Analisis Portofolio Optimum Metode Varian Kovarian Pada Pasar Modal Syariah Di Indonesia Qudratullah, Mohammad Farhan; Zakuan, Muhammad; Riyanto, Mr.
Jurnal Fourier Vol 4, No 2 (2015)
Publisher : UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (562.475 KB)

Abstract

Penelitian ini bertujuan mengembangkan website JII-Analisa.com sebagai alat analisis portofolio syariah optimum metode varian kovarian. Website JII-Analisa.com dikembangkan dengan menggunakan SDLC (Sysems Development Life Cycle) yang terdiri atas 5 (lima) langkah, yaitu perencanaan rencana strategis pengembangan website, penentuan ruang lingkup pengembangan, analisis kebutuhan yang diperlukan, membuat desain dan implementasi pembuatan website serta pengujian. Secara umum terdapat 2 (dua) langkah yang dapat dilakukan untuk melakukan analisis portofolio optimum menggunakan JII.Analisa.com, yaitu pemilihan saham pembentuk portofolio menggunakan menu Analisis Saham dan perhitungan portofolio optimum. Hasil implementasi website untuk periode data 01 Januari 2014 – 28 Februari 2015 diperoleh proporsi untuk masing – masing saham pembentuk portofolio optimum adalah KLBF.JK sebesar 35%, JSMR.JK 30%, SSMS.JK 17%, MPPA.JK 12%, PTPP.JK 5%, dan PWON.JK 0.2% dengan Return yang dihasilkan sebesar 0.21%, risiko sebesar 1.01% dan indeks sharpe 0.20655.
Pengaruh Jalur Penerimaan Mahasiswa Dan Asal Sekolah Terhadap Prestasi Mahasiswa Di Fakultas Sains Dan Teknologi Uin Sunan Kalijaga Qudratullah, Mohammad Farhan
Jurnal Fourier Vol 3, No 1 (2014)
Publisher : UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (145.622 KB)

Abstract

Penelitian ini bertujuan untuk mengetahui pengaruh jalur penerimaan mahasiswa dan asal sekolah terhadap prestasi belajar mahasiswa di Fakultas Sains dan Teknologi UIN Sunan Kalijaga. Metode yang digunakan dalam penelitian ini adalah ex post facto dengan desain faktorial 3 x 2. Hasil penelitian menunjukan bahwa : (1) jalur penerimaan berpengaruh terhadap prestasi mahasiswa, dimana prestasi mahasiswa yang diterima melalui jalur eksternal lebih baik dari jalur internal, (2) asal sekolah berpengaruh terhadap prestasi mahasiswa dimana prestasi mahasiswa yang berasal dari SMU/K lebih baik dari MA/P, dan (3) tidak terdapat interaksi antara kedua faktor tersebut dalam mempengaruhi prestasi mahasiswa.
Analisis Portofolio Optimal Saham Syariah Menggunakan Multi Index Models (Periode: 04 Januari 2010 – 1 Juli 2013) Arja’i, Mulat; Qudratullah, Mohammad Farhan
Jurnal Fourier Vol 2, No 2 (2013)
Publisher : UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (334.665 KB)

Abstract

The portfolio is a combination or aggregation of two or more individual stock and concern for investors is to form the optimum portfolio and one of the ways that can be used are Multi-Index Models (MIM). This Model is a development of the Single Index Models (SIM), if on a SIM only consider one factor that affects the value of the stock, then return at MIM considers more than one factor. This study discusses the optimal portfolio analysis using Multi-Index Models with a case study on the stock of the Sharia Jakarta Islamic Index (JII) period 4 January 2010 – 1 July 2013 by using composite stock price index (IHSG), index Dow Jones Industrial Average (DJIA) and index the Hang Seng Index as a factor in MIM. The results of this research were obtained that the optimum portfolio is a portfolio that was created based on the stocks that had the highest positive return value, i.e. UNVR 41,40%, SMGR 40.66%, KLBF 11.01, and LPKR 6,93% with a value of expected return portfolio amounted to 2.55% and risk of a portfolio of 0,29%.
Perbandingan Berbagai Model Conditionally Heteroscedastic Time Series Dalam Analisis Risiko Investasi Saham Syariah Dengan Metode Value At Risk Qudratullah, Mohammad Farhan
Jurnal Fourier Vol 2, No 1 (2013)
Publisher : UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (506.368 KB)

Abstract

Value at Risk (VaR) is one of the tools recommended Bank Indonesia to gauge the risk of an investment, the VaR approach tends to be more associated with the conventional assumption of a normal distribution, while contemporary empirical findings indicate the existence of patterns of abnormality in the nature of statistical data, especially on financial data. Up to this time shares in the Jakarta Islamic Index (JII) is still heavily influenced by the dynamics of market volatility which one, so the necessary in-depth analysis to help investors make the right decisions in investing. This research addresses the issue of risk analysis model using the VaR approach using a variety of model Heterokedastic Timeseris Conditionals (CHT) and find the best model. As for the data used is the daily closing stock index data-Sharia stocks (JII) post-crisis global 2008 (January 2009 – June 2011) and the software used is E-Views 5.1 and Excel 2007. The results obtained are of 16 (sixteen) model approach to VaR-CHT used, only 5 (five) a valid model on a confidence level of 99%, i.e. Approach (2.2) GARCH, GARCH M standard deviation GARCH (1,1), M Log (Variansi) (1,1), TARCH M Log (Variansi) (1,1), EGARCH and M Log (Variansi) (1,1). The VaR Model of the CHT are the best and recommended in analyzing the risks of stock investment is Shariah (JII) is a model that gives the value of the VaR model, i.e. the smallest VaR GARCH-M standard deviation (1,1) that gives the value of VaR is equal to 3.2396%.
Analisis Tipologi Saham Syariah Di Bursa Efek Indonesia Berdasarkan Nilai Return Dan Resiko (Value At Risk) Pasca Krisis Global 2008 Qudratullah, Mohammad Farhan
Jurnal Fourier Vol 1, No 1 (2012)
Publisher : UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (588.25 KB)

Abstract

Since the signed memorandum of understanding between BAPEPAM with Dewan Syariah Nasional-Majelis Ulama Indonesia (DSN-MUI) on the principle of Islamic capital market in 2003, the Islamic capital market in Indonesia has developed significantly. In each investment, including Islamic capital market investment, there are 2 (two) fundamental things that always accompany it, the return and risks. This paper discusses the analysis of return and risk of sharia stocks that always go in Jakarta Islamic Index (JII) after the global crisis in 2008, risk analysis tools using Value at risk (VaR) approach to model the Generalized Autoregressive Conditional  Heteroscedastic (GARCH), then proceed with the analysis of the typology to determine the characteristics of these stocks. The results that shares sharia can be grouped into 4 (four) :  6 (six) shares entering the low return and low risk (TLKM, UNVR, SMGR, AALI, ELSA, and SGRO), 3 (three ) shares into group of low-return but high risk (INCO, ANTM, and TINS), 3 (three) shares enter the group of low risk but high return (PTBA, LSIP, and KLBF), and 4 (four) shares enter the group high return but high risk (ITMG, ASII, INTP, and BMTR).
Analisis Tipologi Saham Syariah Di Bursa Efek Indonesia Berdasarkan Nilai Return Dan Resiko (Value At Risk) Pasca Krisis Global 2008 Mohammad Farhan Qudratullah
Jurnal Fourier Vol. 1 No. 1 (2012)
Publisher : Program Studi Matematika Fakultas Sains dan Teknologi UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (588.25 KB) | DOI: 10.14421/fourier.2012.11.17-26

Abstract

Since the signed memorandum of understanding between BAPEPAM with Dewan Syariah Nasional-Majelis Ulama Indonesia (DSN-MUI) on the principle of Islamic capital market in 2003, the Islamic capital market in Indonesia has developed significantly. In each investment, including Islamic capital market investment, there are 2 (two) fundamental things that always accompany it, the return and risks. This paper discusses the analysis of return and risk of sharia stocks that always go in Jakarta Islamic Index (JII) after the global crisis in 2008, risk analysis tools using Value at risk (VaR) approach to model the Generalized Autoregressive Conditional Heteroscedastic (GARCH), then proceed with the analysis of the typology to determine the characteristics of these stocks. The results that shares sharia can be grouped into 4 (four) : 6 (six) shares entering the low return and low risk (TLKM, UNVR, SMGR, AALI, ELSA, and SGRO), 3 (three ) shares into group of low-return but high risk (INCO, ANTM, and TINS), 3 (three) shares enter the group of low risk but high return (PTBA, LSIP, and KLBF), and 4 (four) shares enter the group high return but high risk (ITMG, ASII, INTP, and BMTR).
Perbandingan Berbagai Model Conditionally Heteroscedastic Time Series Dalam Analisis Risiko Investasi Saham Syariah Dengan Metode Value At Risk Mohammad Farhan Qudratullah
Jurnal Fourier Vol. 2 No. 1 (2013)
Publisher : Program Studi Matematika Fakultas Sains dan Teknologi UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (506.368 KB) | DOI: 10.14421/fourier.2013.21.1-9

Abstract

Value at Risk (VaR) is one of the tools recommended Bank Indonesia to gauge the risk of an investment, the VaR approach tends to be more associated with the conventional assumption of a normal distribution, while contemporary empirical findings indicate the existence of patterns of abnormality in the nature of statistical data, especially on financial data. Up to this time shares in the Jakarta Islamic Index (JII) is still heavily influenced by the dynamics of market volatility which one, so the necessary in-depth analysis to help investors make the right decisions in investing. This research addresses the issue of risk analysis model using the VaR approach using a variety of model Heterokedastic Timeseris Conditionals (CHT) and find the best model. As for the data used is the daily closing stock index data-Sharia stocks (JII) post-crisis global 2008 (January 2009 – June 2011) and the software used is E-Views 5.1 and Excel 2007. The results obtained are of 16 (sixteen) model approach to VaR-CHT used, only 5 (five) a valid model on a confidence level of 99%, i.e. Approach (2.2) GARCH, GARCH M standard deviation GARCH (1,1), M Log (Variansi) (1,1), TARCH M Log (Variansi) (1,1), EGARCH and M Log (Variansi) (1,1). The VaR Model of the CHT are the best and recommended in analyzing the risks of stock investment is Shariah (JII) is a model that gives the value of the VaR model, i.e. the smallest VaR GARCH-M standard deviation (1,1) that gives the value of VaR is equal to 3.2396%.
Analisis Portofolio Optimal Saham Syariah Menggunakan Multi Index Models (Periode: 04 Januari 2010 – 1 Juli 2013) Mulat Arja’i; Mohammad Farhan Qudratullah
Jurnal Fourier Vol. 2 No. 2 (2013)
Publisher : Program Studi Matematika Fakultas Sains dan Teknologi UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (334.665 KB) | DOI: 10.14421/fourier.2013.22.105-111

Abstract

The portfolio is a combination or aggregation of two or more individual stock and concern for investors is to form the optimum portfolio and one of the ways that can be used are Multi-Index Models (MIM). This Model is a development of the Single Index Models (SIM), if on a SIM only consider one factor that affects the value of the stock, then return at MIM considers more than one factor. This study discusses the optimal portfolio analysis using Multi-Index Models with a case study on the stock of the Sharia Jakarta Islamic Index (JII) period 4 January 2010 – 1 July 2013 by using composite stock price index (IHSG), index Dow Jones Industrial Average (DJIA) and index the Hang Seng Index as a factor in MIM. The results of this research were obtained that the optimum portfolio is a portfolio that was created based on the stocks that had the highest positive return value, i.e. UNVR 41,40%, SMGR 40.66%, KLBF 11.01, and LPKR 6,93% with a value of expected return portfolio amounted to 2.55% and risk of a portfolio of 0,29%.
Pengaruh Jalur Penerimaan Mahasiswa Dan Asal Sekolah Terhadap Prestasi Mahasiswa Di Fakultas Sains Dan Teknologi UIN Sunan Kalijaga Mohammad Farhan Qudratullah
Jurnal Fourier Vol. 3 No. 1 (2014)
Publisher : Program Studi Matematika Fakultas Sains dan Teknologi UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (145.622 KB) | DOI: 10.14421/fourier.2014.31.9-15

Abstract

Penelitian ini bertujuan untuk mengetahui pengaruh jalur penerimaan mahasiswa dan asal sekolah terhadap prestasi belajar mahasiswa di Fakultas Sains dan Teknologi UIN Sunan Kalijaga. Metode yang digunakan dalam penelitian ini adalah ex post facto dengan desain faktorial 3 x 2. Hasil penelitian menunjukan bahwa : (1) jalur penerimaan berpengaruh terhadap prestasi mahasiswa, dimana prestasi mahasiswa yang diterima melalui jalur eksternal lebih baik dari jalur internal, (2) asal sekolah berpengaruh terhadap prestasi mahasiswa dimana prestasi mahasiswa yang berasal dari SMU/K lebih baik dari MA/P, dan (3) tidak terdapat interaksi antara kedua faktor tersebut dalam mempengaruhi prestasi mahasiswa.
Pengembangan Website Jii - Analisa.Com Sebagai Alat Analisis Portofolio Optimum Metode Varian Kovarian Pada Pasar Modal Syariah Di Indonesia Mohammad Farhan Qudratullah; Muhammad Zakuan; Riyanto Riyanto
Jurnal Fourier Vol. 4 No. 2 (2015)
Publisher : Program Studi Matematika Fakultas Sains dan Teknologi UIN Sunan Kalijaga Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (562.475 KB) | DOI: 10.14421/fourier.2015.42.75-85

Abstract

Penelitian ini bertujuan mengembangkan website JII-Analisa.com sebagai alat analisis portofolio syariah optimum metode varian kovarian. Website JII-Analisa.com dikembangkan dengan menggunakan SDLC (Sysems Development Life Cycle) yang terdiri atas 5 (lima) langkah, yaitu perencanaan rencana strategis pengembangan website, penentuan ruang lingkup pengembangan, analisis kebutuhan yang diperlukan, membuat desain dan implementasi pembuatan website serta pengujian. Secara umum terdapat 2 (dua) langkah yang dapat dilakukan untuk melakukan analisis portofolio optimum menggunakan JII.Analisa.com, yaitu pemilihan saham pembentuk portofolio menggunakan menu Analisis Saham dan perhitungan portofolio optimum. Hasil implementasi website untuk periode data 01 Januari 2014 – 28 Februari 2015 diperoleh proporsi untuk masing – masing saham pembentuk portofolio optimum adalah KLBF.JK sebesar 35%, JSMR.JK 30%, SSMS.JK 17%, MPPA.JK 12%, PTPP.JK 5%, dan PWON.JK 0.2% dengan Return yang dihasilkan sebesar 0.21%, risiko sebesar 1.01% dan indeks sharpe 0.20655.
Co-Authors Abdul Aziz Didik Krisdiyanto Hanafi, Syafiq Mahmadah Indah Puspita Sari Khurul Wardati Laeli Nurani Maria Ulfah Siregar Mr. Fitree Tahe Mr. Riyanto, Mr. Muhammad Safi’ Mulhan Muhammad Zakuan Muhammad Zakuan, Muhammad Muhtar Safi’i Mulat Arja’i, Mulat Mulat Arja’i Novia Amilatus Solekha Pipit Pratiwi Rahayu Rini Puspitaningtiyas Riyanto Riyanto Salsabila, Salsabila Slamet Haryono Sunaryati Sunaryati Syaeful Arief Syarif Hidayatullah Taufiq Aji Tri Anton Saputro Tutik Farihah