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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi IQTISHADIA Jurnal Fourier JTAM (Jurnal Teori dan Aplikasi Matematika) Iqtishadia: Jurnal Kajian Ekonomi dan Bisnis Islam
Mohammad Farhan Qudratullah
Mohammad Farhan Qudratullah Program Studi Matematika Fakultas Sains dan Teknologi Universitas Islam Negeri Sunan Kalijaga Yogyakarta, Indonesia e-mail: aching_lo@yahoo.com
Computer Science & IT Economics, Econometrics & Finance Education Mathematics

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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

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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

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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

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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

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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

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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).
Misklasifikasi Mahasiswa Baru FSaintek UIN Sunan Kalijaga Jalur Tes dengan Analisis Regresi Logistik Qudratullah, Mohammad Farhan
CAUCHY Vol 1, No 4 (2011): CAUCHY
Publisher : Mathematics Department, Maulana Malik Ibrahim State Islamic University of Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (188.331 KB) | DOI: 10.18860/ca.v1i4.1799

Abstract

Pada tahun ajaran 2008/ 2009, UIN Sunan Kalijaga membuka 2 (dua) Jalur Penerimaan Mahasiswa Baru, yaitu Jalur Reguler yang meliputi Tes Tulis dan Seleksi (seleksi khusus dan mahasiswa berprestasi), serta Jalur SNMPTN. Selama ini, penerimaan mahasiswa baru melalui jalur tes tulis hanya berdasarkan pilihan saat mendaftar dan hasil ujian tulis tanpa mempertimbangkan variabel lain seperti nilai UAN/ UAS. Penelitian ini bertujuan untuk mengetahui variabel apa saja (nilai tes tulis dan nilai UAN/UAS) yang mampu membedakan karakteristik mahasiswa program studi yang satu dengan yang lainnya, sehingga memungkinkan untuk mengetahui besar tingkat misklasifikasi yang terjadi pada program studi cluster Sains Fakultas SAINTEK. Adapun alat analisis yang digunakan adalah analisis regresi logistik multinomial. Pada tingkat kepercayaan 90% diperoleh bahwa dari 7 (tujuh) variabel independen yang digunakan, terdapat 5 (lima) variabel yang mampu membedakan karakteristik mahasiswa baru program studi yang satu dengan yang lainnya, yaitu nilai tes numerik (NT_Numerik), nilai tes spasial (NT_Spasial), nilai UAN Matematika (UANMAT), nilai UAS Fisika (UANFIS), dan nilai UAS Kimia (UASKIM), sedangkan 2 (dua) variabel lainnya yaitu: nilai tes verbal (NT_Verbal) dan nilai UAS Biologi (UASBIO) tidak signifikan. Misklasifikasi mahasiswa baru jalur tes cukup tinggi, yaitu mancapai 35,1%. Misklasifikasi dari yang paling rendah berturut-turut adalah program studi Matematika 17,7%, program studi Kimia 33,3%, program studi Biologi 47,7%, dan yang paling tinggi program studi Fisika mencapai 50%. Sehingga proses penerimaan mahasiswa baru pada keempat program studi pada umumnya perlu mempertimbahkan nilai UAN/ UAS.
Zakah Rate In Islamic Stock Performance Models: Evidence From Indonesia Qudratullah, Mohammad Farhan
IQTISHADIA Vol 13, No 1 (2020): IQTISHADIA
Publisher : Ekonomi Syariah IAIN Kudus

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21043/iqtishadia.v13i1.6004

Abstract

There are three models commonly used to measure the performance of Islamicstocks, named Treynor Ratio, Sharpe Ratio, and Jansen Index. One component of the three models is risk-free returns which are usually approached with interest rates, whereas interest rates are prohibited in the concept of Islamic finance. This paper will approach a risk-free return with zakat-rate on the Islamic capital market in Indonesia from January 2011 - July 2018, then compare it with a model that uses interest rates. The results obtained by the model with interest rates and zakah-rate in this third model have very high suitability values, so that zakah-rate can be used as an alternative substitute for interest rates in measuring the Islamic stock performance. Beside not contradicting the concept of Islamic economics, calculation of models with zakah-rate is simpler than models with interest rates.
Zakah Rate In Islamic Stock Performance Models: Evidence From Indonesia Qudratullah, Mohammad Farhan
IQTISHADIA Vol 13, No 1 (2020): IQTISHADIA
Publisher : Ekonomi Syariah IAIN Kudus

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21043/iqtishadia.v13i1.6004

Abstract

There are three models commonly used to measure the performance of Islamicstocks, named Treynor Ratio, Sharpe Ratio, and Jansen Index. One component of the three models is risk-free returns which are usually approached with interest rates, whereas interest rates are prohibited in the concept of Islamic finance. This paper will approach a risk-free return with zakat-rate on the Islamic capital market in Indonesia from January 2011 - July 2018, then compare it with a model that uses interest rates. The results obtained by the model with interest rates and zakah-rate in this third model have very high suitability values, so that zakah-rate can be used as an alternative substitute for interest rates in measuring the Islamic stock performance. Beside not contradicting the concept of Islamic economics, calculation of models with zakah-rate is simpler than models with interest rates.
Zakah Rate In Islamic Stock Performance Models: Evidence From Indonesia Qudratullah, Mohammad Farhan
IQTISHADIA Vol 13, No 1 (2020): IQTISHADIA
Publisher : Ekonomi Syariah IAIN Kudus

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21043/iqtishadia.v13i1.6004

Abstract

There are three models commonly used to measure the performance of Islamicstocks, named Treynor Ratio, Sharpe Ratio, and Jansen Index. One component of the three models is risk-free returns which are usually approached with interest rates, whereas interest rates are prohibited in the concept of Islamic finance. This paper will approach a risk-free return with zakat-rate on the Islamic capital market in Indonesia from January 2011 - July 2018, then compare it with a model that uses interest rates. The results obtained by the model with interest rates and zakah-rate in this third model have very high suitability values, so that zakah-rate can be used as an alternative substitute for interest rates in measuring the Islamic stock performance. Beside not contradicting the concept of Islamic economics, calculation of models with zakah-rate is simpler than models with interest rates.
Portfolio Optimization using Shariah-Compliant Asset Pricing Model in Indonesia Qudratullah, Mohammad Farhan; Hanafi, Syafiq Mahmadah; Sunaryati, Sunaryati
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 9, No 2 (2025): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v9i2.29168

Abstract

This paper develops portfolio optimization using the Shariah-Compliant Asset Pricing Model (SCAPM) which maximizes the Sharpe ratio by considering investors' prevention of risk. There are four approaches to developing portfolio optimization (SCAPM without interest rates, SCAPM with zakah rate, SCAPM with nominal gross domestic product growth (GDP), and SCAPM with inflation). This is a quantitative study that implements these models in the Islamic capital market in Indonesia, namely Islamic stocks included in the Jakarta Islamic Index (JII) for the period January 2011-December 2018. Based on the results of the Kendall W concordance test, this study found that the four SCAPM optimum portfolios have a very high level of conformity for return, risk, and performance at a 95% confidence level. In terms of the plot and ratio of return and risk, based on the investor's prevention of risk: the optimum portfolio 1 (risk-seeker) and the optimum portfolio 3 (risk-neutral) tend to give the same results and these portfolios were more efficient than the optimum portfolio 2 (risk-averter). This study contributes to the existing literature in the area of mathematics and the Islamic capital market, specifically in terms of the optimal Sharia-compliant portfolio. It is the first study developing, implementing, and testing the optimal portfolio with four approaches SCAPM based on the investors' prevention of risk in Indonesia.
Co-Authors Hanafi, Syafiq Mahmadah Mr. Riyanto, Mr. Muhammad Zakuan, Muhammad Mulat Arja’i, Mulat Sunaryati Sunaryati