Perbandingan Return dan Volatilitas Saham Bank Konvensional dan Syariah di Indonesia dengan Model GARCH(1,1)

Romaito Br Silalahi (Universitas Nusa Cendana)
Nico Berlinson Fernando (Peneliti Independen)
Diah Ayu Saptyaningtyas (Universitas Nusa Cendana)
Nikmatul Ajizah Ambao (Universitas Nusa Cendana)

Griya Journal of Mathematics Education and Application
Vol. 6 No. 2 (2026): Juni 2026

This study compares the return and volatility of conventional bank stocks (equal-weighted portfolio: BBCA, BBNI, BBRI, BBTN, BMRI, ARTO) and Islamic bank stock (BRIS) listed on the Indonesia Stock Exchange over the period 2022–2026 using the GARCH(1,1) model. BRIS outperforms in terms of return (+0.0226%/day; cumulative +21.58%) but exhibits higher volatility (2.5102% vs. 1.5527%) and greater shock sensitivity (α = 0.1840 vs. 0.0682). Conventional banks show stronger volatility persistence (α + β = 0.9779; half-life 7.32 days) compared to BRIS (α + β = 0.9029; half-life 2.10 days). Both segments exhibit fundamentally different risk-return profiles, while their moderate correlation (ρ = 0.4488) suggests meaningful portfolio diversification opportunities.