Analisis Perbandingan Excess Return Jakarta Islamic Index dan Indeks Harga Saham Gabungan
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Published:
Dec 26, 2014
Keywords:
CAPM, excess return, IHSG, JII, Rasio Sharpe
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Abstract
Indonesia Stock Exchange statistics show that Islamic stock trading reached a value of around 59 trillion rupiahs. The excalation index of JII (Jakarta Islamic Index) is not follow by an increase in market capitalization of stocks listed on the JII. This is the question for investor who want to know how it compares to the performance of Jakarta Composite Index (JCI). This study analyzes the excess return that represents the return expected by an investor after investing in certain assets using descriptive analysis and Ordinary least square (OLS) regression of Capital Asset Pricing Model (CAPM). The descriptive analysis showed that in the same risk-free rate, investors who invest in stocks listed in JII can expect a higher return than the return JCI, while regression analysis shows investors do not expect the JII’s excess return to be different from JCI’s. This suggests that the selection criteria used by Bapepam LK (now OJK) and Indonesia Stock exchange does not affect the performance of return JII.
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Soemitra A. 2009. Bank & Lembaga Keuangan Syariah. Jakarta: Kencana.
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Ashraf D. 2013. Genesis of differential performance between Shari’ah compliant equity indices and conventional indices. 20th Annual Conference of the Multinational Finance Society [internet]; 2013 Juni 30- Juli 3; Al Khobar(SA): SSRN.
[BEI] Bursa Efek Indonesia. Januari 2005 – Februari 2014. IDX Monthly Statistics. [internet] Tersedia pada http://www.idx.co.id/id-id/beranda/publikasi/statistik.aspx
________________________. Fatwa dan landasan hukum pasar modal syariah. [internet] tersedia pada: http://www.idx.co.id/id-id/beranda/produkdanlayanan/pasarsyariah/fatwadanlandasanhukum.aspx
________________________. Indeks saham syariah. [internet] tersedia pada http://www.idx.co.id/id-id/beranda/produkdanlayanan/pasarsyariah/indeks sahamsyariah.aspx
Beik IS, Wardhana W. 2011. The relationship between Jakarta Islamic Index and other selected markets: evidence from impulse response function. Majalah Ekonomi. 21(2): 100-109.
[BI] Bank Indonesia. Januari 2005 – Februari 2014. Pengumuman Hasil Lelang Sertifikat Bank Indonesia (SBI) dan Sertifikat Bank Indonesia Syariah (SBIS). [internet] Tersedia pada http://www.bi.go.id/id/moneter/lelang-sbi/Default.aspx
Departemen Agama RI. 2007. Al-qur’an dan Terjemahannya.
Ernst. Young. 2011. The Islamic Funds and Investment Report 2011, Achieving Growth in Challenging Times.
Firdaus M. 2011. Aplikasi Ekonometrika untuk Data Panel dan Time Series. Bogor: IPB Press.
_________ 2011. Ekonometrika Suatu Pendekatan Aplikatif. Jakarta: Bumi Aksara.
Forte G, Miglietta F. 2007. Islamic mutual funds as faith-based funds in a socially responsible context [skripsi]. Milan(IT): Universitas Bocconi.
Gujarati DN. 2004. Basic Econometrics Fourth Edition. Boston: The McGrraw-Hill Compnies.
__________. 2006. Dasar-dasar Ekonometrika Edisi Ketiga Jilid 1. Jakarta: Erlangga.
Hosen MZ, Rahman MT, Dutta KD. 2013. Risk adjusted performance analysis of NBFIs in Dhaka Stock Exchange.
Huda N. 2004. Pasar modal syariah dan faktor-faktor yang memengaruhi beta saham kasus JII dan LQ45 [tesis]. Jakarta(ID): Universitass Indonesia.
_______, Nasution ME. 2008. Investasi pada Pasar Modal Syariah. Jakarta: Kencana.
Hussein K. 2005 Islamic Investment: Evidence from Dow Jones and FTSE Indices. Internatioanl Conference on Islamic Economics and Finance, Jakarta [internet]. [waktu dan tempat tidak diketahui]. Jakarta(ID).
Judge GG, Griffiths WE., Hill RC, L¨utkepohl H, Lee TC. 1985. The Theory and Practice of Econometrics. 2nd ed. New York: Wiley.
Lenny b, Handoyo SE. 2008. Oengaruh harga minyak dunia, tingkat suku bunga Sertifikat Bank Indonesia dan Kurs Rp/USD terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia [internet]. Jurnal Ekonomi. 13(3): 295-304.
Majid MSA, Musnadi S. 2014. A comparative analysis of diversification benefits between Islamic emerging and conventional largest world’s markets during the 2007 global financial crisis. Banda Aceh (ID): Universitas Syiah Kuala.
Makaryanawati, Ulum M. 2009. Pengaruh tingkat suku bunga dan tingkat luiditas perusahaan terhadap risiko investasi saham yang terdafta pada Jakarta Islamic Index [internet]. Jurnal Ekonomi Bisnis. 14(1): 49-60.
McLeod W, van Vuuren G. 2004. Interpreting the Sharpe Ratio when excess returns are negative. Investment Analysis Journal.59: 15-20.
[OJK] Otoritas Jasa Keuangan. Pengantar daftar efek syariah [internet]. Tersedia pada: http://syariah.ojk.go.id/daftar_efek_syariah/index.html
Perold AF. 2004. The capital asset pricing model [internet]. Journal of Economic Perspectives. 18(3): 3-24.
Sani GA, Wahyudi I. 2013. Interdependence between Islamic capital market and money market: Evidence from Indonesia [internet]. The Ninth International Conference on Islamic Economics and Finance (ICIEF); 2013 September 9-10; Istanbul, Turkey. Doha (QA): QFIS, hlm 4-5; [diunduh 2014 Agustus 2014]. Tersedia pada: conference.qfis.edu.qa/app/media/7117
Schroder M. 2007. Is there a difference? The performance characteristics of SRI equity indices [internet]. Journal of Business Finance & Accounting. 34(1 - 2): 331-348.
Sharpe WF. 1966. Mutual fund performance [internet]. Journal of Business. 39(1): 119-138.
_________. 1992. Asset allocation: management style and performance measurement [internet]. Journal of Portfolio Management, Winter 1992. 18(2): 7-19.
_________. 1994. The Sharpe ratio [internet]. Journal of Portfolio Management. 21(1): 49-59.
Soemitra A. 2009. Bank & Lembaga Keuangan Syariah. Jakarta: Kencana.
Xin-yuan X, Liu-liu K. 2012. An empirical study on the relationship between Turnover rate and stock returns in Chinese stock market [internet]. Advances in Information Technology and Management. 2(1): 239-245.