Risk and Return of Islamic and Conventional Indices on the Indonesia Stock Exchange

• 발행기관: 한국유통과학회
• 저자명: Suryadi SURYADI Endri ENDRI Mukhamad YASID
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 23~30쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

The purpose of this study is to compare the level of risk and return of Islamic stocks in the Jakarta Islamic Index (JII) with conventional stocks on the IDX30 in the period from January 2017 to July 2019. The Sharpe ratio method is used to calculate risk and stock returns. The performance of the stock portfolio is measured by comparing the risk premium portfolio with the portfolio risk that is expressed as a standard deviation of the total risk. This study uses secondary data collected by the Indonesia Stock Exchange (IDX), which provides the names of stock issuers included in the JII and IDX30 indices along with their montly closing price. The results of the descriptive analysis show that the JII Sharpe ratio index from January 2017 to July 2019 is from the minimum range of −0.28820 to a maximum range of 0.05622, while the IDX30 Sharpe ratio index from January 2017 to July 2019 is from the minimum range of −0.09290 to the maximum range of 0.17436. The results of inferential analysis using a different test show that there is a significant difference between the Sharpe ratio JII and IDX30 in measuring the performance of the stock portfolio.

목차

1. Introduction

2. Literature Review

3. Research Methodology

4. Research Results

5. Conclusions

References

키워드

Islamic Stocks Conventional Stocks Risk Return Sharpe Ratio