Article Sidebar

Submitted
December 12, 2020
Published
February 1, 2021
Download
PDF
Statistic
Read Counter : 420 Download : 872

Downloads

Download data is not yet available.

Main Article Content

Abstract

This study aims to compare the performance of the Islamic stock index in Malaysia and Indonesia using the Sharpe, Treynor and Jensen methods. The findings in this study are the performance of Sharia JII and FBMS stocks in 2014-2019, it can be concluded that the overall Sharpe and Treynor method shows a negative performance value, which means that the performance is not good, whereas when measured using the Jensen Indonesia method it shows a positive performance value. Which means that the performance is good so that Indonesia has a better performance than Malaysia, measured by the Jensen method. Based on the results of different tests, it shows that there are differences in the performance of the two countries in 2014-2019 from each index (Sharpe, Treynor, and Jensen). 

Keywords

stock performance sharia stock screening Malaysia Indonesia

Article Details

License

Copyright (c) 2021 Asian Management And Business Review (AMBR)

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Authors who publish with this journal agree to the following terms:

  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-ShareAlike 4.0 International License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
  2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
How to Cite
Azhar, J. A., & Wulandari, R. (2021). Stock performance based on sharia stock screening: Comparasion between syariah stock indices of Indonesia and Malaysia. Asian Management and Business Review, 1(1), 14–26. https://doi.org/10.20885/AMBR.vol1.iss1.art2
Download Citation
Endnote/Zotero/Mendeley (RIS)
BibTeX

References

  1. Abdur Rofiq. 2008. Studi Komparatif Terhadap Kinerja Saham Syariah di Indonesia dengan Malaysia, skripsi, Fakultas Ekonomi Universitas Islam Negri (UIN) Malang
  2. Abdul Rahman, Azhar, Mohd Azlan Yahya, and Mohd Herry Mohd Nasir. 2010. “Islamic Norms for Stock Screening.” International Journal of Islamic and Middle Eastern Finance and Management 3(3): 228 40.http://www.emeraldinsight.com/doi/ abs/10.1108/17538391011072426.
  3. Abdullah, F., Hassan, T., and Mohamad, S. (2007). Investigation of performance of Malaysian Islamic unit trust funds. Managerial Finance (33): 142-153.
  4. Allen, F. and Faulhauber, G. (1989). Signaling by underpricing in the IPO market. Journal of Financial Economics (23): 303-323.
  5. Aryanto, Agus. 2013. Perbandingan Portofolio Saham dengan Model Indeks Tunggal antara JII dengan FTSE Bursa Malaysia EMAS Sahariah Index di Malaysia Periode Tahun 2010-2012. Skripsi. Fakultas Ekonomi Universitas Islam Negeri Maulana Malik Ibrahim Malang.
  6. Aziz, Hassanuddeen A. dan Todi Kurniawan. “Modelling the Volatility of Shari‘ah Index: Evidence from Kuala Lumpur Shari‘ah Index (KLSI) and The Jakarta Islamic Index (JII).” The International Conference on Islamic Capital Market: Regulation Products and Practise with Relevance to Islamic Banking and Finance. Jakarta: Muamalat Institute – IRTI IDB, 2007.
  7. Baron, D. P. and Holmstrom, B. (1980). The investment banking contract for new issues under asymmetric information: delegation and the incentive problem. The Journal of Finance (35): 1115-1138.
  8. Bart, J, 1992, “International Diversification: Part I – Risk Reduction & Return Enhancement”, Canadian Shareower 5: 10-11
  9. Badan Pengawas Pasar Modal, 2004, Studi tentang Investasi Syariah di Pasar ModalIndonesia,www.bapepam.go.id/pasar_modal/publikasi_pm/kajian_pm/studi pm_ syariah.pdf, diakses 11 Maret 2012).
  10. Bursa Efek Indonesia. 2008. Buku Panduan Indeks Harga Saham Bursa Efek Indonesia. (Online), (http://idx.co.id, diakses 18 November 2009).
  11. Chapakia, Hamdia dan Yulizar D. Sanrego. “An Empirical Analisys of Islamic Stock Return in Malaysia.” The International Conference on Islamic Capital Market: Regulation Products and Practise with Relevance to Islamic Banking and
  12. Finance. Jakarta: Muamalat Institute – IRTI IDB, 2007
  13. Dewi, Miranti Kartika dan Ilham Reza Ferdian. 2012. Evaluating Performance of Islamic Mutual Funds in Indonesia and Malaysia. Journal of Applied Economics and Business Research JAEBR, 2(1): 11-33.
  14. Derigs, Ulrich, and Shehab Marzban. 2009.“New Strategies and a New Paradigm for Shariah-Compliant Portfolio Optimization.” Journal of Banking and Finance 33(6): 1166–76. http://dx.doi.org/10.1016/j.jbankfin.200 8.12.011. Elton, E.J, and Grubber, 1995, Modern Portfolio Theory and Invesment Analysis 5th ed, John Wiley & Sons, New York
  15. Fabbozi, Frank J, 1999, Manajemen investasi, Salemba Empat, Jakarta
  16. Hakim, Sam dan Manochehr Rashidian. “Risk and Return of Islamic Stock Market Indexes.” www.kantakji.org. Samer Kantakji, 2002.
  17. Halim, Abdul, Analisis Investasi, Jakarta: Salemba Empat, 2005.
  18. Hanafi, S. M. (2011). Perbandingan kriteria syari’ah pada indeks saham syari’ah Indonesia, Malaysia, dan Dow Jones. Jurnal Ilmu Syari’ah dan Hukum (45):
  19. Hassan, A., Antoniu, A., and Paudyal, D. K. (2005). Impact of ethical screening on investment performance: the case of the Dow Jones and Islamic Index. Islamic Economic Studies (12): 67-97.
  20. Himpunan Fatwa DSN MUI, (Ciputat: Gaung Persada), 2006
  21. Ho, Catherine S.F. 2015. “International Comparison of Shari’ah Compliance Screening Standards.” International Journal of Islamic and Middle Eastern Financial Management 8(4): 491–507
  22. Hussein, Khaled A. “Islamic Investment: Evidence from Dow Jones and FTSE Indices.” International Conference on Islamic Economics and Finance – Islamic Economics and Banking in The 21st Century. Jakarta: BI – IRTI IDB – IAIE – UI, 2005.
  23. Index, Dow Jones. “Guide to The Dow Jones Islamic Market Index,” www.djindex.com. New York: Dow Jones Index, 2003.
  24. Jobson and Korkie, 1981, ”The Trouble with Performance Measuremen Comment”, Journal of Portofolio Management, Winter
  25. Jogiyanto, 2003, Analisis Investasi dan Teori Portofolio, Gajah Mada Press,
  26. Yogyakarta.
  27. Jones, Charles P, 2000, Investment Analysis and Management 7th ed, USA: John Wiley & Sons, Inc
  28. Keputusan DSN-MUI No. 40/DSN-MUI/X/2003
  29. Keputusan Ketua Bapepam-LK Nomor: KEP.-130/BL/2006 Tentang Penerbitan Efek Syariah dengan lampiran pada Angka 2 huruf a Peraturan IX.A.13
  30. Lee, Ian B., (2005), Efficiency and Ethics in the Debate About Shareholder Primacy, University of Toronto Faculty of Law October 2005 http://ssrn.com/abstract=778765
  31. Mifrahi, M.N. (2013) Perbandingan Kinerja Saham Syariah Berbasis Syariah Stock Screening yang berlaku di Inndonesi, Malaysia dan Gabungan Keduanya. Jurnal EKBISI : hal 214-232
  32. M.h. Khatkhatay dan shariq nisar, investment in stocks: a critical review of dow jones shariah screening norms Paper presented at the International Conference on Islamic Capital Markets held in Jakarta, Indonesia, during August 27-29, 2007 jointly organized by Islamic Research and Training Institute (IRTI) of the Islamic Development Bank (IDB), Jeddah, Saudi Arabia, and Muamalat Institute, Jakarta, Indonesia.
  33. Robert Ang, 1997, Pasar Modal Indonesia, Mediasoft, Indonesia
  34. Sartono, R Agus dan Sri Zulaihati, 1998, “Rasionalitas Investor Terhadap Pemilihan Saham dan Penentuan Portofolio Optimal dengan Model Indeks Tunggal di BEJ”, Kelola, No.17/VII/1998.
  35. Sharpe, William F, 1995, “Risk, Market Sensitivy and Diversification”, Financial
  36. Analysist Journal, Januari-Februari, pp. 84-88
  37. Statman, Meir, 1987, “How Many Stocks Make a Diversified Portofolio”, Journal of Financial and Quantitative Analysis, Vol.22 no.2 September
  38. Tandelilin, Eduardus, 2001, Analisis Investasi dan Manajemen Portofolio, BPFE, Yogyakarta.
  39. www.djindexes.com.
  40. www.sc.com.my dan [email protected]