Apakah Kinerja Saham Syariah Lebih Baik Dibandingkan Saham Non-Syariah pada Tahun 2018-2019?

Eka Maya Sari, Tri Gunarsih

Abstract


There are two considerations that investors need to notice if they want to invest in the capital market, namely, return and risk. An investor needs to diversify to gain benefits and minimize risk by forming the optimal stock portfolios. This research analyzes the differences between Islamic stock (based on JII) and non-Islamic stock (based on LQ45) stock portfolio investment using the single index model. The samples were consistently listed on the JII and LQ45 stock indices in January 2018-December 2019. There are 35 stocks for the LQ45 stock index and 25 stocks on the JII stock index. Sharia stocks' optimal portfolio comprises three stocks, while the optimal portfolio of non-Islamic stocks shall consist of four stocks. The Independent Sample T-Test was implemented to analyze the differences between the Islamic (JII) and non-Islamic (LQ45) optimal stock portfolios based on the Sharpe Ratio, Jensen Ratio, and Treynor Ratio. The results show that there is no significant difference between Islamic and non-Islamic stocks.


Keywords


islamic stocks, non-islamic stocks, single index

Full Text:

PDF

References


Abidin, R. (2010). Analisis Perbandingan Kinerja Portofolio Saham LQ 45 dengan Kinerja Portofolio Saham JII (Jakarta Islamic Index) Periode Januari 2007-November 2009. Tesis. Universitas Gadjah Mada.

Brama, A., & Dewi, H. K. (2019). Semester I-2019, jumlah single investor identification KSEI mencapai 2 juta orang. Kontan.co.id, https://investasi.kontan.co.id/news/semester-i-2019-jumlah-single-investor-identification-ksei-mencapai-2-juta-orang.

Darmadji, T. dan H. M. Fakhruddin. (2011). Pasar Modal Indonesia. Edisi Ketiga. Jakarta: Salemba Empat.

Djohan, N. V., Murhadi, W. R., & Ernawati, E. (2014). Kinerja Portofolio Syariah dan Portofolio Non Syariah di Indonesia. Proceedings Forum Manajemen Indonesia 6: Entrepreneurial Management.

Globalreligiousfutures. (2019). Berapa Jumlah Penduduk Muslim Indonesia? https://databoks.katadata.co.id/datapublish/2019/09/24/berapa-jumlah-penduduk-muslim-indonesia.

Hadi, N. (2013). Pasar Modal: Acuan Teoritis dan Praktis Investasi di Instrumen Keuangan Pasar Modal. Yogyakarta: Graha Ilmu.

Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. Edisi Kesepuluh. Yogyakarta: BPFE.

Huda, N., Nazwirman, N., & Hudori, K. (2017). Analisis Perbandingan Kinerja Reksa Dana Saham Syariah dan Non-syariah Periode 2012-2015. Iqtishadia: Jurnal Kajian Ekonomi dan Bisnis Islam STAIN Kudus, 10(2), 184-209.

Kasanah, H. R., & Worokinasih, S. (2018). Analisis Perbandingan Return dan Risk Saham Syariah dengan Saham Non-syariah (Studi pada Jakarta Islamic Index (JII) dan IDX30 Periode 2014-2016). Jurnal Administrasi Bisnis, 58(2), 46–55.

Kurniawan, S. (2019). Pembentukan Portofolio Optimal Menggunakan Metode Data Envelopment Analysis (DEA) dan Indeks Tunggal (Single Index Model). Skripsi. Universitas Teknologi Yogyakarta.

Muamar, Y. (2020). BEI Buka Hari Ini, Indeks Paling Cuan Tahun 2019 Adalah... CNBC Indonesia, https://www.cnbcindonesia.com/market/20200101150452-17-126933/bei-buka-hari-ini-indeks-paling-cuan-tahun-2019-adalah.

Mubarok, F. K., Darmawan, A. R., & Luailiyah, Z. (2017). Optimalisasi Portofolio Nilai Saham: Studi Komparasi Kinerja Saham Syariah dan NonSyariah. Economica: Jurnal Ekonomi Islam, 8(2), 309–336.

Noviastuty, A. (2011). Evaluasi Kinerja Portofolio antara Saham Syariah dengan Saham Non-syariah di Bursa Efek Indonesia. Performance: Jurnal Personalia, Financial, Operasional, Marketing dan Sistem Informasi, 14(2), 1–12.

Syahyunan. (2015). Analisis Investasi. Medan: USU Press.




DOI: http://dx.doi.org/10.35917/tb.v21i1.202

Refbacks

  • There are currently no refbacks.




Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License. ISSN 1411-6375. joomla visitors View My Stats