Analysis of Sharia Stock Performance with Conventional Stocks Before and During the Covid-19 Pandemic on the Indonesia Stock Exchange
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Sep 20, 2022
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Abstract
Penelitian ini bertujuan untuk menganalisis kinerja saham syariah dan saham konvensional sebelum pandemi Covid-19 dan selama pandemi Covid-19 di Bursa Efek Indonesia. Sampel yang digunakan adalah saham-saham yang terdaftar di Jakarta Islamic Index (JII) sebagai representasi untuk saham syariah dan saham yang terdaftar di Indeks IDX30 sebagai representasi untuk saham konvensional dengan menggunakan teknik purposive sampling. Data yang digunakan adalah harga penutupan bulanan periode Januari 2018 sampai dengan Desember 2021. Penelitian ini menggunakan Risk Adjusted Performance dari Sharpe ratio, Treynor ratio dan Jensen alpha ratio untuk melihat kinerja saham dan menggunakan Independent sample t test atau Mann u Uji Whitney untuk melihat apakah ada perbedaan yang signifikan antara saham syariah dan saham konvensional.
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How to Cite
Amelia, R., Mohamad Fany Alfarisi, & Rida Rahim. (2022). Analysis of Sharia Stock Performance with Conventional Stocks Before and During the Covid-19 Pandemic on the Indonesia Stock Exchange. Enrichment : Journal of Management, 12(4), 2504-2516. https://doi.org/10.35335/enrichment.v12i3.660
References
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Alam, M., & Ansari, VA (2020). Are Islamic indices a viable investment avenue? An empirical study of Islamic and conventional indices in India. International Journal of Islamic and Middle Eastern Finance and Management, 13(3), 503–518. https://doi.org/10.1108/IMEFM-03-2019-0121
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Amalia, AD, & Kartikasari, D. (2016). Comparative Analysis of Stock Performance of Islamic and Conventional Indexed Manufacturing Companies. Journal of Accounting, Economics And Business Management, 4(2), 128–135.
Amiri, Ali; Ravanpaknodezh, Hamid; Jelodari, A. (2016). The study of issuance of stocks in venture companies listed in the Tehran Stock Exchange. Research Journal of Applied Sciences, 11(6), 365–368. https://doi.org/10.3923/rjasci.2016.365.368
Asutay, M., Wang, Y., & Avdukic, A. (2021). Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis. Asia-Pacific Financial Markets, 0123456789. https://doi.org/10.1007/s10690-021-09351-7
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Bugan, MF, Cevik, EI, & Dibooglu, S. (2021). Emerging Market Portfolios and Islamic Financial Markets: Diversification Benefits and Safe Havens. Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2021.01.007
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Jawadi, F., Jawadi, N., & Louhichi, W. (2014). Conventional and Islamic stock price performance: An empirical investigation. International Economics, 137, 73–87. https://doi.org/10.1016/j.inteco.2013.11.002
KR, KR, & Fu, M. (2014). Does Shariah Compliant Stocks Perform Better than the Conventional Stocks? A Comparative Study Stocks Listed on the Australian Stock Exchange. Asian Journal of Finance & Accounting, 6(2), 155. https://doi.org/10.5296/ajfa.v6i2.6072
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Ling, PS, Abdul-Rahim, R., & Said, FF (2020). The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks. ISRA International Journal of Islamic Finance, 12(2), 195–215. https://doi.org/10.1108/IJIF-08-2018-0092
Lusyana, D., & Sherif, M. (2017). Shariah-compliant investments and stock returns: evidence from the Indonesian stock market. Journal of Islamic Accounting and Business Research, 8(2), 143–160. https://doi.org/10.1108/JIABR-10-2015-0052
Mirza, N., Abbas Rizvi, SK, Saba, I., Naqvi, B., & Yarovaya, L. (2022). The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing. International Review of Economics and Finance, 77(September 2021), 276–295. https://doi.org/10.1016/j.iref.2021.09.019
Muhid, A. (2019). Statistic analysis. In Journal of Chemical Information and Modeling (Vol. 53, Issue 9).
Nurhayati, I., & Endri, E. (2020). A New Measure of Asset Pricing: Friction-Adjusted Three-Factor Model. Journal of Asian Finance, Economics and Business, 7(12), 605–613. https://doi.org/10.13106/JAFEB.2020.VOL7.NO12.605
Nuryadi, Astuti, TD, Utami, ES, & Budiantara, M. (2017). Textbook of the basics of research statistics.
Ofori-Boateng, K., Ohemeng, W., Agyapong, EK, & Bribinti, BJ (2021). The impact of COVID-19 on stock returns of listed firms on the stock market: Ghana's experience. African Journal of Economic and Management Studies, 1. https://doi.org/10.1108/AJEMS-02-2021-0074
Rahim, R., Sulaiman, D., Husni, T., & Wiranda, NA (2021). Investor Behavior Responding to Changes in Trading Halt Conditions: Empirical Evidence from the Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(4), 135–143. https://doi.org/10.13106/jafeb.2021.vol8.no4.0135
Razak, A., Nurfitriana, FV, Wana, D., Ramli, Umar, I., & Endri, E. (2020). The Effects of Financial Performance on Stock Returns: Evidence of Machine and Heavy Equipment Companies in Indonesia. Research in World Economy, 11(6), 131–138. https://doi.org/10.5430/rwe.v11n6p131
Salman Irag Al-Najaf, FA, Salehi, M., & Nimr Al-Maliki, HS (2018). The effect of Islamic sacred months on stock prices in Iran and Iraq Stock Exchanges. ISRA International Journal of Islamic Finance, 10(1), 111–119. https://doi.org/10.1108/IJIF-10-2017-0034
Sharda, S. (2022). The short-term impact of analyst recommendations : evidence from the Indian stock market. 19(1), 2–19. https://doi.org/10.1108/XJM-12-2020-0239
shear, F., & Ashraf, BN (2022). The performance of Islamic versus conventional stocks during the COVID-19 shock: Evidence from firm-level data. Research in International Business and Finance, 60(February), 101622. https://doi.org/10.1016/j.ribaf.2022.101622
Suryadi, S., Endri, E., & Yasid, M. (2021). Risk and Return of Islamic and Conventional Indices on the Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(3), 23–30. https://doi.org/10.13106/jafeb.2021.vol8.no3.0023
Trabelsi, L., Bahloul, S., & Mathlouthi, F. (2020). Performance analysis of Islamic and conventional portfolios: The emerging markets case. Borsa Istanbul Review, 20(1), 48–54. https://doi.org/10.1016/j.bir.2019.09.002
Abduh, M. (2020). Volatility of Malaysian conventional and Islamic indices: does financial crisis matter? Journal of Islamic Accounting and Business Research, 11(1), 1–11. https://doi.org/10.1108/JIABR-07-2017-0103
Al-Yahyaee, KH, Mensi, W., Rehman, MU, Vo, XV, & Kang, SH (2020). Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis. Pacific Basin Finance Journal, 62(April), 101385. https://doi.org/10.1016/j.pacfin.2020.101385
Al Rahahleh, N., Akguc, S., & Abalala, T. (2021). Dow Jones Islamic Index firms: how profitable are they? International Journal of Islamic and Middle Eastern Finance and Management. https://doi.org/10.1108/IMEFM-09-2019-0379
Alam, M., & Ansari, VA (2020). Are Islamic indices a viable investment avenue? An empirical study of Islamic and conventional indices in India. International Journal of Islamic and Middle Eastern Finance and Management, 13(3), 503–518. https://doi.org/10.1108/IMEFM-03-2019-0121
Albaity, M., & Ahmad, R. (2008). Performance of Sharia and Composite Indices : Evidence From Bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance, 4(1), 23–43.
Amalia, AD, & Kartikasari, D. (2016). Comparative Analysis of Stock Performance of Islamic and Conventional Indexed Manufacturing Companies. Journal of Accounting, Economics And Business Management, 4(2), 128–135.
Amiri, Ali; Ravanpaknodezh, Hamid; Jelodari, A. (2016). The study of issuance of stocks in venture companies listed in the Tehran Stock Exchange. Research Journal of Applied Sciences, 11(6), 365–368. https://doi.org/10.3923/rjasci.2016.365.368
Asutay, M., Wang, Y., & Avdukic, A. (2021). Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis. Asia-Pacific Financial Markets, 0123456789. https://doi.org/10.1007/s10690-021-09351-7
Bayram, K., & Abdullah Othman, AH (2019). Islamic Versus Conventional Stock Market Indices Performance: Empirical Evidence from Turkey. Iqtishadia, 12(1), 74. https://doi.org/10.21043/iqtishadia.v12i1.4631
Ben Rejeb, A., & Arfaoui, M. (2019). Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach. European Journal of Management and Business Economics, 28(3), 301–322. https://doi.org/10.1108/EJMBE-08-2018-0088
Bugan, MF, Cevik, EI, & Dibooglu, S. (2021). Emerging Market Portfolios and Islamic Financial Markets: Diversification Benefits and Safe Havens. Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2021.01.007
Chen, HC, & Yeh, CW (2021). Global financial crisis and COVID-19: Industrial reactions. Finance Research Letters, 42(September 2020), 101940. https://doi.org/10.1016/j.frl.2021.101940
Endri, E., Abidin, Z., Simanjuntak, TP, & Nurhayati, I. (2020). Indonesian stock market volatility: GARCH model. Montenegrin Journal of Economics, 16(2), 7–17. https://doi.org/10.14254/1800-5845/2020.16-2.1
Fama, EF (1970). American Finance Association Efficient Capital Markets : A Review of Theory and Empirical Work Author ( s ): Eugene F . Fama Source: The Journal of Finance, Vol. 25 , No. 2 , Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American. The Journal of Finance, 25(2), 383–417.
Febrianti, S. (2018). Comparative Analysis of the Performance of the Sharia Stock Index with the Conventional Stock Index for the 2015-2017 Period (Case Study on JII and LQ45). Proceedings Joint_U, 2017, 546–551. https://www.unisbank.ac.id/ojs/index.php/sendi_u/article/view/6033
Hartono, J. (2017). Portfolio Theory And Investment Analysis (Kees Edition). BPFE-Yogyakarta.
Jabeen, M., & Kausar, S. (2021). Performance comparison between Islamic and conventional stocks: evidence from Pakistan's equity market. ISRA International Journal of Islamic Finance, ahead-of-p(ahead-of-print). https://doi.org/10.1108/ijif-07-2020-0150
Jawadi, F., Jawadi, N., & Louhichi, W. (2014). Conventional and Islamic stock price performance: An empirical investigation. International Economics, 137, 73–87. https://doi.org/10.1016/j.inteco.2013.11.002
KR, KR, & Fu, M. (2014). Does Shariah Compliant Stocks Perform Better than the Conventional Stocks? A Comparative Study Stocks Listed on the Australian Stock Exchange. Asian Journal of Finance & Accounting, 6(2), 155. https://doi.org/10.5296/ajfa.v6i2.6072
Kurniawan, RD, & Asandimitra, N. (2014). Comparative Analysis of Sharia Stock Index Performance and Conventional Stock Index Performance. Journal of Management Science (JIM), 2(4).
Ling, PS, Abdul-Rahim, R., & Said, FF (2020). The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks. ISRA International Journal of Islamic Finance, 12(2), 195–215. https://doi.org/10.1108/IJIF-08-2018-0092
Lusyana, D., & Sherif, M. (2017). Shariah-compliant investments and stock returns: evidence from the Indonesian stock market. Journal of Islamic Accounting and Business Research, 8(2), 143–160. https://doi.org/10.1108/JIABR-10-2015-0052
Mirza, N., Abbas Rizvi, SK, Saba, I., Naqvi, B., & Yarovaya, L. (2022). The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing. International Review of Economics and Finance, 77(September 2021), 276–295. https://doi.org/10.1016/j.iref.2021.09.019
Muhid, A. (2019). Statistic analysis. In Journal of Chemical Information and Modeling (Vol. 53, Issue 9).
Nurhayati, I., & Endri, E. (2020). A New Measure of Asset Pricing: Friction-Adjusted Three-Factor Model. Journal of Asian Finance, Economics and Business, 7(12), 605–613. https://doi.org/10.13106/JAFEB.2020.VOL7.NO12.605
Nuryadi, Astuti, TD, Utami, ES, & Budiantara, M. (2017). Textbook of the basics of research statistics.
Ofori-Boateng, K., Ohemeng, W., Agyapong, EK, & Bribinti, BJ (2021). The impact of COVID-19 on stock returns of listed firms on the stock market: Ghana's experience. African Journal of Economic and Management Studies, 1. https://doi.org/10.1108/AJEMS-02-2021-0074
Rahim, R., Sulaiman, D., Husni, T., & Wiranda, NA (2021). Investor Behavior Responding to Changes in Trading Halt Conditions: Empirical Evidence from the Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(4), 135–143. https://doi.org/10.13106/jafeb.2021.vol8.no4.0135
Razak, A., Nurfitriana, FV, Wana, D., Ramli, Umar, I., & Endri, E. (2020). The Effects of Financial Performance on Stock Returns: Evidence of Machine and Heavy Equipment Companies in Indonesia. Research in World Economy, 11(6), 131–138. https://doi.org/10.5430/rwe.v11n6p131
Salman Irag Al-Najaf, FA, Salehi, M., & Nimr Al-Maliki, HS (2018). The effect of Islamic sacred months on stock prices in Iran and Iraq Stock Exchanges. ISRA International Journal of Islamic Finance, 10(1), 111–119. https://doi.org/10.1108/IJIF-10-2017-0034
Sharda, S. (2022). The short-term impact of analyst recommendations : evidence from the Indian stock market. 19(1), 2–19. https://doi.org/10.1108/XJM-12-2020-0239
shear, F., & Ashraf, BN (2022). The performance of Islamic versus conventional stocks during the COVID-19 shock: Evidence from firm-level data. Research in International Business and Finance, 60(February), 101622. https://doi.org/10.1016/j.ribaf.2022.101622
Suryadi, S., Endri, E., & Yasid, M. (2021). Risk and Return of Islamic and Conventional Indices on the Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(3), 23–30. https://doi.org/10.13106/jafeb.2021.vol8.no3.0023
Trabelsi, L., Bahloul, S., & Mathlouthi, F. (2020). Performance analysis of Islamic and conventional portfolios: The emerging markets case. Borsa Istanbul Review, 20(1), 48–54. https://doi.org/10.1016/j.bir.2019.09.002