Browse > Article
http://dx.doi.org/10.13106/jafeb.2021.vol8.no3.0023

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

SURYADI, Suryadi (Tazkia Islamic University College)
ENDRI, Endri (Graduate Program, Universitas Mercu Buana)
YASID, Mukhamad (Tazkia Islamic University College)
Publication Information
The Journal of Asian Finance, Economics and Business / v.8, no.3, 2021 , pp. 23-30 More about this Journal
Abstract
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.
Keywords
Islamic Stocks; Conventional Stocks; Risk; Return; Sharpe Ratio;
Citations & Related Records
연도 인용수 순위
  • Reference
1 Tas, O., Tokmakcioglu, K., Ugurlu, U., & Isiker, M. (2016). Comparison of ethical and conventional portfolios with second-order stochastic dominance efficiency test. International Journal of Islamic and Middle Eastern Finance and Management, 9(4), 492-511. https://doi.org/10.1108/IMEFM-11-2015-0133   DOI
2 Widagdo, B., Jihadi, M., Bachitar, Y., Safitri, O. E., & Singh, S. K. (2020). Financial Ratio, Macro Economy, and Investment Risk on Sharia Stock Return. Journal of Asian Finance, Economics, and Business, 7(12), 919-926. https://doi.org/10.13106/jafeb.2020.vol7.no12.919   DOI
3 Yildiz, S. B. (2020). Performance analysis of Turkey's participation and conventional indices using TOPSIS method. Journal of Islamic Accounting and Business Research, 11(7), 1403-1416. https://doi.org/10.1108/JIABR-08-2018-0123   DOI
4 Endri, E., Abidin, Z., Simanjuntak, P, T., & Nurhayati, I. (2020b). 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   DOI
5 Hayat, R., & Kraeussl, R. (2011). Risk and return characteristics of Islamic equity funds. Emerging Markets Review, 12(2), 189-203.   DOI
6 Hersugondo, H., Sadiyah, C., Handriani, E., Subagyo, H., & Astuti, S, D. (2020). An Analysis of Sharia and Conventional Shares' System at Indonesia Stock Exchange. Perisai: Islamic Banking and Finance Journal. 4(1), 1-16. https://doi.org/10.21070/perisai.v4i1.228   DOI
7 Jawadi, F., Jawadi, N., & Louhichi, W. (2014). Conventional and Islamic stock price performance: an empirical investigation. International Economics, 137, 73-87. http://dx.doi.org/10.1016/j.inteco.2013.11.002   DOI
8 Kabir, S. H., Masih, A. M. M., & Bacha, O. I. (2017) Risk-Return Profiles of Islamic Equities and Commodity Portfolios in Different Market Conditions. Emerging Markets Finance and Trade, 53(7), 1477-1500. https://doi.org/10.1080/1540496X.2016.1216843   DOI
9 Nandan, T., & Srivastava, N. (2017). Construction of Optimal Portfolio Using Sharpe's Single Index Model: An Empirical Study on Nifty 50 Stock. Journal of Management Research and Analysis, 4(2), 74-83.
10 Ling, P. S., Abdul-Rahim, R., & Said, F. F. (2020). The effectiveness of technical strategies in Malaysian Shariah vs conventional stocks. ISRA International Journal of Islamic Finance, 12(2), 195-215. https://doi.org/10.1108/IJIF-08-2018-0092   DOI
11 Majid, M. S. A. (2018). Assessing Volatilities of Monetary Policy and their Effects on the Islamic and Conventional Stock Markets in Indonesia. Signifikan: Jurnal Ilmu Ekonomi, 7(2), 161-172. htttp://dx.doi.org/10.15408/sjie.v7i2.7352   DOI
12 Mwamba, J. W. M., Hammoudeh, S., & Gupta, R. (2017). Financial tail risks in conventional and Islamic stock markets: a comparative analysis. Pacific-Basin Finance Journal, 42(1), 60-82.   DOI
13 Nguyen, T. C., & Nguyen, H. M. (2019). Modeling stock price volatility: Empirical evidence from the Ho Chi Minh City Stock Exchange in Vietnam. Journal of Asian Finance, Economics and Business, 6(3), 19-26. https://doi.org/10.13106/jafeb.2019. vol6.no3.19   DOI
14 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   DOI
15 Abu-Alkheil, A., Khan, W. A., & Parikh, B. (2020). Risk-reward trade-off and volatility performance of Islamic versus conventional stock indices: global evidence. Review of Pacific Basin Financial Markets and Policies, 23(1), 2050002. https://doi.org/10.1142/S0219091520500022   DOI
16 Partomo, T., Widiyanto., Yulianto, A., & Vidayanto, H. (2017). The Analysis of Optimal Portfolio Forming with Single Index Model on Indonesian Most Trusted Companies. International Research Journal of Finance and Economics, 163, 51-59.
17 Pranata, N., & Nurzanah, N. (2015). Conventional and Islamic indices in Indonesia: A Comparison on Performance, Volatility, and the Determinants. Indonesian Capital Market Review, 7(2), 113-127. https://doi.org/10.21002/icmr.v7i2.5004   DOI
18 Abbes, M. B. (2012). Risk and Return of Islamic and Conventional Indices. International Journal Euro-Mediterranean Studies, 5, 1-23. https://doi.org/10.1007/s40321-012-0001-9   DOI
19 Abbes, M. B., & Trichilli, Y. (2015). Islamic stock markets and potential diversification benefits. Borsa Istanbul Review, 15(2), 93-105. https://dx.doi.org/10.1016/j.bir.2015.03.001   DOI
20 Abdul-Rahim, R., Abdul-Rahman, A., & Ling, P. S. (2019). Performance of Shariah versus conventional funds: lessons from emerging markets. Journal of Nusantara Studies (JONUS), 4(2), 193-218.   DOI
21 Albaity, M., & Ahmad, R. (2008). Performance of Syariah and composite indices: evidence from Bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance, 4(1), 23-43.
22 Dewandaru, G., Bacha, O. I., Masih, A. M. M., & Masih, R. (2015). Risk-return characteristics of Islamic equity indices: multi-timescales analysis. Journal of Multinational Financial Management, 29(1), 115-138.   DOI
23 Amiri, A., Ravanpaknodezh, H., & Jelodari, A. (2016). The study of issuance of stocks in venture companies listed in Tehran Stock Exchange. Marketing and Branding Research 3, 166-178.   DOI
24 Boudt, K., Raza, M.W., & Ashraf, D. (2019). Macro-financial regimes and performance of Shariah-compliant equity portfolios. Journal of International Financial Markets, Institutions and Money, 60, 252-266. https://doi.org/10.1016/j.intfin.2019.01.001   DOI
25 Charles, A., Darne, O., & Pop, A. (2015). Risk and ethical investment: empirical evidence from Dow Jones Islamic indexes. Research in International Business and Finance, 35(1), 33-56.   DOI
26 Endri, E., Sari, A. K., Budiasih, Y., Yuliantini, Y., & Kasmir, K. (2020a). Determinants of Profit Growth in Food and Beverage Companies in Indonesia. Journal of Asian Finance, Economics, and Business, 7(12), 739-748. https://doi.org/10.13106/jafeb.2020.vol7.no12.739   DOI
27 Poornima, S., & Remesh, A. P. (2016). A Study on Optimal Portfolio Construction Using Sharpes Single Index Model with Special Preference to Selected Sectors Listed in NSE. National Journal of Advanced Research, 2(3), 28-31.
28 Razak, A., Nurfitriana, F. V., Wana, D., Ramli, R., 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   DOI
29 Rizvi, S. A. R., & Arshad, S. (2017). Understanding time-varying systematic risks in Islamic and conventional sectoral indices. Economic Modelling, 70(1), 561-570.   DOI
30 Endri. (2019). Determinant of Firm's Value: Evidence of Manufacturing Sectors Listed In Indonesia Shariah Stock Index. International. Journal of Recent Technology and Engineering (IJRTE), 8(3), 3995-3999. https://doi.org/10.35940/ijrte.C5258.098319   DOI