KOMPARASI JAKARTA ISLAMIC INDEX DAN FTSE BURSA MALAYSIA HIJRAH SHARIAH INDEX
Abstract
The purpose of this study is to analyze the differences in the performance of the JII Index in Indonesia and FBMHS in Malaysia using the Sharpe, Treynor and Jensen Alpha ratios.
The type of this research is hypothesis testing by using purposive sampling techniques. The population in this study is all listed Islamic Indexes in Indonesia Stock Exchange and Bursa Malaysia. Two Indices are obtained from the sampling process, namely Jakarta Islamic Index (JII) and the FTSE Bursa Malaysia Hijrah Shariah Index (FBMHS). Object of this study is the monthly index return for the period of January 2009 to December 2011, amounting to 36 points of data.
Hypothesis testing is intended to determine whether there are significant differences between the performance of JII and FBMHS on Sharpe, Treynor and Jensen aspects. The tests carried out using Two Independent Samples Mean Comparison. The results showed that there was no significant difference between the performance of JII and FBMHS on the Sharpe, Treynor and Jensen Alpha ratios.
Full Text:
PDFReferences
Albaity, M., dan A. Rubi. 2008. Performance of Syariah And Composite Indices: Evidence from Bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance 4 (1): 23-43.
Bapepam-LK. 2012. Statistik Pasar Modal Syariah. http://www.bapepam.go.id/syariah/statistik/pdf/2012/Statistik_Saham_Januari.pdf diakses 4 Juli 2012.
Bapepam-LK, dan DSN-MUI. 2010. Himpunan Peraturan Bapepam-LK Tentang Pasar Modal Syariah dan Kumpulan Fatwa DSN-MUI terkait Pasar Modal Syariah. Jakarta: Bapepam-LK.
Boston Consulting Group. 2011. Shaping a New Tomorrow. Boston: Boston Consulting Group
Christian, F. 2009. Evaluasi Kinerja Reksadana Saham Pada Kondisi Bullish dan Bearish. Tesis. Jakarta: Universitas Indonesia
Dharani, M., dan P. Natarajan. 2011. Equanimity Of Risk And Return Relationship Between Shariah Index And General Index In India. Journal of Economics and Behavioral Studies, 2 (5): 213-222.
Ferdian, I. R; M. K. Dewi; dan H. F. Riany. 2008. The Performance Analysis of Islamic Stocks- a Comparative Study Between Indonesia and Malaysia. Working Paper. Surabaya: IAEI International Conference. http://www.scribd.com/doc/65657232/Ilham-Reza-Ferdia-STock diakses 23 Februari 2012.
FTSE, 2012. Ground Rules For The Management Of The FTSE Bursa Malaysia Index Series. London: FTSE
Hassan, M. K. dan E. Girard. 2011. Faith-Based Ethical Investing: the Case of Dow Jones Islamic Indexes. Working paper. Indiana: Indiana State University.
Hussein, A. K. 2004. Ethical Investment: Empirical Evidence from FTSE Islamic Index. Islamic Economic Studies, 12 (1): 21-40.
Indiastuti, F. 2008. Evaluasi Terhadap Kinerja Reksa Dana Saham dan Pembentukan Portofolio Optimal pada Instumen Reksa Dana Saham. Tesis. Jakarta: Universitas Indonesia
Jogiyanto, H. 2011. Teori Portofolio dan Analisis Investasi (Edisi 7). Yogyakarta: BPFE Yogyakarta
Reilly, F. K., dan E. A. Norton. 2006. Investments, Seventh Edition. Ohio: Thompson South Western
Reilly, F. K., dan K.C. Brown. 1999. Investment Analysis and Portfolio Management. Ohio: Thompson South Western
Ross, S. A.; R. W. Westerfield; dan J. F. Jaffe. 2005. Corporate Finance, Sixth Edition, New York: The McGraw−Hill Companies
Malaysia, Syaria Advisory Council. 2011. Malaysian ICM, 3rd Quarter 2011. Kuala Lumpur: Securities Commission Malaysia.
Sharpe, W. F. 1997. Portfolio Theory and Capital Market. New York: Mc Graw Hill.
Tandelilin, E. 2010. Portofolio dan Investasi: Teori dan Aplikasi. Yogyakarta: Penerbit Kanisius
Tony, A. 2004. Analisis Perbandingan Kinerja Portofolio (Studi Kasus: Indeks Syariah dan Indeks Konvensional). Tesis. Jakarta: Universitas Indonesia
Walkshäusl, C. dan S. Lobe. 2011. Islamic Index Investing: the International Evidence. Abstract Academic Paper. Vallendar: WHU-Otto Beisheim School of Management.
Refbacks
- There are currently no refbacks.