The purpose of this study is to evaluate performance and volatility of Islamic and conventional
stock indices along with their determinant factor variables in Indonesia. The study adopts: (1) Capital
Asset Pricing Model (CAPM) to compare the performance of the Jakarta Islamic Index (JII) to
represent Islamic index and LQ45 to represent the conventional, (2) beta calculation to measure
volatility, and (3) Autoregressive Distributed Lag (ARDL) to capture the determinants and the reason
behind the outperformance. The data coverage is from January 2006 to November 2015. The study
finds that: (1) There is no significant difference on performance between JII and LQ45, (2) JII is less
volatile than LQ45, except in 2010, and (3) JII performance is less affected by external factorsexcept
for crude oil price. Moreover, the result implies challenge for the authorities to educate society, particularly
whom concern to shari?ah principles, with information that Islamic index performance is
not much difference from conventional index and less volatile.
