Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

Conventional and islamic indices in indonesia: a comparison on performance, volatility, and the determinants

Nika Pranata; (Indonesian Institute of Sciences (LIPI), 2015)

 Abstrak

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.

 Metadata

Jenis Koleksi : Artikel Jurnal
No. Panggil : J-Pdf
Entri utama-Nama orang :
Subjek :
Penerbitan : [Place of publication not identified]: Indonesian Institute of Sciences (LIPI), 2015
Sumber Pengatalogan : LibUI eng rda
ISSN : 23563818
Majalah/Jurnal : Indonesian Capital Market Review
Volume : Vol 7 No 2 July 2015 113-127
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Akses Elektronik : http://journal.ui.ac.id/index.php/icmr/article/view/5004
Institusi Pemilik : Universitas Indonesia
Lokasi :
  • Ketersediaan
  • Ulasan
  • Sampul
No. Panggil No. Barkod Ketersediaan
J-Pdf 03-20-170657553 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20443686
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