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Abstrak :
Penelitian ini bertujuan untuk menganalisis idiosyncratic risk pada saham syariah di empat negara ASEAN yaitu Indonesia, Malaysia, Singapura, dan Thailand. Penelitian ini juga melihat perubahan idiosyncratic risk saham syariah pada periode sebelum dan sesudah krisis ekonomi global 2008. Perubahan tersebut akan dianalisis berdasarkan tingkatan idiosyncratic volatility dari masing-masing negara. Karakteristik perusahaan akan digunakan untuk melihat pengaruhnya terhadap pergerakan idiosyncratic volatility. Penelitian ini melakukan regresi pada model Fama French Three Factor untuk memperoleh nilai realized idiosyncratic volatility. Selanjutnya, dilakukan regresi data panel untuk melihat pengaruh karakteristik perusahaan terhadap idiosyncratic volatility pada saham syariah di empat negara ASEAN. Hasil penelitian ini menunjukkan bahwa rata-rata idiosyncratic risk pada saham syariah di empat negara ASEAN berada dibawah saham konvensional di Amerika Serikat. Sementara itu, setelah periode krisis ekonomi global 2008, hubungan antara return dan idiosyncratic risk berubah di keempat negara ASEAN. Selanjutnya, regresi data panel menunjukkan bahwa ukuran perusahaan berpengaruh negatif sementara share turnover tidak berpengaruh pada idiosyncratic risk di keempat negara. Berdasarkan signifikansi terhadap earning per share, terdapat kecenderungan investor syariah di Malaysia dan Singapura memperhatikan rasio fundamental dibandingkan kedua negara lainnya. ......This research investigates idiosyncratic risk in Islamic stock of four ASEAN countries namely Indonesia, Malaysia, Singapore, and Thailand. This research also examines the volatile of idiosyncratic risk of Islamic stock in the period such as before and after the global financial crisis 2008. That volatiles will be analyzed based on the idiosyncratic volatility levels of each country. The firm characteristics will be used to see its relationship on the idiosyncratic volatility movement. This research uses the Fama French Three Factor model to obtain the realized value of idiosyncratic volatility. Furthermore, a panel data regression is used to estimate the relationship between firm characteristics and idiosyncratic volatility. The results of this research suggests that mean value of idiosyncratic risk in Islamic stock of this ASEAN countries is below the conventional stock in US. Meanwhile, after the period of global financial crisis in 2008, the relationship between return and idiosyncratic risk in Islamic stocks from all four countries experienced an impact of the crisis. Panel data regressions suggest that firm size is significantly negative in all four countries while share turnover is insignificant to idiosyncratic volatility. Based on the relationship of idiosyncratic risk and earning per share ratio, there is a tendency of Islamic investors in Malaysia and Singapore to notice the fundamental ratios more than the other two countries

Abstrak :
Penelitian ini membahas pengaruh herding, loss aversion, fear of missing out, ditambah dengan religiusitas, literasi keuangan Islam, informasi perusahaan dan risk taking behaviour terhadap keputusan investasi saham syariah oleh para investor muslim, khususnya kelompok investor sebelum dan setelah pandemi COVID-19. Data dikumpulkan sebanyak 1179 responden dan diolah dengan aplikasi SmartPLS untuk menguji hipotesis dan melakukan analisis multi grup. Hasil penelitian mengungkapkan loss aversion, religiusitas, literasi keuangan Islam, informasi perusahaan dan risk taking behaviour mempunyai pengaruh yang signifikan terhadap keputusan investasi saham syariah oleh investor ritel muslim. Selain itu hasil multi group analysis mengungkap loss aversion, fear of missing out, dan risk taking behaviour signifikan di kalangan investor saat tahun 2020. Meski demikian, dalam penelitian ini menemukan bahwa variabel non bias seperti literasi keuangan Islam dan informasi perusahaan memiliki pengaruh yang lebih besar terhadap keputusan investasi dibanding variabel bias perilaku pada dua kelompok investor. Penelitian ini merekomendasikan pemangku kepentingan saham syariah untuk mendorong literasi keuangan Islam dan keterbukaan informasi perusahaan  yang berguna untuk membuat keputusan investasi investor muslim. ......This study discusses the effect of herding, loss aversion, fear of missing out, coupled with religiosity, Islamic financial literacy, company information and risk taking behavior on Islamic stock investment decisions by Muslim investors, especially between two investor groups, before and after the pandemic. Survey were collected 1179 respondents and processed with the SmartPLS to test hypotheses and perform multi-group analysis. The results reveal loss aversion, religiosity, Islamic financial literacy, company information and risk taking behavior have a significant influence on Islamic stock investment decisions by Muslim retail investors. Also, the multi group analysis revealed that loss aversion, fear of missing out, and risk taking behavior is significant among new investors in 2020. However, this study found that non-biased variables such as Islamic financial literacy and company information had a greater influence on investment decisions compared to behavioral bias variables in the two groups of investors. This study recommends sharia stock’s stakeholders to encourage Islamic financial literacy and disclosure of company information that is useful for making investment decisions for Muslim investors.