ABSTRAK
Penelitian ini bertujuan menganalisis kinerja saham-saham yang tidak konsisten di Jakarta Islamic Index JII dan saham-saham yang konsisten di Indeks Saham Syariah Indonesia ISSI periode 2014-2016. Alat analisis yang digunakan dalam penelitian ini menggunakan pendekatan Sharpe Index, Treynor Index, Alpha Jensen Index, Appraisal Ratio, M2 measure, dan T2 measure. Emiten kelompok saham yang tidak konsisten di JII berjumlah 15 emiten, sedangkan emiten kelompok saham yang konsisten di ISSI berjumlah 221 emiten. Hasil penelitian memperlihatkan bahwa rata-rata tingkat pengembalian imbal hasil return saham-saham yang konsisten di ISSI lebih baik dari saham-saham yang tidak konsisten di JII namun rata-rata risiko fluktuasi yang tercermin dalam standar deviasi lebih tinggi, sedangkan risiko sistematis yang tercermin dalam Beta lebih rendah. Berdasarkan perhitungan kinerja, dari 6 enam alat ukur yang digunakan dalam penelitian ini, saham-saham yang tidak konsisten di JII lebih baik dibandingkan saham-saham yang konsisten di ISSI menggunakan perhitungan kinerja Sharpe Index, Alpha Jensen Index dan M2 measure. Sedangkan saham-saham yang konsisten di ISSI menunjukkan kinerja yang lebih baik dibandingkan saham-saham yang tidak konsisten di JII menggunakan perhitungan Treynor Index, Appraisal Ratio dan T2 measure.Kata kunci: Analisis komparatif, Jakarta Islamic Index, Indeks Saham Syariah Indonesia ISSI , kinerja.
ABSTRACT
This study aims to analyze the performance of stocks that are not consistent in Jakarta Islamic Index JII and stocks that are consistent in Indonesia Sharia Stock Index ISSI in the periode 2014 2016. The analytical tools used in this research are Sharpe Index, Treynor Index, Alpha Jensen Index, Appraisal Ratio, M2 measure, and T2 measure. The portfolio of stocks that are not consistent in the JII are 15 issuers, while the portfolio of stocks that consistent in ISSI are 221 issuers. The results showed that the average yield rate of return on the portfolio of ISSI consistent stocks is better than the portfolio of JII Inconsistent stocks, but the average of fluctuation risk that appears in standard deviation is higher, while the systematic risk that appears in Beta is lower. Based on the the performance calculation of 6 six measuring instruments are used in this study, the portfolio of JII Inconsistent stocks is better than the portfolio of ISSI consistent stocks calculated by Sharpe Index, Alpha Jensen Index and M2 measure. Meanwhile, the portfolio of ISSI consistent stocks is better than the portfolio of JII Inconsistent stocks calculated by Treynor Index, Appraisal Ratio and T2 measure.Keywords Comparative Analysis, Jakarta Islamic Index JII , Indonesia Sharia Stock Index ISSI , performance. |
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