Capturing the Performance of Indonesian Sharia Stock Index (ISSI) and Composite Share Price Index (IHSG) Jakarta Period 2016-2019

al-Hakim, Muhammad Hanif

doi:10.22219/jes.v5i2.12729

Cited by 1 publication

(1 citation statement)

References 28 publications

(26 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…With the existence of Islamic bond (sukuk), shariah mutual fund, and shariah compliant securities listed in the Indonesian Shariah Stock Index (ISSI), the product of shariah investment in the local capital market continued to develop. Hakim (2020) argued that the dramatic increase of Islamic equity indicates the interest of Muslims and non-Muslim investors toward shariah compliant stocks, promoting the shariah compliance enhancement and the market expansion in 2019 undertaken by the Indonesian government. Therefore, there is a need for investors, local and globally, to invest in IDX and ISSI.…”

Section: Problem Statementmentioning

confidence: 99%

The Influence of Investment, Debt, and Dividend Policies on the Stock Return of Shariah Compliant Companies in Indonesia (ISSI)

Haron

Siraj

2022

GReviewIEB

View full text Add to dashboard Cite

This study aims to analyze the impact of investment, debt, and dividend policies on the stock return of the companies listed in the Indonesia Sharia Stock Index (ISSI) from 2016 up to 2020. The sample stocks used in this study covers all the shariah compliant companies that were consistently listed during the study period, involving 158 companies with 790 observations. The proxies of stock return are annualized stock return, Sharpe ratio, and Treynor ratio. Investment policy is represented by price earnings ratio (PER), debt policy by debt to asset ratio (DAR), and dividend policy by dividend yield (DY). The generalized method of moment (GMM) is a regression technique that is employed in this study. The regression model should pass the AR(2) and Hansen tests to avoid autocorrelation and validity issues. This study provides important evidence that investment policy positively affects stock return (annualized stock return and Treynor ratio). In contrast, investment policy negatively affects the Sharpe ratio. Furthermore, there is a significant negative relationship between debt policy and the Sharpe ratio. Lastly, dividend policy is reported to significantly influence stock return, positive with Treynor ratio, while negative with stock return (annualized). The study relates its findings to the relevant theories involving the trade-off, signalling, and the bird in the hand theories.

show abstract

Section: Problem Statementmentioning

confidence: 99%