Perbandingan Kinerja Pasar Modal Syariah Dan Konvensional : Suatu Kajian Empiris Pada Pasar Modal Indonesia

Abstract

The purpose of this study is to investigate the performance of syariah and conventional stock market in Indonesia. This paper uses Jakarta Islamic Index (JII) to represent syariah stock market and Jakarta Composite Index (JCI) to represent conventional stock market. The Treasury bill rate and the MSCI World index are used as risk free rate and stock market benchmark. Daily data were divided into five periods such as pre-asian financial crisis, during asia financial crisis, pre-subprime mortgage financial crisis, during the subprime mortgage financial crisis, and full sample period. We use three risk adjusted performance measures: Sharpe ratio, Treynor ratio, and Jensen alpha. This study shows that the conventional stock market produced more return compared to syariah in all sample periods.Key words: Islamic stock market; conventional stock market; Sharpe Ratio, Treynor Ratio, Jensen alpha

Determinants of Fundamental Factors on Dividend Policy on the LQ45 Sharia Stock Index in Indonesia

“…Companies compete in attracting investors to invest, so companies get funding from the capital market. With alternative funding from the capital market, companies can operate and develop their business and the government can finance various activities so as to increase the country's economic activities and the prosperity of the wider community [3]. While investors have the main goal to get a return on invested capital.…”