Performance of Sharia and Conventional Stock during the Pandemic of Covid-19 in Indonesia

Abstract

Performance of Sharia and Conventional Stock during the Pandemic of Covid-19 in Indonesia 1. Introduction Pandemic Covid-19 which struck the world with 76 positively confirmed countries has a big impact on all sectors, including trading on the Indonesia Stock Exchange. On March 2, 2020 the Indonesian government issued a formal declaration that in Indonesia was confirmed Covid-19. The statement responded to the market with a decrease in the stock price of 236 shares or 35% of all traded stocks. The average stock price decrease was 0.08% in the trade close of 2 March 2020. The decline continued to occur and resulted in the Indonesian capital market experiencing trade pressures that resulted in a significant decrease in the combined Stock price index (JCI). So that the board of Directors of Indonesia Stock Exchange issued a decision of board of Director number: KEP-00024/IDX/03-2020 dated March 10, 2020 on the change of the guidelines for the continuity of trade in the Indonesia Stock Exchange in case of emergency, in order to maintain a regular, fair and efficient trading of securities Based on the decision of the Board of Directors, IDX held a temporary suspension of trade (trading halt) on 12, 13, 17, 19, 23 and 30 March 2020. The decline of the JCI on March 2, 2020 to 5,361.246 which was previously at the end of February JCI closed at 5,452.704. At the end of March 2020 it fell to 4,538.930 and by the end of April the JCI increased at level 4,716.403. This level lasts at the end of May that is at level 4,753.612 The Sharia stock index (ISSI), which is an index of Sharia stock groups, is also a decline. In early March, 155.310 was decreased compared to trade in the end of February at 156.750.At the end of March ISSI still declining at level 133.990. In late April and May 2020 ISSI was still in the range of 144.865 and 143.810. This shows that sharia stocks are the same as conventional stocks as affected by pandemic Covid-19. The difference with the previous crisis that had occurred in 2008, sharia stocks have better resilience in the economic condition of the crisis (Albaity & Ahmad, 2008). Based on the background, this research aims to determine if there is a difference between Sharia and conventional stock performance in the pandemic of Covid-19 using Sharpe ratio analysis. 2. Theoretical Background 2.1. Return (Gitman, 2009) defines return as follows: "Return is the total gain or loss over a certain period of time. Generally, a percentage of the initial investment value is measured as a change in value over the cash distribution over a period of time".(Berk & DeMarzo, 2017)"Return is the difference between the sale and purchase price of an asset plus a cash distribution expressed in a percentage of the purchase price". According to (Hartono, 2017)return there are two return realization and return expectations. Return of actual realization or return is calculated based on historical data while return expectation is expected return to be obtained by investor in future. 2.2. Risk The risk according to (Tendelilin...