HOW PERFORMANCE OF JAKARTA ISLAMIC INDEX (JII) STOCKS RELATIVE TO OTHER STOCKS?
Abstract: This study was
conducted to assess the performance of Jakarta Islamic Index (JII) stocks and
also investigate whether there was an ethical effect (JII selection
restriction) and compare it with non-Sharia stocks. The main model used in this
study was the Capital Asset Pricing Model (CAPM) single index model extended to
the Fama and French three factors. This study employs elaborate matching data.
The data used in this study was split into two periods: the 2005-2007 periods
which consists of two groups: JII and non-JII and the 2008-2012 periods which
consists of three groups: JII, Sharia and non-Sharia based on industry sector.
This study found that basically there was no difference on performance between
JII and non-JII stocks. Therefore, this result supports the previous studies in
which there were no significant differences between Sharia and conventional
investment.
Author: Erna Listyaningsih,
Chandrasekhar Krishnamurti
Journal Code: jpmanajemengg150040
