Studi Perbandingan Nilai Value at Risk Antara Saham Berbasis Syariah Dengan Saham Non Syariah Periode 2010-2012
Abstract: This study aimed to
empirically compare the risk between sharia and non-sharia based stock
investment. The Sharia stocks are refereed to stocks that issued by companies
listed in LQ-45, whereas the non-sharia stocks are defined as stocks that are
issued by companies listed in Jakarta Indonesia Index (JII) between 2011 and
2012. In total, there were 25 companies listed in LQ-45 and 15 companies listed
in JII which were involved in this study. This study used GARCH model to
estimate the risk of every individual stock. The result showed that there was a
difference in risk between sharia and non-sharia based stock. This study also
documented that non-Sharia based stocks were more risky than Sharia-based
stodcks. Finally, this study provides information on risk characteristic in
Indonesia Capital Market.
Penulis: Fransissco Nicolas
Sapari, Agus Zainul Arifin
Kode Jurnal: jpakuntansidd131105
