PERBANDINGAN KINERJA INDEKS SAHAM SYARIAH DENGAN INDEKS KONVENSIONAL PERIODE 2011-2016 (STUDI KASUS PADA ISSI DAN IHSG)
Abstract: In past few years in
Indonesia has grown sharia investment. Sharia-based instrument is an
alternative that can be used by society to invest, especially the Moslem
community of Indonesia which is a major community. Significant developments
that occurred in sharia investment products, especially in the capital market.
The purpose of this research is to find out comparison of Indonesia Sharia
Stock Index (ISSI) with Jakarta Composite Index (JCI) in period 2011 to 2015
using Sharpe, Treynor and Jensen method. The type of this research is
descriptive research using quantitative data.Sample determination using
saturated sample method.The data in this research is secondary data in the form
of ISSI stock price index and JCI stock price index every month in period 2011
until 2015.The results based on the Sharpe method calculation shows that the
ISSI index has better performance than the JCI index.The performance of ISSI
index is supported by the sharia capital market regulation as stipulated in
Fatwa No.40/DSN-MUI/X/2003.While based on Treynor method, ISSI index also has
better performance if it compared to JCI index. The performance of the ISSI
index is supported by the performance of the JII index (constituent of ISSI
index) which experienced an increase in stock prices and net income from
company that are listed.And based on the Jensen method, the ISSI index and JCI
index did not show any advantage because the effect of market conditions in
2011-2016.
Keywords: ISSI index, JCI
index, Sharpe, Treynor, Jensen
Penulis: AMINATUS SHOLIHAH
Kode Jurnal: jpmanajemendd171169
