PENGARUH SKRINING SYARIAH KUANTITATIF TERHADAP KINERJA DAN VOLATILITAS PORTOFOLIO (PERBANDINGAN ANTARA PORTOFOLIO SAHAM SYARIAH DAN KONVENSIONAL DI BURSA EFEK INDONESIA)

SYAMSUL ARIFIN, NIM. 16208010003 (2019) PENGARUH SKRINING SYARIAH KUANTITATIF TERHADAP KINERJA DAN VOLATILITAS PORTOFOLIO (PERBANDINGAN ANTARA PORTOFOLIO SAHAM SYARIAH DAN KONVENSIONAL DI BURSA EFEK INDONESIA). Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Sharia stocks are one of the options for investors who want a Sharia-compliant based investment. On the one hand, sharia screening of company stocks can provide comfort for investors due to Islamic Sharia compliance. But on the other hand, sharia screening also raises doubts as it narrows diversification so that it is feared to impact portfolio performance and volatility. The research aims to compare the performance and volatility between Sharia and conventional stock portfolios listed on the Indonesia Stock Exchange in 2013-2017. The author use several risk-adjusted return ratio such as Sharpe ratio, Treynor ratio and ratio to compare portfolio performance, while comparing volatility, the author use a time-series analysis of Autoregressive Integrated Moving Average (ARIMA) model. Lastly, the author use multiple linear regression analyses to test the influence of quantitative sharia screening using a debt ratio proxy to portfolio return. The result is that there is no performance difference between Sharia and conventional stock portfolios measured using Sharpe ratio, Treynor ratio and ratio. Related to volatility, sharia portfolios have lower volatility than conventional portfolios. Regarding quantitative Sharia screening, regression analysis results show that the debt to equity ratio (DER) to each portfolio is influential and positively correlated to portfolio returns

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