%0 Thesis
%9 Masters
%A SYAMSUL ARIFIN, NIM. 16208010003
%B PASCASARJANA UIN SUNAN KALIJAGA
%D 2019
%F digilib:36982
%I UIN SUNAN KALIJAGA YOGYAKARTA
%K Sharia-screening, debt ratio, portfolio performance, portfolio  volatility
%P 229
%T PENGARUH SKRINING SYARIAH KUANTITATIF TERHADAP  KINERJA DAN VOLATILITAS PORTOFOLIO (PERBANDINGAN  ANTARA PORTOFOLIO SAHAM SYARIAH DAN KONVENSIONAL DI  BURSA EFEK INDONESIA)
%U https://digilib.uin-suka.ac.id/id/eprint/36982/
%X 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
%Z Dr. Ibnu Qizam, S.E., Akt., M.Si.