eprintid: 36982
rev_number: 10
eprint_status: archive
userid: 12259
dir: disk0/00/03/69/82
datestamp: 2019-12-13 07:33:46
lastmod: 2019-12-13 07:33:46
status_changed: 2019-12-13 07:33:46
type: thesis
metadata_visibility: show
creators_name: SYAMSUL ARIFIN, NIM. 16208010003
title: PENGARUH SKRINING SYARIAH KUANTITATIF TERHADAP
KINERJA DAN VOLATILITAS PORTOFOLIO (PERBANDINGAN
ANTARA PORTOFOLIO SAHAM SYARIAH DAN KONVENSIONAL DI
BURSA EFEK INDONESIA)
ispublished: pub
subjects: eko_sya
divisions: e_isl
full_text_status: restricted
keywords: Sharia-screening, debt ratio, portfolio performance, portfolio
volatility
note: Dr. Ibnu Qizam, S.E., Akt., M.Si.
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
date: 2019-08-13
date_type: published
pages: 229
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: PASCASARJANA UIN SUNAN KALIJAGA
thesis_type: masters
thesis_name: other
citation:   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.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/36982/1/16208010003_BAB-I_V_DAFTAR%20PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/36982/2/16208010003_BAB-II_BAB-IV.pdf