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SPEKULASI: MODEL MATEMATIKA, IMPLEMENTASI, DAN DAMPAKNYA PADA KINERJA SAHAM SYARIAH DI INDONESIA
A sharia share must include three criteria: (1) a qualitative criterion which relates to business type and activities, (2) a quantitative criterion which deals with financial ratio, and (3) a transaction method which should follow sharia principles. The last criterion has not been adopted in the screening method. Speculation as a transaction is forbidden when applied excessively and involves extreme uncertainty and high risk. Although some speculation detectors are available, they can only identify the existence of speculation in a share at a certain period and of specific shares. This research aims to develop a mathematical model of speculation measurement which applies to any share, coalescing abnormal return and risk. This model is inspired by the combination between theory of boundary (hudud) of Muhammad Syahrur and Value at Risk (VaR) then applied in sharia stock market in Indonesia. The study also explores the effect of speculation on share performance and portfolio by giving a speculation factor in the Asset Pricing Model (APM) development. Sharia-considered shares which are members of Jakarta Islamic Index 70 (JII70) over the period of 2018-2023 and sorted by purpose sampling method are used. The results show as follows. (1) The study shows that only a few shares (10%) are categorized as speculation-free, while 90% are speculation. The speculation shares can be split into three levels, i.e. low speculation (46%), moderate speculation (37%) and high speculation (7%). (2) About the effect of speculation on the share performance, it is discovered that there is no difference in expected return. The risk, however, shows a difference. It is also identified that high-speculation shares belong to the forbidden-risk type. (3) The tolerable-speculation factor has significant positive influence on portfolio performance. The research’s main contribution is the invention of a speculation-measurement mathematical model which is recommended for speculation-screening method. Another finding is that the holding period to minimize speculation activities of the Indonesian sharia stock markets is three days (T+2), and speculation factor can be regarded as one of factors for an APM improvement.
PANCASARJANA, UIN SUNAN KALIJAGA YOGYAKARTA
NIM.: 22300011019 Mohammad Farhan Qudratullah
SPEKULASI: MODEL MATEMATIKA, IMPLEMENTASI, DAN DAMPAKNYA PADA KINERJA SAHAM SYARIAH DI INDONESIA (Text)
SPEKULASI: MODEL MATEMATIKA, IMPLEMENTASI, DAN DAMPAKNYA PADA KINERJA SAHAM SYARIAH DI INDONESIA (Other)
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297.273 Islam dan Ilmu Ekonomi, Perbankan Syariah, Lembaga Keuangan Syariah