eprintid: 78119
rev_number: 10
eprint_status: archive
userid: 12460
dir: disk0/00/07/81/19
datestamp: 2026-09-11 02:26:12
lastmod: 2026-09-11 02:26:12
status_changed: 2026-09-11 02:26:12
type: thesis
metadata_visibility: show
contact_email: muh.khabib@uin-suka.ac.id
creators_name: Tedjun Cahya Kartalumasih, NIM.: 22108030120
title: ANALISIS KOMPARATIF VOLATILITAS JAKARTA ISLAMIC INDEX (JII) DAN INDEKS LQ45 DENGAN PENDEKATAN EVENT DUMMY PERIODE 2021-2025
ispublished: pub
subjects: 658.15
divisions: jur_mks
full_text_status: restricted
keywords: Jakarta Islamic Index (JII), Indeks LQ45, Volatilitas, GARCH(1,1),
Event Dummy
note: Sunarsih, S.E., M.Si.
abstract: This study aims to analyze the comparative volatility of the Jakarta Islamic Index
(JII) and the LQ45 Index during the 2021–2025 period across the phases of the
COVID-19 pandemic, economic recovery, and geopolitical tensions using the
GARCH(1,1) model. The results indicate that the volatility of the LQ45 Index is
higher and more persistent than that of the Jakarta Islamic Index (JII). The event
dummy variable does not have a significant effect on the volatility of either index.
These findings suggest that market dynamics are influenced more by historical
volatility than by external events. Furthermore, the results indicate that the Islamic
stock index is relatively more stable than the conventional stock index in the face
of market uncertainty. Therefore, the Jakarta Islamic Index (JII) demonstrates
better risk resilience than the LQ45 Index during the study period and may serve
as a more defensive investment alternative for investors.
date: 2026-06-02
date_type: published
pages: 161
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS EKONOMI DAN BISNIS ISLAM
thesis_type: skripsi
thesis_name: other
citation:   Tedjun Cahya Kartalumasih, NIM.: 22108030120  (2026) ANALISIS KOMPARATIF VOLATILITAS JAKARTA ISLAMIC INDEX (JII) DAN INDEKS LQ45 DENGAN PENDEKATAN EVENT DUMMY PERIODE 2021-2025.  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/78119/1/22108030120_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/78119/2/22108030120_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf