DETERMINAN PERFORMANCE EXCHANGE TRADED FUND SYARIAH DI INDONESIA DENGAN FUND SIZE SEBAGAI VARIABEL MODERASI

Fajriyatul Abadiyah, S.E, NIM.: 21208012044 (2023) DETERMINAN PERFORMANCE EXCHANGE TRADED FUND SYARIAH DI INDONESIA DENGAN FUND SIZE SEBAGAI VARIABEL MODERASI. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The aim of this research is based on the potential and development of sharia investment products on the Indonesia Stock Exchange i.e. Exchange Traded Fund Sharia in recent years. Sharia ETFs are mutual funds that can be traded on the capital market like shares whose performance adheres to a sharia reference index. Having a hybrid composition that combines the performance of mutual funds and the practicality of shares, makes Sharia ETFs have their own appeal for investors. This research attempts to examine the determinants of sharia exchange traded fund performance, which includes tracking error, traded volume, volatility index with fund size (AUM) as a moderating variable. Ordinary Least Square analysis (OLS) and moderation analysis (MRA) are used to answer the problem formulation using the Common Effect Model (CEM) approach. The research results show that in the multiple regression results, tracking error and volatility index have a significant negative effect on the performance of Sharia ETFs, while traded volume does not have a significant effect on the performance of Sharia ETFs. Furthermore, in the moderation analysis, the statistical results concluded that fund size was not able to moderate the relationship between tracking error and Sharia ETF performance, however, fund size was able to moderate in the direction of strengthening the relationship between traded volume and Sharia ETF performance, but weakening the relationship between index volatility and Sharia ETF performance

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