ANALISIS KOMPARATIF RISIKO PORTOFOLIO SAHAM PERBANKAN SYARIAH VS KONVENSIONAL DENGAN VALUE AT RISK PENDEKATAN SIMULASI MONTE CARLO

Dyaghazi Abdurraffi Nixon, NIM.: 21108020126 (2025) ANALISIS KOMPARATIF RISIKO PORTOFOLIO SAHAM PERBANKAN SYARIAH VS KONVENSIONAL DENGAN VALUE AT RISK PENDEKATAN SIMULASI MONTE CARLO. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This research examines the comparative analysis of portfolio risk between Islamic and conventional banking stocks utilizing the Value at Risk (VaR) methodology with Monte Carlo Simulation approach. The analysis employs a 95% confidence level over a 15-day horizon. The study sample comprises two Islamic banking stocks (BRIS and BTPS) and two conventional banking stocks (BBCA and BBRI) listed in the JII70 and LQ45 indices during the January-October 2024 period. The research utilizes daily closing stock prices with 193 observations. Portfolio optimization is conducted through the Markowitz Optimal Portfolio Model to minimize risk exposure. The empirical findings demonstrate, a statistically significant difference in stock returns between Islamic and conventional banking, evidenced by the Mann-Whitney test with an Asymp.Sig value of 0.002 < 0.05. VaR analysis through Monte Carlo Simulation reveals substantial risk differentials, with Islamic banking stocks exhibiting higher VaR values (BRIS -4.78% and BTPS -3.98%) compared to their conventional counterparts (BBCA -2.19% and BBRI -2.95%). The optimal portfolio composition for Islamic banking comprises BRIS at 45.4% and BTPS at 54.5%, yielding a VaR of -4.18%, corresponding to a potential loss of IDR 4,180,169 from an IDR 100,000,000 investment. Conversely, the conventional banking portfolio, consisting of BBCA at 74.5% and BBRI at 25.4%, demonstrates a VaR of -1.65%, indicating a potential loss of IDR 1,652,541. The findings suggest that Islamic banking stock portfolios exhibit higher risk characteristics relative to conventional banking portfolios.

Item Type: Thesis (Skripsi)
Additional Information / Supervisor: Hasan Al Banna, SEI., M.E
Uncontrolled Keywords: Value at Risk (VaR), Simulasi Monte Carlo, Portofolio Optimum, Perbankan Syariah, Perbankan Konvensional
Subjects: 300 Ilmu Sosial > 330 Ilmu Ekonomi > 332.1 Banks/Bank, Perbankan
Divisions: Fakultas Ekonomi dan Bisnis Islam > Perbankan Syari'ah (S1)
Depositing User: Muh Khabib, SIP.
Date Deposited: 04 Feb 2025 11:20
Last Modified: 04 Feb 2025 11:20
URI: http://digilib.uin-suka.ac.id/id/eprint/69772

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