Djohan, Nanny Veronica and Murhadi, Werner Ria and Ernawati, Endang (2014) KINERJA PORTOFOLIO SYARIAH DAN PORTOFOLIO NON SYARIAH DI INDONESIA. In: Forum Manajemen Indonesia ke 6, 12-14 November 2014, Medan.
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Abstract
This study aims to investigate performance of sharia portfolio and non sharia portfolio in Indonesia at 2012. Sharia portfolio is collections that consist of stocks that are believed correspond to religious values or not contrary to religious values. While sin stock portfolio is a stocks collection of companies that worked in activity that is considered immoral or unethical. The investigations using a quantitative approach. This study uses the company listed in Indonesia Stock Exchange. Sharia portfolio in this study is made up of stocks that are continuously in 2008 and 2012 are listed in the Jakarta Islamic Index. While the non sharia portfolio is made up of stocks that are continuously in LQ-45 from February 2008 to February 2012 and never included in the Jakarta Islamic Index for 2008 to 2012. Optimal portfolio is formed using a single index model. Then the performance calculation is done using the Sharpe, Treynor, and Jensen ratio. Result from this study found that optimal sharia portfolio has a higher value of Treynor and Jensen ratio. On the other hand, optimal non sharia portfolio has a higher value of Sharpe ratio.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | optimal portfolio, single index model, sharia |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Faculty of Business and Economic > Department of Management |
| Depositing User: | Werner R. Murhadi 31124 |
| Date Deposited: | 16 Dec 2014 01:47 |
| Last Modified: | 24 Mar 2021 14:58 |
| URI: | http://repository.ubaya.ac.id/id/eprint/21749 |
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