The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi

The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi

This study attempts to investigate the financial performance of Jakarta Islamic Index (JII) in comparison with more widely known Jakarta Composite Index (JCI). Using historical data from January 2004 to May 2015, we comprehensively measure returns and risk properties of the indices using mean return...

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Main Author: Rifqi, Muhammad
Format: Article
Language:English
Published: Faculty of Business and Management, Universiti Teknologi MARA Selangor 2016
Subjects:
Finance, Islamic
Online Access:http://ir.uitm.edu.my/id/eprint/19352/
http://ir.uitm.edu.my/id/eprint/19352/
http://ir.uitm.edu.my/id/eprint/19352/1/AJ_MUHAMMAD%20RIFQI%20JEEIR%2016.pdf
id uitm-19352
recordtype eprints
spelling uitm-193522018-02-22T02:57:25Z http://ir.uitm.edu.my/id/eprint/19352/ The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi Rifqi, Muhammad Finance, Islamic This study attempts to investigate the financial performance of Jakarta Islamic Index (JII) in comparison with more widely known Jakarta Composite Index (JCI). Using historical data from January 2004 to May 2015, we comprehensively measure returns and risk properties of the indices using mean returns, standard deviation, Sharpe ratio, Treynor ratio, Jensen Alpha, and Value-at-Risk, and evaluate their results. We also perform portfolio simulation to assess the diversification capability of JII from strategic asset allocation perspective. Our findings indicate that despite JII outperforms JCI during pre-crisis in terms of raw and risk-adjusted returns, it underperforms JCI in all other sub-periods. Meanwhile, in terms of risk characteristics, we find that JII is a clear inferior to JCI. Thus, in overall we argue that there is a substantial cost associated with Sharia investing in Indonesian Stock Market. Nevertheless, simulation results indicate that JII could serve as a valuable portfolio diversification tool, in which it succeeds in lowering the risk of the whole portfolio. Faculty of Business and Management, Universiti Teknologi MARA Selangor 2016-12 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/19352/1/AJ_MUHAMMAD%20RIFQI%20JEEIR%2016.pdf Rifqi, Muhammad (2016) The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi. Journal of Emerging Economies and Islamic Research (JEEIR), 4 (4). pp. 1-13. ISSN 2289 - 2559 http://www.jeeir.com
repository_type Digital Repository
institution_category Local University
institution Universiti Teknologi MARA
building UiTM Institutional Repository
collection Online Access
language English
topic Finance, Islamic
spellingShingle Finance, Islamic
Rifqi, Muhammad
The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi
description This study attempts to investigate the financial performance of Jakarta Islamic Index (JII) in comparison with more widely known Jakarta Composite Index (JCI). Using historical data from January 2004 to May 2015, we comprehensively measure returns and risk properties of the indices using mean returns, standard deviation, Sharpe ratio, Treynor ratio, Jensen Alpha, and Value-at-Risk, and evaluate their results. We also perform portfolio simulation to assess the diversification capability of JII from strategic asset allocation perspective. Our findings indicate that despite JII outperforms JCI during pre-crisis in terms of raw and risk-adjusted returns, it underperforms JCI in all other sub-periods. Meanwhile, in terms of risk characteristics, we find that JII is a clear inferior to JCI. Thus, in overall we argue that there is a substantial cost associated with Sharia investing in Indonesian Stock Market. Nevertheless, simulation results indicate that JII could serve as a valuable portfolio diversification tool, in which it succeeds in lowering the risk of the whole portfolio.
format Article
author Rifqi, Muhammad
author_facet Rifqi, Muhammad
author_sort Rifqi, Muhammad
title The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi
title_short The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi
title_full The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi
title_fullStr The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi
title_full_unstemmed The cost of Sharia investing : comparative empirical study in Indonesian stock market / Muhammad Rifqi
title_sort cost of sharia investing : comparative empirical study in indonesian stock market / muhammad rifqi
publisher Faculty of Business and Management, Universiti Teknologi MARA Selangor
publishDate 2016
url http://ir.uitm.edu.my/id/eprint/19352/
http://ir.uitm.edu.my/id/eprint/19352/
http://ir.uitm.edu.my/id/eprint/19352/1/AJ_MUHAMMAD%20RIFQI%20JEEIR%2016.pdf
first_indexed 2023-09-18T23:02:23Z
last_indexed 2023-09-18T23:02:23Z
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