MODIFIKASI MODEL INDEKS JANSEN SEBAGAI ALAT UKUR KINERJA SAHAM SYARIAH
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Keywords:
Islamic Finance, Jansen Index, Risk Free Return, Syariah Stock Performance
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Abstract
The Jansen Index is a measure of stock performance based on the Capital Asset Princing Model (CAPM). The Jansen Index consists of 4 (four) components, namely: stock returns, beta stocks, market returns, and risk-free returns. Many studies approach risk-free returns with interest rates when measuring the performance of Islamic stocks in the Jansen Index model, while interest rates are prohibited in the concept of Islamic finance. This paper discusses the modification of the Jansen Index model to analyze the performance of Islamic stocks with 4 (four) approaches, namely the model without interest rates, models with zakat rates, models with inflation, and models with gross domestic production (GDP) and compare them with models with interest rates (BI-Rate). Then the five models are implemented in the Islamic capital market in Indonesia in the period January 2011 - July 2018.The results obtained are that there is a very high suitability for the measurement results of the five models. Judging from the closeness of the results of performance measurement, the five models can be grouped into 2 (two), namely models with interest rates, inflation, and GDP as the first group, while models without interest rates and zakat- rate as the second group. This means, on the concept of Islamic finance, risk-free returns can be measured using these 4 (four) approaches, specifically inflation or GDP
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MODIFIKASI MODEL INDEKS JANSEN SEBAGAI ALAT UKUR KINERJA SAHAM SYARIAH. (2019). I-Finance: A Research Journal on Islamic Finance, 5(2), 110-124. https://doi.org/10.19109/ifinance.v5i2.4910
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I-Finance by http://jurnal.radenfatah.ac.id/index.php/I-Finance is lincensed under a Creative Commons Attribution-ShareAlike 4.0 International Lisence.
How to Cite
MODIFIKASI MODEL INDEKS JANSEN SEBAGAI ALAT UKUR KINERJA SAHAM SYARIAH. (2019). I-Finance: A Research Journal on Islamic Finance, 5(2), 110-124. https://doi.org/10.19109/ifinance.v5i2.4910
References
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Qudratullah, M.F., (2017). “Statistik Nonparametik: Teori Contoh Kasus dan Aplikasi dengan IBM SPSS”. Yogyakarta: Penerbit Andi. ISBN: 978-979-29-5304-6
Redman, L. A., Gullet, N. S., & Manakyan, H. (2000). The performance of global and international mutual funds. Journal of Financial and Strategic Decisions, 13(1), 75-85.
Rumintang, A. G., dan Azhari, M., (2015). Comparative Analysis of Performance of Conventional Equity Fund and Syariah Equyty Fund using Sharpe, Treynor, and Jansen Method in 2014. e-Proceeding of Management: Vol.2, No.2.
Setiawan, C., and Oktariza, H., (2013). Syariah and Conventional Stocks Performance of Public Companies Listed on Indonesia Stock Exchange. Journal of Finance and Economics. Vol. 3. No. 1. Jully 2013. Pp. 51-64
Sharpe, W.F., (1966). 'Mutual Fund Performance'. The Jurnal of Business. Vol. 39. No. 1 Part:2
Sheikh, S.A. (2010). ‘Corporate Finance in an Interest Free Economy: An Alternate Approach to Practiced Islamic Corporate Finance’.
Sourd, V. L., (2007). Performance Measurement for Traditional Investment Literature Survey. Edhec Risk And Asset Management Reserch Centre. Lille-Nice: Business School
Suprapto, J. (2004). 'Analisis Multivariat Arti dan Interpretasi'. Jakarta: Rineka Cipta. ISBN: 979-518-902-6
Tandelilin, E., (2001), Analisis Investasi dan Manajemen Portofolio'. Edisi Pertama, Yogyakarta: BPFE-Yogyakarta
Tomkins, C., & Karim, R. A. A. (1987). The Shari’ah and Its Implications for Islamic Financial Analysis: An Opportunity to Study Interactions Among Society, Organization and Accounting. The American Journal of Islamic Social Sciences, 4(1), 101-115.
Treynor, J.L., (1965). 'Haw to Rate Management of Investment Funds'. Harvard Business Review XLIII. pp 63-75
Tulasmi dan Trihariyanto, R. R., (2016). Islamic Stocks Indeks Performance: Comparative Studies Betwen Indonesia and Malaysia. Signifikan: Jurnal Ilmu Ekonomi. Volume 5 (1).
Utami, R. dan Nugraha, M. P. K., (2011). Analisis Kinerja Saham Syariah dan Pengaruhnya terhadap Respon Pasar pada Perusahaan yang Tercatat di Jakarta Islamic Indeks. Jurnal Reviw Akuntansi dan Keuangan. Vo.1 No. 2. 161-172
Van Horne, J. dan Wachowics, Jr., J. M., (1992). Fundamentals of Financial Management. Prentice-Hall International Edition, eigth edition.
Wiesinger, A., (2010). Risk-Adjusted Performance Measurement - State of the Art. Switzerland: University of St. Gallen (HSG), St. Galllen
Ashraf, D., (2013). Performance evaluation of Islamic mutual funds relative to conventional funds: Empirical evidence from Saudi Arabia, International Journal of Islamic and Middle Eastern Finance and Management, Vol. 6 Issue: 2. 105-121,
Ayub, M., (2009). Understanding Islamic Finance: A-Z Keuangan Islam. Jakarta: PT. Gramedia Pustaka Utama. ISBN: 979-979-22-5232-3
Yuniarti, D., dan Litriani, E., (2017). Pengaruh Inflasi dan Nilai Tukar Rupiah terhadap Harga Saham di Sektor Industri Barang Konsumsi pada Indeks Saham Syarih di Indonesia (ISSI) Tahun 2012-2016. I-Finance Vol. 1. No. 1. 31-52
El-Ashker, A. A. F., (1987). The Islamic Business Enterprise. London: Croom Helm. ISBN: 978-0709909859
Hamzah, A., dan Yohanes, A., (2014). Analisis Perbandingan Kinerja Reksa Dana Syariah dengan Reksadan Konvensional Jenis Saham pada Periode 2008-012. Jurnal MIX, Volume IV, No. 3, Okt 2014. Hal: 396-409
Hanafi, M.M., dan Hanafi, S.M., (2012). 'Perbandingan Kinerja Investasi Syariah dan Konvensional: Studi pada Jakarta Islamic Indeks (JII) dan Indeks LQ45'. Ekbisi: Jurnal Ekonomi dan Bisnis Islam Vol. VII. No.1
Hanif, M., (2011). ‘Risk and Return under Shari’a Framework an Attempt to Develop Shari’a Compliant Asset Pricing Model SCAPM’. Pakistan Joural of Commerce and Social Scinces 5:2
Hasbullah, E. S., Mohd, I. B., Mamat, M., Sukono., Rusyaman., E., (2013). Analisis Perbandingan beberapa Saham Syariah dengan Menggunakan Model Volatilitas Tak Konstan. Statistika Vol 13 No 1. Hal: 25-31
Huda, N., (2017). Analisis Perbandingan Kinerja Reksadana Saham Syariah dan Konvensional periode 2012-2015. Iqtishadia: Jurnal Kajian Ekonomi dan Bisnis Islam. Volume 10 No. 2.
Jansen, M.C., (1967). 'The Performance of Mutual Funds In The Period 1945-1964. Journal of Finance, Vol. 23 No.2.
Jogiyanto, H., (2007). Teori Portofollio dan Analisis Investasi, Edisi kelima. Yogyakarta: BPEE. ISBN: 979-503-370-9
Kurniawan, R. D., dan Asandimitra, N., (2014). Analisis perbandingan Kinerja Saham Syariah dan Kinerja Saham Konvensional. Jurnal Manajemen, Volume 2 Nomor 4.
Kusumawati, R., (2016). Analisis Reksadana Konvensional dan Reksadana Syariah dengan Menggunakan Metode Sharpe. Jurnal Info Artha. Vol. 4. Page: 151-170
Lestari, W. R., (2015). Kinerja Reksadana Saham Syariah dan Reksadana Saham Konventional. Jurnal Magister Managemen. Vol. 01. No. 1.
Mansor, F., Bhatti, M.I., (2011). The Islamic Mutual Fund Performance: New Evidence on Market Timing and Stock Selectivity. International Conference on Economics and Finance Research (ICEFR 2011).
Merdad, H., Hassan, M. K., dan Alhenawi, Y., (2010). Islamic Versus Conventional Mutual Funds Performance in Saudi Arabia: A Case Study. JKAU: Islamic Econ., Vol 23. No. 2, pp: 157-193
Otoritas Jasa Keuangan Republik Indonesia. 2018. Statistik Pasar Modal Syariah Indonesia: Januari 2019. http://www.ojk.go.id/ [30 Januari 2019].
Qudratullah, M.F., (2017). “Statistik Nonparametik: Teori Contoh Kasus dan Aplikasi dengan IBM SPSS”. Yogyakarta: Penerbit Andi. ISBN: 978-979-29-5304-6
Redman, L. A., Gullet, N. S., & Manakyan, H. (2000). The performance of global and international mutual funds. Journal of Financial and Strategic Decisions, 13(1), 75-85.
Rumintang, A. G., dan Azhari, M., (2015). Comparative Analysis of Performance of Conventional Equity Fund and Syariah Equyty Fund using Sharpe, Treynor, and Jansen Method in 2014. e-Proceeding of Management: Vol.2, No.2.
Setiawan, C., and Oktariza, H., (2013). Syariah and Conventional Stocks Performance of Public Companies Listed on Indonesia Stock Exchange. Journal of Finance and Economics. Vol. 3. No. 1. Jully 2013. Pp. 51-64
Sharpe, W.F., (1966). 'Mutual Fund Performance'. The Jurnal of Business. Vol. 39. No. 1 Part:2
Sheikh, S.A. (2010). ‘Corporate Finance in an Interest Free Economy: An Alternate Approach to Practiced Islamic Corporate Finance’.
Sourd, V. L., (2007). Performance Measurement for Traditional Investment Literature Survey. Edhec Risk And Asset Management Reserch Centre. Lille-Nice: Business School
Suprapto, J. (2004). 'Analisis Multivariat Arti dan Interpretasi'. Jakarta: Rineka Cipta. ISBN: 979-518-902-6
Tandelilin, E., (2001), Analisis Investasi dan Manajemen Portofolio'. Edisi Pertama, Yogyakarta: BPFE-Yogyakarta
Tomkins, C., & Karim, R. A. A. (1987). The Shari’ah and Its Implications for Islamic Financial Analysis: An Opportunity to Study Interactions Among Society, Organization and Accounting. The American Journal of Islamic Social Sciences, 4(1), 101-115.
Treynor, J.L., (1965). 'Haw to Rate Management of Investment Funds'. Harvard Business Review XLIII. pp 63-75
Tulasmi dan Trihariyanto, R. R., (2016). Islamic Stocks Indeks Performance: Comparative Studies Betwen Indonesia and Malaysia. Signifikan: Jurnal Ilmu Ekonomi. Volume 5 (1).
Utami, R. dan Nugraha, M. P. K., (2011). Analisis Kinerja Saham Syariah dan Pengaruhnya terhadap Respon Pasar pada Perusahaan yang Tercatat di Jakarta Islamic Indeks. Jurnal Reviw Akuntansi dan Keuangan. Vo.1 No. 2. 161-172
Van Horne, J. dan Wachowics, Jr., J. M., (1992). Fundamentals of Financial Management. Prentice-Hall International Edition, eigth edition.
Wiesinger, A., (2010). Risk-Adjusted Performance Measurement - State of the Art. Switzerland: University of St. Gallen (HSG), St. Galllen