SHARIA-SCREENING AND PERFORMANCE DETERMINANT IN INDONESIA

Abstract

This study aims to compare the Islamic stock-screening and conventional stock and the determinants of performance both in Islamic stock and conventional stock. The data of this study uses monthly data from January 2010 – October 2018. This research uses Sharpe Ratio and Treynor Ratio to compare the performance of equity stock-screening by Jakarta Islamic Index, and conventional index measured by LQ45. We also calculate beta to to measure volatility of each index. The final step is by using Autoregressive Distributed Lag (ARDL) to capture the determinants of JII and LQ45 as the performance. The result shows that LQ45 has better performance than JII. In a range of seven years, LQ45 outperform JII in 7 years, whereas JII outperform LQ45 only in 2 years. The performance of Islamic screening stocks and Non-islamic screening stocks have no different. They are affected by JII and LQ45 of one previous period, japan rate of prior period, 3-month LIBOR, usd/idr rate, and usr/idr one previous period.