PERBANDINGAN ANTARA RETURN SAHAM SYARIAH DAN SAHAM KONVENSIONAL DI BURSA EFEK INDONESIA (PENDEKATAN VEKTOR ERROR CORRECTION MODEL)

QOONITAH FITHRI AL-NISA(1*),


(1) IAIN SYEKH NURJATI CIREBON
(*) Corresponding Author

Abstract


Abstract

The average sharia transaction volume growth was 167.2% versus 130% nonsyariah. On the average, the growth of sharia share transaction value in the last five years reached 70.7% compared to 25.4% nonsyariah. While the average growth frequency reaches 185.7% versus 160.7% nonsyariah. Description of the average return value of sharia stocks JII and the conventional stock return value JCI produces average JII index results much better than the return IHSG. The VECM estimation results of IHSG, JII and SBI variables that have long-term impact only on IHSG-JII and JII-IHSG variables. Variable SBI, does not have long-term influence on JCI and JCI variables. Short-term relationships between variables each adjust balance with long-term inter-variables IHSG-JII, for the SBI-JII variable short-term relationship adjusts the lenght term positively, and for short-term variables IHSG-SBI relationship adjusts the lenght term positively. Granger causality test resulted in one-way causality relationship, JII causing JCI, JII causing SBI and IHSG to cause SBI.

Keywords: Return, JII, IHSG, SBI

 

Abstrak

Rata-rata pertumbuhan volume transaksi saham syariah 167,2% berbanding 130% nonsyariah. Dari sisi rata-rata pertumbuhan nilai transaksi saham syariah dalam lima tahun terakhir mencapai 70,7% berbanding 25,4% nonsyariah. Sementara rata-rata pertumbuhan frekuensinya mencapai 185,7% berbanding 160,7% nonsyariah. Deskripsi rata-rata nilai return saham syariah JII dan nilai return saham konvensional IHSG menghasilkan rata-rata hasil indeks JII jauh lebih baik dari return IHSG. Hasil estimasi VECM variable IHSG, JII dan SBI yang mempunyai pengaruh jangka panjang hanya pada variable IHSG-JII, dan JII-IHSG. Variable SBI, tidak mempunyai pengaruh jangka panjang terhadap variable IHSG maupun JII.Hubungan jangka pendek antar variabel masing – masing menyesuaikan keseimbangan dengan jangka panjang antar variabel IHSG-JII, untuk variabel SBI-JII hubungan jangka pendek menyesuaikan jangka panjang secara positif, dan untuk variabel IHSG-SBI hubungan jangka pendek menyesuaikan jangka panjang secara positif.Ujikausalitas granger menghasilkanhubungan kausalitas satu arah, yaitu JII menyebabkan IHSG, JII menyebabkan SBI dan IHSG menyebabkan SBI.

Kata Kunci : Return, JII, IHSG, SBI


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DOI: 10.24235/inklusif.v3i2.2977

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