Analisis Votalitas Saham di Jakarta Islamic Index (JII) periode Januari 2015-Januari 2018

Authors

  • Hendri Tanjung Universitas Ibn Khaldun
  • Taufik Akbar Martua Siregar Universitas Ibn Khaldun

DOI:

https://doi.org/10.12928/ijiefb.v1i1.270

Keywords:

Volatilitas, Distribusi Normal, Jakarta Islamic Index.

Abstract

Penelitian ini bertujuan untuk melihat volatilitas Jakarta Islamic Index (JII) pada Jakarta Stock Exchange. Adapun teknik analisis yang digunakan pada penelitian ini adalah Generalized Autoregressive Conditional Heteroscedasticity (GARCH) dan Autoregressive Conditional Heteroscedasticity (ARCH). Kenormalan distribusi tingkat return pada JII dianalisis untuk menjawab apakah returnnya tersebar secara normal atau tidak. Dengan menggunakan data JII dari januari 2015 sampai dengan januari 2018 (724 data harian), ditemukan bahwa distribusi dari return JII tidak menyebar normal. Penelitian ini menyimpulkan bahwa return dari Jakarta Islamic Indeks sangat berfluktuasi.  Adapun implikasinya adalah akan diperoleh keuntungan yang sangat tinggi dan kerugian yang sangat besar pada satu hari.

References

Jurnal, Bulletin, dan Majalah Ilmiah
[1] AL-Najjar, Dana. 2016. Modelling and Estimation of Volatility Using ARCH/GARCH Models in Jordan’s Stock Market, Asian Journal of Finance & Accounting ISSN 1946-052X 2016, Vol. 8, No. 1.
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[6] Tanjung, Hendri, 2014. Volatility of Jakarta Islamic Indeks. Jurnal Al-iqtishad vol. 6 No. 2. Juli 2014.

Buku
[8] Achsien, Iggi H. 2000, Investasi Syari’ah di Pasar Modal : Menggagas Konsep dalam Praktik Manajemen Portofolio Syari’ah - Jakarta : PT. Gramedia Pustaka Utama.
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Tesis, Disertasi
[16] Anton, 2006, Analisis Model Volatilitas Return Saham, Tesis Magister Sains dan Akuntansi, Program Pascasarjana, Universitas Diponegoro.
[17] Irkhami, Nafis. 2010. Analisis Risiko dalam Investasi Islam, Muqtasid, vol.1 No. 1. Sekolah Tinggi Agama Islam Negeri Salatiga.
[18] Winarno, Wing Wahyu. 2007. Analisis Ekonometrika statistika dengan eviews UPP STIM YKPN, Yogyakarta.
[19] Yohanes S dan Yun H . 2003. “Peramalan dalam Selang GARCH(1,1)”. WPF 2003. Bandung FE Institute.
[20] Yohanes S dan Yun H. 2003. “Kulminasi Prediksi Data Deret Waktu Keuangan Volatilitas dalam GARCH(1,1)”. WPF 2003. Bandung FE Institute.

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Published

2019-04-02

Issue

Vol. 1 No. 2 (2018)

Section

Articles

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