Analisis Perbandingan Kinerja Saham-Saham Syariah dan Saham-Saham Konvensional Pada Portofolio Optimal Dengan Pendekatan Single Index model(Studi Kasus pada Bursa Efek Indonesia Tahun 2013-2015)

Abstract

The purpose of this study was to determine how to compare
Performance of Sharia and Conventional Stocks in Optimal Portfolio with Single
Index Model Approach.The population used in this study were all companies in
the Indonesia Stock Exchange and 2011-2013. Based on consideration of the
specified criteria, obtained 201 companies samples of Sharia Stocks while
conventional stock samples were 106 companies. This study used secondary data,
such as daily stock prices and interest rates of BI. The analytical method used in
this study was non-parametric different test.Based on the analysis of Single Index
Model, Optimal Portfolio of Sharia stocks were consisted of 44 companies,
whereas Optimal Portfolio of Conventional stocks were consisted of 29
companies. Based on the results of data analysis and discussion, it can be
concluded as follows: 1) There was difference between the Stock Return of Sharia
and Conventional Portfolio during the period from 2013 to 2015. 2) There was
difference between the Sharia Stock Portfolio’s performances: Sharpe, Treynor
and Jensen Ratio in 2013-2015. 3) There was difference between the
Conventional Stock Portfolio’s performances: Sharpe, Treynor and Jensen Ratio
in 2013-2015. 4) There were differences between Sharia and Conventional Stock
Portfolio Performance according to Sharpe, Treynor and Jensen Ratios in 2013-
2015.