Stock Portfolio Performance Comparison between Conventional and Sharia Stocks with Single Index Model Approach: A Case Study on Indonesia Stock Exchange

Intan Diane Binangkit, Enni Savitri, Kamaliah .

Abstract


The purpose of this study was to compare Performance of Sharia and Conventional Stocks in Optimal Portfolio with Single Index Model Approach. The populations used in this study were all companies in the Indonesia Stock Exchange 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 is a significant difference between the Stock Return of Sharia and Conventional Portfolio during the period from 2013 to 2015. 2) There is a significant difference between the Sharia Stock Portfolio’s Performances: Sharpe, Treynor and Jensen Ratio in 2013-2015. 3) There is a significant difference between the Conventional Stock Portfolio’s performances: Sharpe, Treynor and Jensen Ratio in 2013-2015. 4) There are significant differences between Sharia and Conventional Stock Portfolio Performance according to Sharpe, Treynor and Jensen Ratios in 2013-2015. 


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