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Efficient portfolio composition of Indonesian Islamic bank financing

Author

Listed:
  • Nisful Laila

    (Airlangga University, Indonesia)

  • Karina Ayu Saraswati

    (Airlangga University, Indonesia)

  • Himmatul Kholidah

    (Airlangga University, Indonesia)

Abstract

The purpose of this research is to determine the composition of an efficient portfolio in the financing of ten Islamic banks. The theory of efficient portfolio by Markowitz is a modern portfolio theory used for analyzing the combination of various investment instruments to form efficient portfolio points at efficient frontier lines. The efficient composition portfolio measurement of Islamic bank in this study uses return, standard deviation, variance-covariance, correlation coefficient, and variation coefficient of investment instruments between 2011 and 2015. This study uses quantitative research achieved using Microsoft Excel. The result of this research shows that the average composition of an efficient portfolio of each Islamic bank is as follows: 48.62% for Mudharabah-Musyarakah, 41.63% for Murabahah, 8.03% for Ijarah, and 8.31% for Istishna. It can be seen that Mudharabah-Musyarakah and Murabahah are more dominant than the other financing types.

Suggested Citation

  • Nisful Laila & Karina Ayu Saraswati & Himmatul Kholidah, 2019. "Efficient portfolio composition of Indonesian Islamic bank financing," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 7(1), pages 34-43, September.
    • Handle: RePEc:ssi:jouesi:v:7:y:2019:i:1:p:34-43
    DOI: 10.9770/jesi.2019.7.1(3)
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    References listed on IDEAS

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    1. Natalia Kunitsyna & Igor Britchenko & Igor Kunitsyn, 2018. "Reputational risks, value of losses and financial sustainability of commercial banks," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 5(4), pages 943-955, June.
    2. Jiaqin Chen & Ming Yuan, 2016. "Efficient Portfolio Selection in a Large Market," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 496-524.
    3. Ali, Salman Syed, 2005. "Islamic Capital Market Products - Developments & Challenges (Occasional Papers)," Occasional Papers 213, The Islamic Research and Teaching Institute (IRTI).
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    Cited by:

    1. Omer Bagais & Khaled Aljaaidi & Abdulaziz Alothman, 2021. "An Empirical Investigation of the Associations of Short and Long Debt Policies with Economic Values of Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 249-254.

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    More about this item

    Keywords

    return; standard deviation; efficient portfolio; efficient frontier; Indonesia;
    All these keywords.

    JEL classification:

    • Z23 - Other Special Topics - - Sports Economics - - - Finance
    • Z29 - Other Special Topics - - Sports Economics - - - Other

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