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Stock performance based on sharia stock screening: Comparasion between syariah stock indices of Indonesia and Malaysia

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  • Jeihan Ali Azhar
  • Resti Wulandari

Abstract

This study aims to compare the performance of the Islamic stock index in Malaysia and Indonesia using the Sharpe, Treynor and Jensen methods. The findings in this study are the performance of Sharia JII and FBMS stocks in 2014-2019, it can be concluded that the overall Sharpe and Treynor method shows a negative performance value, which means that the performance is not good, whereas when measured using the Jensen Indonesia method it shows a positive performance value. Which means that the performance is good so that Indonesia has a better performance than Malaysia, measured by the Jensen method. Based on the results of different tests, it shows that there are differences in the performance of the two countries in 2014-2019 from each index (Sharpe, Treynor, and Jensen).

Suggested Citation

  • Jeihan Ali Azhar & Resti Wulandari, 2021. "Stock performance based on sharia stock screening: Comparasion between syariah stock indices of Indonesia and Malaysia," Asian Management and Business Review, Master of Management, Department of Management, Faculty of Business and Economics Universitas Islam Indonesia, vol. 1(1), pages 14-26.
    • Handle: RePEc:uii:jrambr:v:1:y:2021:i:1:p:14-26:id:17670
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    References listed on IDEAS

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    1. Derigs, Ulrich & Marzban, Shehab, 2009. "New strategies and a new paradigm for Shariah-compliant portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1166-1176, June.
    2. Allen, Franklin & Faulhaber, Gerald R., 1989. "Signalling by underpricing in the IPO market," Journal of Financial Economics, Elsevier, vol. 23(2), pages 303-323, August.
    3. Baron, David P & Holmstrom, Bengt, 1980. "The Investment Banking Contract for New Issues under Asymmetric Information: Delegation and the Incentive Problem," Journal of Finance, American Finance Association, vol. 35(5), pages 1115-1138, December.
    4. Baron, D. P. & Holmström, B. R., 1980. "Abstract: The Investment Banking Contract for New Issues Under Asymmetric Information: Delegation and the Incentive Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(4), pages 851-851, November.
    5. repec:eme:mfppss:v:33:y:2007:i:2:p:142-153 is not listed on IDEAS
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