Analisis Volatilitas Return Saham Syariah Studi Kasus pada Saham Syariah Yang Terdaftar di Jakarta Islamic Index (JII)

Khalamillah, FAHMI (2021): Analisis Volatilitas Return Saham Syariah Studi Kasus pada Saham Syariah Yang Terdaftar di Jakarta Islamic Index (JII).

Abstract

Sharia stocks still made a positive performance, even better than the composite stock price index (CSPI) and the 45 most liquid stock index on the stock exchange (LQ45) on the Indonesia Stock Exchange (IDX). Along with the decline in the index and JCI capitalization, in 2018 the development of the Islamic capital market also experienced the same thing. The ISSI index decreased by 3.09% compared to the end of 2017. The method used in this study is this research is included in quantitative research. Quantitative research is research that uses numbers either directly taken from research results or data that is processed using statistical analysis. The conclusion of this study is that the results of the F test show that the variables tested together have an F test value of 27.794. with a significance of F 0.000 (p<0.05). this means that H0 is rejected and the alternative hypothesis is successfully accepted. So it is concluded that simultaneously or simultaneously the independent variables, namely trading volume, trading frequency, and order imbalance simultaneously affect the volatility of stock prices. The results of the Adjusted R2 test in this study were obtained at 0.469. This shows that stock price volatility is influenced by trading volume, trading frequency, and order imbalance by 46.9%, while the remaining 53.1% is influenced by other variables not included in the model.

• Item Type: MPRA Paper
• English Title: Volatility Analysis of Sharia Stock Returns Case Study on Sharia Stocks Listed in Jakarta Islamic Index (JII)
• Language: English
• Keywords: Volatility analysis, sharia-shares, index (jii) of the Indonesian stock exchange
• Subjects: A - General Economics and Teaching > A1 - General Economics > A11 - Role of Economics ; Role of Economists ; Market for Economists; L - Industrial Organization > L1 - Market Structure, Firm Strategy, and Market Performance; Z - Other Special Topics > Z0 - General > Z00 - General

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