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Pembentukan Portofolio Optimal Indeks Saham Syariah Indonesia selama Masa Pandemi Covid19

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"Objective – The objective of this study is to analyse the impact of the Covid-19
event on the Islamic capital market in Indonesia through the analysis of the
formation and evaluation of the optimal portfolio performance of Islamic stocks
with a sectoral approach for a period of one year before and one year during
Covid19.
Research Method - The portfolio formation method uses the Single Index Model
(SIM) and the performance test uses the Sharpe Ratio. Secondary datas are weekly
stock closing prices and weekly ISSI closing points from March 3, 2019 to February
28, 2022, with the yield of Retail Sukuk SR011 as a reference for risk-free asset
return.
Findings - There is an increase in return performance and the composition of stocks
that make up the optimal portfolio due to the common response of securities to
increasing market performance towards positive numbers during Covid19. The
portfolio's sharpe ratio performance has always outperformed the market in both
research periods, with the sectors showing the best performance coming from the
finance, energy, and technology sectors. Based on the statistical difference test on
the Sharpe ratio, it is known that the Covid19 pandemic has had a significant impact
on the Islamic capital market. Investors are advised to be careful by choosing the
right sector during an economic downturn, while the authorities are advised to
anticipate with policies that strengthen vulnerable sectors and prepare sectors that
will become the foundation of the economy in times of crisis"

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Availability

Detail Information

Series Title

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Call Number

REF 332.6 SET p

Publisher

Bogor : IAI Tazia., 2022

Collation

MES

Language

Indonesia

ISBN/ISSN

NIM.19150008

Classification

332.6M

Content Type

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Media Type

-

Carrier Type

-

Edition

-

Subject(s)

ISSI
optimal portfolio
sharia share
covid19
sharpe ratio.

Specific Detail Info

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Statement of Responsibility

Iwan Setiawan

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