Judul: Syariah and Conventional Stocks Performance of Public Companies Listed on Indonesia Stock Exchange
Perguruan Tinggi: Universitas Presiden
Jenis/sdm: dosen/ 0408046103
This paper examines the performance of Syariah stocks compared to conventional stocks of selected public companies listed on the Indonesia Stock Exchange (IDX) during the period of 2009 to 2011. The performance is assessed by employing risk-adjusted return measurement consisting of the Sharpe ratio, Treynor ratio, and Jensen’s Alpha. Moreover, this research assesses the relationship between stock returns and financial ratios that are represented by a Debt to Equity Ratio (DER), Earnings per Share (EPS), Price Earning Ratio (PER), Net Profit Margin (NPM), Return on Equity (ROE) and Price to Book Value (PBV) of both Syariah and conventional stocks. Samples of this research are 30 Syariah companies and 30 conventional companies from three sectors of industries; Consumer Goods, Mining, and Trade & Services. Independent samples T-test and Mann Whitney U-test are employed to test the mean differences between the two samples. The result shows no evidence of significant statistical differences in cumulative returns, standard deviation, and beta between Syariah and conventional stocks. It also indicates that risk-adjusted returns of both stocks portfolio are performed in a similar manner. Finally, using a
multiple regression analysis, the research found that DER, EPS, PER, NPM, ROE and PBV are simultaneously proved to have a significant relationship with both Syariah and conventional stocks returns.