Budi Setiawan
Indo Global Mandiri University

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PERBANDINGAN KINERJA PASAR MODAL SYARIAH DAN KONVENSIONAL : SUATU KAJIAN EMPIRIS PADA PASAR MODAL INDONESIA Budi Setiawan
Jurnal Ilmiah Ekonomi Global Masa Kini Vol 8, No 1
Publisher : Universitas Indo Global Mandiri

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (647.995 KB) | DOI: 10.36982/jiegmk.v8i1.234

Abstract

The purpose of this study is to investigate the performance of syariah and conventional stock market in Indonesia. This paper uses Jakarta Islamic Index (JII) to represent syariah stock market and Jakarta Composite Index (JCI) to represent conventional stock market. The Treasury bill rate and the MSCI World index are used as risk free rate and stock market benchmark. Daily data were divided into five periods such as pre-asian financial crisis, during asia financial crisis, pre-subprime mortgage financial crisis, during the subprime mortgage financial crisis, and full sample period. We use three risk adjusted performance measures: Sharpe ratio, Treynor ratio, and Jensen alpha. This study shows that the conventional stock market produced more return compared to syariah in all sample periods.Key words: Islamic stock market; conventional stock market; Sharpe Ratio, Treynor Ratio, Jensen alpha
PENGARUH PASAR MODAL NEGARA G-3 TERHADAP PASAR MODAL ASEAN-5 Budi Setiawan; Muhammad Hidayat
Jurnal Ilmiah Ekonomi Global Masa Kini Vol 8, No 3
Publisher : Universitas Indo Global Mandiri

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (275.578 KB) | DOI: 10.36982/jiegmk.v8i3.348

Abstract

The stock market has captured the attention of many practitioners and scholars in the past decade. It has become one of the most vital aspects of a modern market economy. The stock market provides companies with access to capital and gives opportunity for investors to have a slice of company ownership. The present paper investigates the impact of G-3 stock markets (US, Japan and Europe) to ASEAN-5 stock markets (Indonesia, Malaysia, Philippines, Thailand and Singapore). The data coverage is composed of daily closing stock index at G-3 stock markets and ASEAN-5 stock markets over the period from January 4, 2000 to December 31, 2014. The historical stock market data were analyzed by using Structured Equation Model (SEM). The empirical results suggest that the G-3 stock markets have a positive and significant impact on ASEAN-5 stock markets. For further, the researcher could add other Asia stock markets such as Nikkei225 Index (Japan), Hang Seng Index (Hong Kong), Kospi Index (South Korea), and BSE Index (India).Keywords: G-3 Stock Markets, ASEAN-5 Stock Markets, Structured Equation Model, Stock Market Diversification; Contagious Effect.