Analisis komparatif kinerja reksadana syariah Indonesia dan Malaysia

Fikasari, Reny Nur (2012) Analisis komparatif kinerja reksadana syariah Indonesia dan Malaysia. Undergraduate thesis, Universitas Islam Negeri Maulana Malik Ibrahim.

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Abstract

INDONESIA:

Indonesia dan Malaysia adalah dua negara yang menerapkan sistem screening pada instrumen pasar modal syariah. Reksadana syariah adalah salah satu instrumen yang tidak lepas dari pengawasan lembaga terkait. Penelitian ini bertujuan untuk mengetahui kinerja reksadana syariah Indonesia dan Malaysia periode 2008-2010 yang diukur dengan model Sharpe, Treynor dan Jensen.

Dalam mengukur kinerja reksadana syariah berdasarkan model Sharpe, Treynor dan Jensen beberapa variabel yang digunakan adalah return per tahun, tingkat suku bunga (SBI) dan Islamic rate index Malaysia sebagai risk free, serta indeks saham syariah (JII) dan FTSE Bursa Malaysia Syariah emas sebagai return of market. Pengujian hipotesis komparatif reksadana syariah Indonesia dan Malaysia dilakukan menggunakan uji Mann-Whitney U-Test dengan teknik analisis uji dua arah (2-tailed) yang dijabarkan melalui nilai Z skor yang terdapat pada hasil output SPSS 15.

Hasil dari model Sharpe, Treynor dan Jensen pada tahun 2008 menunjukkan bahwa kinerja reksadana syariah Indonesia dan Malaysia mengalami penurunan karena mendapat imbas dari krisis finansial global. Kemudian pada tahun 2009 dan 2010 kinerja reksadana syariah kedua negara mengalami pertumbuhan yang sangat baik. Selanjutnya pada uji komparatif reksadana syariah menggunakan Mann-Whitney U-Test berdasarkan pada analisis dua arah (2-tailed) dengan tingkat signifikansi 5%, hasilnya menunjukkan terdapat perbedaan kinerja reksadana syariah Indonesia dan Malaysia (sebagian besar Hipotesis alternatif (Ha) diterima dan (Ho) ditolak).

ENGLISH:

Indonesia and Malaysia are two countries that implement screening systems in the Islamic capital market instruments. Islamic mutual funds are one instrument that cannot be separated from oversight agencies. This study aims to determine the performance of mutual funds Indonesia and Malaysia in 2008-2010 period, as measured by models of Sharpe, Treynor and Jensen.

Measuring the performance of mutual funds is based on the model of Sharpe, Treynor and Jensen. There are several variables used, they are return per annum, the interest rate (SBI) and Islamic Malaysia Index rate as risk free, as well as Islamic stock index (JII) and the FTSE Bursa Malaysia as an Islamic gold return of the market. Islamic mutual fund comparative hypothesis testing Indonesia and Malaysia are performed by using the Mann-Whitney U Test with two-way test analysis techniques (2-tailed) outlined by the Z score value contained in the output SPSS 15.

The results from the model of Sharpe, Treynor and Jensen show that the performance of mutual funds in 2008, Islamic Indonesia and Malaysia decreased due to the impact of the global financial crisis. Later in the year 2009 and 2010 the performance of Islamic mutual funds of both countries experienced excellent growth. Later in the Islamic mutual fund comparative test using the Mann- Whitney U-Test based on the analysis of two-way (2-tailed) with significance level of 5%, the results indicate there are differences in the performance of mutual funds Islamic Indonesia and Malaysia (most of the alternative hypothesis (Ha) accepted and (Ho) are rejected).

Item Type: Thesis (Undergraduate)
Supervisor: Yuliana, Indah
Keywords: Komparatif; Kinerja; Reksadana Syariah; Sharpe; Treynor; Jensen; Comparative; Performance; Mutual Funds Sharia; Sharpe; Treynor; Jensen
Subjects: 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
Departement: Fakultas Ekonomi > Jurusan Manajemen
Location: 150205
Depositing User: Imam Rohmanu
Date Deposited: 07 Jun 2016 13:18
Last Modified: 07 Jun 2016 13:18
URI: http://etheses.uin-malang.ac.id/id/eprint/2572

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