Studi Komparatif terhadap kinerja Saham Syariah di Indonesia dan Malaysia

ABSTRAK

Laporan Tim Studi Investasi Syariah BAPEPAM menginformasikan bahwa perkembangan saham syariah di Malaysia lebih baik dibandingkan di Indonesia pada tahun 2004. Pada tahun 2007, World Federation of Exchange (WFE) melaporkan kinerja indeks gabungan (IHSG) BEI dan kapitalisasi pasarnya lebih tinggi melampau Indeks gabungan (KLCI) Malaysia. Berdasarkan informasi tersebut, ada indikasi hubungan tidak searah antara perkembangan saham syariah dengan perkembangan saham secara keseluruhan di kedua negara bersangkutan, yang diduga disebabkan oleh perbedaan kinerja perusahaan secara individual.

Penelitian ini berupaya menganalisis dan mebandingkan kinerja saham syariah di kedua negara tersebut dengan menggunakan indikator penilaian saham secara fundamental dan teknikal. Indikator fundamental meliputi penilaian karakteristik keuangan, market performance, dan sensitivitas saham terhadap variabel makro ekonomi, sedangkan indikator teknikal menggunakan tolak ukur volatilitas yang diukur dengan GARCH (1,1). Secara keseluruhan, analisis terdiri dari tiga tahapan, dimana tahap pertama menggunakan uji beda rata-rata independen sampel, tahap kedua menggunakan binary logistik dan tahap ketiga menggunakan regresi linear berganda.

Hasil analisis menemukan bahwa karakteristik keuangan yang diukur dari current ratio (CR), Return on Equity (ROE), Debt to Equity Ratio (DER) dan Price Earning Ratio (PER) saham syariah di Indonesia dan Malaysia tidak berbeda nyata, kecuali pada DER dan PER. Market performance yang diukur dari Sharpe’s index tidak berbeda, sedangkan GARCH (1,1) saham syariah di Indonesia lebih tinggi dibandingkan di Malaysia. Dari hasil uji logistik diketahui bahwa nilai saham di kedua negara tidak bisa diprediksi menggunakan karakteristik keuangan, sementara pengujian regresi berganda menyimpulkan bahwa variabel makro ekonomi yang diwakili inflasi, nilai tukar, rate of risk free of assets , dan composite index baik secara bersama-sama maupun secara parsial terbukti tidak berpengaruh terhadap return saham di Indonesia. Sementara di Malaysia, di antara keempat variabel makro ekonomi tersebut, secara parsial hanya nilai tukar yang berpengaruh negatif terhadap return saham, sedangkan secara simultan model tidak cocok.

ABSTRACT

The study team report of syariah investment formed by The Capital Market Supervisory Agency reporting that syariah stocks developing to Malaysia is getting better than Indonesia in 2004. In 2007, World Federation of Exchange (WFE) London reported that achievement of Indonesian Composite Index and its market capitalization outperformed Malaysian's Kuala Lumpur Composite Index (KLCI). The information indicates the undirectional relationship between syariah stocks developing with its composite index on both. It is preconceived happening because the differences of corporate performance individually.

This research effort to analyze and compare between syariah stocks achievements between Indonesia and Malaysia by using stock estimation fundamentally and technically. Fundamental indicator covers financial characteristic estimation, market performance, and sensitivity of stocks to economic macro variables, meanwhile the technikal indicator utilizes GARCH (1,1) as the volatility measurement of stocks. Wholly, the analysis's consisting of three steps, where the first step is utilizing independent sample for mean test. The second step utilizes binary logistic and the third utilize multiple OLS regression.

The result of this research finds that financial characteristic that is measured from Current Ratio (CR) and Return on Equity (ROE) of syariah stocks at Indonesia and Malaysia is indifferent significantly. But on Debt to Equity Ratio (DER) and Price Earning Ratio (PER) is significant. Market performance of stocks that is measured by Sharpe’s index is indifferent, meanwhile GARCH (1,1) syariah stocks at Indonesia higher than Malaysia. The result of binary logistic test shows that stock value at Indonesia and Malaysia can't predict from company finance characteristic, while the test of regression concludes that economic macro variables is represented by inflation, exchange rate, rate of risk free assets, and composite index not affect to the actual return of Indonesian’s stocks, simultantly and partially. While the Malaysia, between the fourth of economic macro variables partially only exchange rate that affect negatively to actual return of stock.Meanwhile, model simultaneous is indifferent.