Komparasi kinerja saham syariah Indonesia, Malaysia, dan Amerika Serikat dengan menggunakan metode sharpe, treynor, jensen, differential return dan appraisal ratio

INDONESIA:

Pertumbuhan kinerja saham syariah Indonesia berkembang sangat pesat, ditahun 2013-2015, berbeda dengan yang dialami Malaysia dan Amerika justru mengalami penurunan. Tujuan dari penelitian ini adalah untuk mengetahui kinerja saham syariah Indonesia, Malaysia dan Amerika serta untuk mengetahui apakah terdapat perbedaan nilai kinerja dari ketiga negara tersebut.

Jenis penelitian ini adalah kuantitatif deskriptif. Teknik pengambilan sampel menggunakan purposive sampling dan berdasarkan kriteria yang telah ditetapkan diperoleh tujuh sampel penelitian di masing-masing negara. Metode yang digunakan adalah Sharpe, Treynor, Jensen, Differential Return, dan Appraisal Ratio serta menggunakan alat uji beda repeat measure untuk mengukur perbedaan kinerja saham syariah di ketiga negara tersebut maupun antar negara.

Hasil penelitian ini menunjukkan bahwa kinerja saham syariah Amerika mengalami nilai positif dengan menggunakan semua metode, sedangkan kinerja saham syariah Indonesia dengan Malaysia diukur dengan metode Sharpe, Treynor, dan Differential Return, mengalami kinerja yang negative, dan diukur dengan metode Jensen, dan Appraisal Ratio bernilai positif. Berdasarkan uji beda Repeat measure menunjukkan bahwa terdapat perbedaan antara kinerja saham syariah Indonesia, Malaysia dan Amerika. Diukur antar negara Indonesia dan Amerika terdapat perbedaan, jika Indonesia dengan Malaysia tidak terdapat perbedaan, sedangkan Malaysia dam Amerika terdapat perbedaan pada tahun 2013 dan 2014, pada tahun 2015 tidak terdapat perbedaan sehingga diharapkan keadaan kinerja saham di Indonesia dan Malaysia mampu mengikuti keadaan seperti kinerja saham syariah di Amerika yang perkembangan pasar modalnya berkembang sangat baik dan maju.

ENGLISH:

The growth of Islamic stocks performance of Indonesia grows very rapidly, in 2013-2015, in contrast to the Malaysia and United stated experienced a decline. The purpose of this research is to know Islamic stocks performance of Indonesia, Malaysia, and United States and to find out whether there is a difference between the performance among them.

The Type of this research was descriptive quantitative. The techniques of using Sampling was purposive sampling and based on predetermined criteria obtained seven samples of research in each country. The methods used Sharpe, Treynor, Jensen, Differential Return, Appraisal and Ratio and different test repeat measure to measure Islamic stock performance difference between countries.

The results of this research showed that the Islamic stocks performance of United stated experienced a positive value by using all methods, whereas the islamic stocks performance of Indonesia and Malaysia were measured by the Sharpe, Treynor method, and Differential Return was negative, and measured by the methods of Jensen, and Appraisal Ratio was positive. Based on a test of different Repeat measure showed that there was a difference between the stock performance of Indonesia, Malaysia and the United States. Measured between Indonesia and United State there was a difference, if Indonesia with Malaysia there was no difference, whereas Malaysia and United Stated there was a difference in 2013 and 2014, but in 2015 there was no difference. so the expected of it was stock performance in Indonesia and Malaysia could follow such a Islamic stock performance of United State and it could develop very well and go forward.