Author: Teddy Sumirat Bassar | Published on: 4 September, 2019 Page: 12-28
Abstract
This research aimed to analyze the influence of sharia stock trading activity and macroeconomic factors on the performance of Sharia stocks in the capital market in Indonesia. The theoretical foundation used in this research was the Capital Asset Pricing Model (CAPM), which was a model that connects the expected rate of return with the risk of balanced market conditions. In addition, the theory of Arbitrage Pricing Theory (APT) which has the view that the expected return for a security will be influenced by several risk factors. Shariastock performance measurement was carried out using the Sharpe Index evaluation measuring instrument. The Sharpe index measures portfolio performance by connecting between returns and total risks as indicators. In this research, the research model used as a dependent variable was the performance of Sharia stocks. While the independent variable was sharia stock trading activities factors which consist of sharia stock market capitalization, sharia stock trading volume, Sharia stock trading frequency, and sharia stock trading day; and macroeconomic factors, including the SBI interest rate (Bank Indonesia Valuable Certificates), inflation rate, and exchange rate. The research method that was used in this research was the quantitative research method with multiple regression models. The data used were panel data, i.e. ISSI sharia share data (Indonesian Sharia Stock Index) which represented the trading of sharia shares listed on the stock, active, and fulfilling the requirements in the period of January 2014 to December 2018. Based on the results of this research, it showed that the Sharia stock market capitalization, sharia stock trading volume, sharia stock trading frequency, and sharia stock trading day had no positive effect on the performance of sharia shares. While the interest rates of SBI and exchange rates negatively affected the performance of Sharia stocks. For the inflation rate did not negatively affect the performance of Sharia stocks. Taken together, the factors of sharia stock trading activities and macroeconomic influenced the performance of sharia shares
Keywords
Performance of Sharia Shares; Sharia Stock Trading Activity Factors; Macroeconomic Factors.
Cite this Article
Bassar, T., S. (2019), Analysis of the Effect of Sharia Stock Trading Activity Factors and Macroeconomic Factors on the Performance of Sharia Stocks in the Capital Market in Indonesia . International Journal of Tax Economics and Management, 2(11), 12-28.
Bassar, T., S. (2019) "Analysis of the Effect of Sharia Stock Trading Activity Factors and Macroeconomic Factors on the Performance of Sharia Stocks in the Capital Market in Indonesia ", International Journal of Tax Economics and Management, 2(11), pp.12-28.
Bassar, T., S.. Analysis of the Effect of Sharia Stock Trading Activity Factors and Macroeconomic Factors on the Performance of Sharia Stocks in the Capital Market in Indonesia . International Journal of Tax Economics and Management. 2019; 2(11): 12-28.
Appeared
Appeared
Bassar, T., S.. Analysis of the Effect of Sharia Stock Trading Activity Factors and Macroeconomic Factors on the Performance of Sharia Stocks in the Capital Market in Indonesia . International Journal of Tax Economics and Management. 2019; 2(11): 12-28.
Bassar, T., S.. Analysis of the Effect of Sharia Stock Trading Activity Factors and Macroeconomic Factors on the Performance of Sharia Stocks in the Capital Market in Indonesia . International Journal of Tax Economics and Management. 2019; 2(11): 12-28.
- Agrawal, Gaurav., Srivastav, Aniruddh Kumar., dan Srivastava, Ankita., (2010), A Study of Exchange Rates Movement and Stock Market Volatility. International Journal of Business and Management, Vol. 5, No. 12; December 2010
- Albaity, Mohamed dan Ahmad, Rubi., (2008), Performance of Syariah And Composite Indices: Evidence From Bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance, Vol.4, No.1, 23-43, 2008
- Al Samman, Hazem dan Al-Jafari, Mohamed Khaled., (2015), Trading Volume and Stock Returns Volatility: Evidence from Industrial Firms of Oman. Journal of Asian Social Science; Vol. 11, No. 24; 2015
- Bahloul, Slah., Mroua, Mourad., dan Naifar, Nader., (2016), The Impact of Macroeconomic and Conventional Stock Market Variables on Islamic Index Returns under Regime Switching. Journal of Borsa Istanbul Review xx (2016) 1-13
- Barnor, Charles., (2014), The Effect of Macroeconomic Variables on Stock Market Returns in Ghana (2000-2013). Walden Dissertations and Doctoral Studies, Walden University, 2014
- Chen,Ming-Hsien., Tai,Vivian W., dan Yang,Sheng-Yung., (2001), Day Trading, Volatility and the Price-Volume Relationship: Evidence from the Taiwan Futures Market. Journal of finance Department of Banking and Finance, Taiwan : National Chung Hsing University
- Chessar, Musebe., dan Bellarmine, Victor., (2015), Effect Of Firms' Market Capitalization On Stock Market Volatility Of Companies Listed at The Nairobi Securities Exchange. A Research Project submitted for the degree of MBA, University of Nairobi, 2015
- Elvira, Rini., (2016), Influence of Trading Activities on Company Sharia Stock Returns Listing in the Jakarta Islamic Index (JII) for the 2012-2014 Period. Madania Journal, Faculty of Economics and Business in Islamic Business IAIN Bengkulu, Vol. 20, No.1, 2016
- Indriastuti, Ariyani dan Nafiah, Zumrotun., (2017), Effect of Trading Volume, Exchange Rate and Market Risk on Stock Returns. Journal of STIE Semarang, Vol. 9, No.1, February 2017
- Kassim, Salina H. dan Kamil, Saqinah., (2012), Performance Of Islamic Unit Trusts During The 2007 Global Financial Crisis: Evidence From Malaysia. Asian Academy of Management Journal, Vol.17, No.2, 59-78, 2012
- Laksmiwati, Mia., (2017), The Effect BI Rate, Inflation, Exchanges IDR - USD, Trading Volume and Frequency Trading on The Volatility of Share Price on The Company Incorporated in Jakarta Islamic Index Period 2011 – 2015. International Journal of Pure and Applied Mathematics, Volume 116 No. 24, 2017, 441-448
- Mehmood, Khalid., Akhter, Waheed., dan Shahbaz, Muhammad., (2016), Performance of Islamic vs. Conventional Capital Markets during Global Financial Crisis: An Empirical Study. Article of Center of Islamic Finance, Department of Management Sciences, COMSATS Institute of Information Technology, Lahore, Pakistan, 2016
- Pasaribu, Rowland., Bismark, Fernando., dan Firdaus, Mikail., (2013), Analysis of the Effect of Macroeconomic Variables on the Indonesian Islamic Stock Index. Journal of Economics and Business, Vol. 7, No. 2, July 2013: 117-128
- Pranata, Nika., dan Nurzanah., (2016), Conventional and Islamic Indices in Indonesia: A Comparison on Performance, Volatility, and The Determinants. Jurnal Indonesian Capital Market Review, Vol.VII, No. 2, 2016
- Rana, Md Ejaz., dan Akhter, Waheed., (2015), Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy. Article of Center of Islamic Finance, Department of Management Sciences, COMSATS Institute of Information Technology, 2015
- Said, Rosnani., Ali, Muhammad., dan Laba, Abdul Rakhman., (2013), Performance of Shares on the Indonesia Stock Exchange (IDX). Journal of Management and Finance, University of Hasanuddin Makassar, 2013
- Silviyani, Ni Luh Nonik Tika., Sujana, Edy., dan Adiputra I Made Pradana., (2014), Effect of Stock Trading Liquidity and Market Capitalization on Returns of Company Shares that Are in the LQ45 Index on the Indonesia Stock Exchange for the Period of 2009-2013 (Empirical Study on LQ45 Companies on the Indonesia Stock Exchange). Accounting e-Journal of the University of Ganesha, Volume 2, No. 1, 2014
- Sulbahri, Rifani Akbar., Arifin, Firmansyah., dan Padriyansyah., (2018), Effect of Frequency of Stock Trading, Company Value and Financial Performance Level on Stock Returns (Empirical Study on Agribusiness Companies Listed on the Indonesia Stock Exchange). Competitive Journal of the University of Tridinanti Palembang, Vol.7, No. 1, Ed. January - June 2018
- Sulistyorini, Agustin., (2009), Analysis of Stock Portfolio Performance with Sharpe, Treynor and Jensen Method, Masters Thesis in Management at Diponogoro University, Semarang
- Ul Islam, Khalid dan Habib, Mohsina., (2017), Impact of Macroeconomic Variables On Islamic Stock Market Returns: Evidence From Nifty 50 Shariah Index. Journal of Commerce & Accounting Research, University of Delhi, Vol. 6, No. 1, January 1917
- Wahyuni, Eka Sri., (2015), Analysis of Factors Affecting Prices and Development of Sharia Stocks in Indonesia. Faculty of Sharia and Islamic Economics Articles, Bengkulu State Islamic Institute, 2015
- Wijaya, Tantra Setia Juli., (2015), Factors Affecting the IHSG Value Registered on the Indonesia Stock Exchange. Journal of Science and Management Research, Volume 4, Nomor 6, June 2015
- Yoga, Ika dan Muharrami, Rais Sani., (2016), Cointegration between Profitability, Solvability and Market Capitalization. EBBANK Journal, Faculty of Economics and Business in Islam, IAIN Surakarta, Vol.7, No.1, June 2016
[This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).]
Citation Format
AK., A. (2018), Sociologic Factors and Social Structure in Preparation of Tax Acts and The Assessment of Personal Income Tax in Terms Of Suitability to Social Structure. International Journal of Tax Economics and Management, 1(1), 22-36.