Since 2014
Assessing the Efficiency of Jakarta Islamic Index-Linked Investing
Indonesian Capital Market Review
View Archive Info| Field | Value | |
| Title |
Assessing the Efficiency of Jakarta Islamic Index-Linked Investing
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| Creator |
Anwar Salahuddin; State Islamic University Syarif Hidayatullah
Anton Hermansyah; Bisnis Indonesia Intelligence Unit |
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| Subject |
Capital Market
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| Description |
The passive investing is getting easier with the fund that mimics indexes or market portfolio. The sharia market instruments is the answer to the need of Muslim investors. In the future, there are possibilities for more index-linked funds, exchange traded funds, and index-based derivatives in Indonesia including their sharia counterpart. We analyze the performance of Jakarta Islamic Index in three aspects, profitability, stability, and efficiency, compared with ordinary indexes, the BISNIS-27 Index and the LQ45 Index. The profitability is analyzed using Fama and French Three Factors model. The stability aspect is analyzed using Sharpe Return Based Style Analysis and Style Drift. The efficiency aspect is analyzed using the simulation of indexes with different assets allocation. The result is the JII needs to tighten the selection criteria for its constituents to be more efficient than the BISNIS-27 and LQ45 indexes and it is better to add fundamental criteria to the constituent selection.
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| Publisher |
Management Research Center, Department of Management, Faculty of Economics and Business, U
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| Contributor |
—
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| Date |
2014-08-25
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| Type |
Peer-reviewed Article
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| Format |
application/mbox
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| Identifier |
http://journal.ui.ac.id/index.php/icmr/article/view/3616
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| Source |
Indonesian Capital Market Review; Vol 4, No 2 (2012): July 2012
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| Language |
en
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