The Unusual Phenomena In The Relation Between Risk And Return In The Sharia Stocks Market In Indonesia
Muhammad Anhar(a*), Faris Faruqi(b)
a,b) Department of Management, Sekolah Tinggi Ilmu Ekonomi Indonesia Jakarta
Jln. Kayu Jati Raya No.11 A, Rawamangun, Jakarta Timur
muhammad_anhar[at]stei.ac.id
Abstract
Abstract – this study aims to prove the existence of an unusual phenomenon in the short-term investment market of Sharia stocks in Indonesia in 2018. The usual phenomenon that is in accordance with the axiom "Risk and Return Trade-off" is "high risk - high return, low risk - low return", both for total risk, systematic risk, and specific risk. Does this phenomenon exist?. An understanding of the returns and risks rankings of stock investments will be useful in the stocks analysis, especially in the analysis phase when potential investors will determine the stocks that will be the object of investment. Data on investment returns and risk of Sharia stocks are taken and processed from the IDX data. Descriptive analysis is carried out to explain the ranking of profitability, returns and risk of existing investments. Inferential analysis (Rank Difference Test) is carried out to test hypotheses about the difference between return and risk ranking. Research shows the results that rank of return and risks ratings are differ. This shows that the phenomenon of "High risk - high return, low risk - low return" does not exist in the short-term investment market of sharia stocks in Indonesia in 2018, or that the unusual phenomenon occurs.
Keywords: Index; Return, Risk, Ranking, Sharia Stock.
Topic: Corporate Finance