Indonesia Conference Directory

The aims of this study are to find out the difference between the performance of Islamic stock returns with conventional counterparts. We use 1203 observational data from Islamic and conventional indices obtained from IDX. Volatility is an interesting phenomenon to be reviewed because it describes the level of risk and uncertainty due to fluctuations in stock prices. This volatility includes daily opening and closing stock price, which is then converted into data daily returns. Based on empirical evidence was found that conventional stock has a better performance than the stock sharia. Positive and significant GARCH values indicate that the return volatility of the IHSG, ISSI, and JII is currently influenced by the volatility of the previous period. The results showed that the model fitting asymmetric GARCH (EGARCH) is the best model to forecast the stock volatility return both of them, Islamic and conventional.