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 Teddy Sumirat Bassar, Nury Effendi, A. Kemal Hidayat, Budiono
Bandung Padjadjaran University
Abstract
This study aims to analyze the influence of sharia stock trading activity factors and macroeconomic factors on the performance of sharia stocks in the capital market in Indonesia. The theoretical foundation used in this study is the Capital Asset Pricing Model (CAPM), which is a model that connects the expected returns to the risk at 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. Sharia stock performance measurement is 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 study a research model with a dependent variable is the performance of sharia stocks. While the independent variable is a factor of sharia stock trading activities which consists of sharia stock market capitalization, sharia stock trading volume, frequency of sharia stock trading, and sharia stock trading day; and macroeconomic factors, namely the SBI interest rate, inflation rate, and exchange rate. The research method that will be used in this research is the quantitative research method with multiple regression models. The data used are panel data, i.e. ISSI sharia share data (Indonesian Sharia Stock Index) which represents the stock trading of sharia listed, active, and fulfills the requirements in the period January 2014 to December 2018. Based on the research hypothesis, it indicates that the sharia stock market capitalization, sharia stock trading volume, sharia stock trading frequency, and sharia stock trading day have a positive effect on the performance of sharia shares. While the SBI interest rate, inflation rate, and exchange rate negatively affect the performance of sharia stocks.
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