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

doi:10.35935/tax/27.2812

Teddy Sumirat Bassar

Open Access

https://doi.org/10.35935/tax/27.2812

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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

Highlights

Capital markets have an important role in the economy of a country because it can facilitate the demand and supply of capital for the interests of industry and other entities in the country concerned
The data that becomes the object of research are Sharia stocks of companies in Indonesian Sharia Stock Index (ISSI), which are sharia stocks listed on the stock, active, and fulfilling the requirements of the Capital Market in Indonesia during the period of January 2014 to December 2018
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 4.1.6 Overview of SBI Interest Rates The rate of change in BI Rate issued by Bank Indonesia has decreased from 2014 to 2017 but in 2018 it has increased

Summary

Introduction

Capital markets have an important role in the economy of a country because it can facilitate the demand and supply of capital for the interests of industry and other entities in the country concerned. One form of investment offered through the capital market is sharia securities which carry out their activities in accordance with sharia principles. One of the things that investors pay attention to in choosing sharia securities investments in the capital market is the performance of sharia stocks. The theory that is often used in measuring investment performance is the Theory of Capital Asset Pricing Model (CAPM) is a model that connects the expected return rate of a risky asset with the asset risk in a balanced market condition. The Sharpe index measures portfolio performance with total risk as an indicator. This index bases its calculations by dividing the portfolio risk premium by its standard deviation. The higher the Sharpe measurement value the better the portfolio's performance

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