Islamic Index Research Articles

Pengaruh profitabilitas, ukuran Perusahaan dan leverage terhadap nilai perusahaan PT. Kalbe Farma Tbk.

This study examines the effect of profitability, firm size, and leverage on firm value. Profitability is proxied by return on equity, company size, and leverage is proxied by the debt-to-equity ratio. This study used a type of quantitative research. The technique used in sampling this research used a purposive sampling method; namely, the selection of samples was carried out according to predetermined criteria. There were 28 samples in the study whose data were taken from pharmaceutical companies, namely PT. Kalbe Farma Tbk is listed on the Jakarta Islamic Index (JII) for the 2015–2021 period. The data analysis method used is multiple linear regression analysis. Based on the study's results, profitability appears to have no positive effect on firm value. Firm size has a positive effect on firm value. Leverage has no positive effect on firm value.

The optimal portfolio of islamic stocks using the markowitz and black-litterman models

The portfolio with the best combination of profit and risk or the investor's choice is called the optimal portfolio. The Black-Litterman and Markowitz models were used to determine the optimal portfolio during the covid-19 pandemic. Sharia stock data, that is consistent with the Jakarta Islamic Index for the 2019-2021 period, is used in this research. The stock combination of the Markowitz model is better than the Black-Litterman model. The expected value of the portfolio obtained is 0.0066, which is greater than the risk-free asset return of 0.0011 on the day of broadcast. The portfolio risk of the Markowitz model is smaller than the Black-Litterman model, which are 0.0010972 and 0.0013917, respectively. so it can be said that the Markowitz model is better than the Black-Litterman model in the formation of a Sharia stock portfolio during the covid-19 pandemic.

SHARIAH-COMPLIANT STOCKS: HARMONIZING INDEX INSTITUTION SCREENING METHODOLOGIES

The purpose of this study is to uncover an acceptable screening method used by index institutions to reduce the gaps inthe Shariah-compliant status of stock.The initial concepts are based on academic literature and followed by interview sessions of nine key experts recognized in the field of Shariah-compliant stocks as respondents.The results of this study have yielded some notable findings. Fund managers who are aware that the investors who appoint them are very much in favor of Shariah-compliant securities will certainly use methods that suit their investors' appetite. Shariah advisers have also concurred that the differences between the global index institution's screening methods are not significant and the differences found are not related to Shariah requirements.Studies on the methodology of such Shariah-compliant stock screenings are important and have a great impact on ensuring the continued viability of Islamic financial developments so that they are not frustrated by the issue of non-uniformity of Shariah-compliant stock screening methods. In Malaysia, the stock screening method is performed by the Shariah Advisory Council of the Securities Commission of Malaysia (SACSC), while in the global market, there are several index institutions such as the Dow Jones Islamic Indexes (DJII), FTSE Shariah Global Equity Index Series (FTSE) and MSCI Islamic Index Series (MSCI), which also have their own Shariah-compliant stock screening method.

A Market Timing Strategy for the GCC Conventional and Shariah Stock Indices

This paper defines and assesses a market timing strategy for the Gulf Cooperation Council (GCC) stock indices, namely the Tadawul All Share Index, FTSE Abu Dhabi General Index, Qatar All Share Index and Qatar Al Rayan Islamic Index. The strategy intends to deliver a consistent reduction in volatility and better risk-adjusted performance. The present empirical study capitalises on the work by Colepand and Copeland (1999) on the US market, re-proposed recently by Bantwa (2020) on the Indian market, which resorts to implied volatility as the trigger to adjust the asset allocation. The strategy hereby proposed is modified considering the higher volatility of the GCC financial markets as well as its preeminent goal – risk-adjusted performance optimisation. Moreover, the implied volatility is unavailable for the GCC stock indices under assessment; therefore, it has been replaced with the forecasted volatility obtained through asymmetric GARCH models (GJR-GARCH), one for each stock index. The active strategy in question is backtested on both the conventional and Islamic stock indices to check whether it overperforms the passive strategy equally well on both types of indices. The empirical findings encourage the adoption of volatility-based market timing models in additional emerging markets and Islamic indices.

THE EFFECTIVENESS OF WOMEN ON BOARDS IN AFFECTING ISLAMIC SOCIAL REPORTING DISCLOSURE

This study investigates the potential impact of gender diversity on the Islamic social reporting disclosure of Indonesian sharia-approved firms. These firms operate in accordance with Islamic principles and have been approved by regulators. The study uses quantitative analysis and regression models to analyze data from a sample of firms listed in the Jakarta Islamic Index between 2016-2018. The findings suggest that having women on the board of directors and commissioners has a detrimental effect on ISR disclosure, possibly due to the lack of adequate representation of women on boards. This study contributes to the ongoing discourse about the relationship between gender diversity in corporate leadership and social responsibility in Islamic businesses.

THE CONTRIBUTION OF ISLAMIC CAPITAL MARKET AND ISLAMIC INSURANCE TO INCLUSIVE ECONOMIC DEVELOPMENT IN INDONESIA

The study aims to identify the contribution of some Islamic financial instruments from Islamic capital markets and Islamic non-bank financial institutions to inclusive economic development in Indonesia. While some studies have examined the contribution of some Islamic financial instruments to a single measure of economic indicators, this study tries to fill the gap in the context of multi indicators to explain economic development, so the authors propose an inclusive economic development index that consists of 21 indicators. This study employed a quantitative research method using secondary data from 2011-2020 from several sources (Financial Service Authority, the Ministry of Finance Republic Indonesia, and the Ministry of National Development Planning (BAPPENAS)). The main variables used are the Jakarta Islamic Index (JII) market capitalization, total outstanding Sukuk, Islamic insurance total claim, and inclusive economic development index. The research data is analyzed using multiple regression linear models. The result found that only the total outstanding Sukuk significantly impacted inclusive economic development. In contrast, the others variables are insignificant.

Analisis Perbandingan Harga Saham dan Volume Transaksi Pada Perusahaan Telekomunikasi di Jakarta Islamic Index

Stock prices in the capital market are a reflection of all available information. Various events that occur in the capital market environment, both economic and non-economic, contain information that is used as a basis for decision making for investors so that they become one of the factors that determine the ups and downs of stock prices and transaction volume. This study aims to determine the value of a significant comparison between stock prices and transaction volumes before and after the national announcement of Covid-19 on telecommunication companies listed in JII (Jakarta Islamic Index). This research method uses quantitative methods in the form of comparative descriptive studies, the population of this study consists of 4 telecommunications companies listed in JII (Jakarta Islamic Index) using purposive sampling technique taken as many as 3 companies as samples. The data sample used is the closing of stock prices and transaction volume at 12 months (before covid-19) and at 12 months (after the announcement of covid-19) in the stock summary www.idx.co.id. The data of this study was processed using the Wilcoxon signed rank test, using SPSS 22. The results of this study prove that there is a significant comparison value between stock prices and transaction volumes before and after the national announcement of Covid-19 on telecommunication companies listed on the Jakarta Islamic Index ( JII).

Green economy: Islamic social reporting for companies

Purpose - The purpose of this study is to examine the impact of Islamic social reporting on firm value.Method - This research uses quantitative methods. The sample in this study is 13 sharia companies registered in the Jakarta Islamic Index for 2016-2020. Data analysis using multiple linear regression. Islamic social reporting as an independent variable, while the firm value is measured using Tobin's Q as the dependent variable, and firm size as a control variable.Result - The empirical results in this study found that Islamic social reporting has a positive and significant effect on firm value.Implication - Sharia companies listed in the Jakarta Islamic Index are expected to focus on Islamic principles in carrying out activities including in social aspects to increase company value as part of the company's strategy.Originality - This study combines the ISR disclosure index from several previous researchers to measure ISR disclosure in Islamic companies.

Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy

Objective –The revival of the Islamic economy in Indonesia was marked by the establishment of the Jakarta Islamic Index (JII) on July 3, 2000. From 2000 to 2020, two economic crises hit Indonesia in 2008 and 2020. These crises also had an impact on the high price fluctuations of JII. Assets can be protected from significant losses by hedging. One of the hedging strategies was option contracts with a collar strategy. Methodology – The data analysed in this research were the JII closing price data from 2000 to 2020 using the Black Scholes model and the GARCH model with the Collar strategy. Findings – Option with the Collar strategy provided more benefits in crises than without Option. In crisis conditions, the Option with the GARCH method and the collar strategy provided a higher average profit of 3.07% on the one-month Option and 7.01% on the three-month Option than without using the Option with the collar strategy. In non-crisis conditions, the Option using the GARCH method, and the collar strategy provided a 0.16% higher average profit at one-month maturity than without the Option. Meanwhile, the average profit decreased by 1.45% at the three-month maturity. The collar strategy resulted in less volatility. Without a collar strategy, JII volatility was 103%. The collar strategy produced maximum volatility of 12.71%, 15.18%, and 17.14%. The findings also revealed that the GARCH model was better than the Black Scholes based on the AMSE value obtained in crisis conditions with a maturity of one month and three months and in non-crisis conditions with a maturity of one month. Meanwhile, the Black Scholes model showed better results in non-crisis conditions with a maturity of three months. Novelty – Based on the research result, the Option with a collar strategy is effective for hedging in crisis conditions. This research assesses the collar strategy with several different maturity values to get the most effective value. Type of Paper: Empirical JEL Classification: G11, G13. Keywords: Black Scholes; Collar Strategy; GARCH; Jakarta Islamic Index; Option Contracts. Reference to this paper should be made as follows: Hendrawan, R; Arifin, Z. (2023). Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy, J. Fin. Bank. Review, 7(4), 16 – 27. https://doi.org/10.35609/jfbr.2023.7.4(2)

The irrelevance of R&D intensity in the ESG disclosure? Insights from top 10 listed companies on global Islamic indices

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Financing Biofuel Through Green Sukuk Corporate: Stage, Potential, and Maturity

Climate mitigation and adaptation policy financing have emerged as a critical topics in climate discussions. Effective financing schemes are often debated as potential mitigation measures, with the proceeds going toward adaptation activities. This research aims to investigate the viability of green sukuk corporate as a source of financing for biofuel development initiatives in Indonesia. A forecasting process, indexation, and early warning system (EWS) method are used to test the model to assess possible risks at a specific maturity level. In this study, factor variables include GDP, Inflation, the Jakarta Islamic Index (JII), sukuk corporate outstanding, and accumulated sukuk corporate issued. The main findings of this study suggest that to generate sustainable biofuel finance, three-stage models/concepts must be built; the commitment to business as usual, the greenhouse gas mitigation stage, and the debt repayment stage. In terms of potential, the trend of green corporate sukuk is toward greater participation by sovereigns and non financial corporations. In terms of maturity, corporate green sukuk requires a longer repayment period than conventional bonds, with a time tenor of 3–5 years being suitable. Finally, we show that the issuance of green corporate sukuk is supported by macroeconomic stability. The bond scheme can be repaid and carried out to provide sustainable benefits for renewable energy.

COVID-19 dan Pasar Modal Syariah: Pendekatan Regresi Korelasi Kanonikal

Economic activity in 2019–2020 were heavily impacted by the COVID-19 pandemic sickness. The effect of COVID-19 on investments made on Islamic financial markets, however, has not been studied in research. The primary focus of this study will be on the connection between the Covid-19 movement and the Islamic financial market industry. In the quantitative method, canonical correlation analysis was used. Samples were collected from March 3 through August. The movement of the Jakarta Islamic Index and the Covid-19 Movement variable are used to examine Sharia Mutual Funds and Sukuk. The results show that neither of the two dependent variables—the Jakarta Islamic Index nor Sukuk—is significantly impacted by the movement of Covid-19. But, there is one factor on which Islamic mutual funds have a positive and significant influence.

ANALISA GOOD CORPORATE GOVERNANCE TERHADAP KINERJA PERUSAHAAN PADA EMITEN JAKARTA ISLAMIC INDEX 70

This study aims to analyze the effect of Good Corporate Governance on the performance of companies listed on the Jakarta Islamic Index 70 (JII 70). Good Corporate Governance is measured using the board of commissioners, board of directors and audit committee, while company performance is measured using Return On Equity (ROE). The population of this study amounted to 70 companies. There are 22 companies that meet the criteria as research samples with the 2018-2020 period so that the data is 66. The data analysis method in this study is multiple linear regression analysis. The results of this study indicate that the board of commissioners has a significant positive effect on the company's performance, the board of directors has a significant negative effect on the company's performance and the audit committee has no effect on the company's performance. Keywords: Board of Commissioners, Board of Directors, Audit Committee, Return On Equity

Pengaruh Profitabilitas Dan Likuiditas Terhadap Nilai Perusahaan Yang Terdaftar Di Jakarta Islamic Index (Jii) Periode 2017 – 2021

This study aims to determine the effect of profitability and liquidity on firm value in companies listed on the Jakarta Islamic Index (JII) for the 2017-2021 period. This study uses a quantitative approach and the method used is panel data regression analysis. The sample used in this study was a saturated sample, as many as 9 companies were selected according to the criteria. The results of this study indicate that the Return on Assets variable has no effect on firm value, Return on Equity has no effect on firm value and Current Ratio has no effect on firm value. Meanwhile, simultaneously, the ROA, ROE and CR variables affect the Firm Value (PBV) of companies listed on the Jakarta Islamic Index (JII) for the 2017-2021 period with a coefficient of determination of 71,9%.

Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab

Sharia-based investment is an investment by the community to obtain profits in accordance with Islamic principles and law. This study aims to calculate the optimal portfolio return value using the Single Index Model, calculate risk with VaR (Value at Risk), and then implement it with Matlab’s GUI (Graphical User Interface). The data used is closing stock price data on the JII (Jakarta Islamic Index) using 30 stocks for two consecutive years. Furthermore, these stocks are selected which have a positive average return value. The study results show that 14 stocks are candidates for optimal portfolios with positive return values, namely: ACES, ADRO, ANTM, BRPT, BTPS, CTRA, EXCL, INCO, MDKA, MNCN, SCMA, TPIA, UNTR, and WIKA. Then the optimal portfolio of the 14 stocks is determined using the Single Index Model considering the ERB (Excess Return to Beta) value ≥ cut-off point value (C*). Based on the value, 4 shares were obtained that belong to the optimal portfolio, namely: MDKA, BRPT, BTPS, and ANTM. Furthermore, VaR calculations are performed on the 4 optimal portfolios to obtain optimum VaR consistency values with 500 repetitions. The VaR calculation results with a 95% confidence level show that the average VaR result is in the range of -0.14704 to -0.3420 so that when investors invest in 4 optimal stocks, the losses experienced by investors are no more than 34%.

ISLAMIC CORPORATE SOCIAL RESPONBILITY PENGARUHNYA PADA PROFITABILITAS KEUANGAN DI JAKARTA ISLAMIC INDEX/JII

The study aims to analyze whether there is an influence between Islamic Corporate social responsibility (X) on the financial profitability (Y) of companies in the Jakarta Islamic Index. This research uses quantitative methods. The data used is secondary data in the form of an annual report. The data analysis technique used the data normality test and then used the regression model. The research population is a company registered on the Jakarta Islamic Index totaling 30. The sample is manufacturing at JII, totaling 10 for 3 years, from 2016-2018. The results of the study show that there is an influence between Islamic Corporate Social Responsibility (X) on the financial profitability (Y) of companies in JII. This shows that disclosure and reporting of corporate social responsibility activities carried out by companies in accordance with Islamic law can increase company profitability

EFFECT OF LONG-TERM DEBT, SHORT-TERM DEBT AND TAX EXPENSES ON THE PROFITABILITY OF COMPANIES IN THE JAKARTA ISLAMIC INDEX (JII)

This study aims to determine how the effect of long-term debt, short-term debt and tax burden on profitability in the Jakarta Islamic Index (JII). This research use quantitative methods. The data analysis method is using Multiple Linear Regression. The sample used in this study is financial statements of companies registered with JII for the period 2016 to 2020. This study resulted in long-term debt having negative and significant effect on profitability, short-term debt having a significant and positive effect on profitability and tax expense had no effect on profitability.

Pengaruh Faktor Fundamental terhadap Return Saham Perusahaan Kategori Jakarta Islamic Index di Bursa Efek Indonesia

This study aims to investigate the impact of the fundamental elements of the company as seen through financial ratios, including the Current Ratio (CR), Return on Equity (ROE), Debt to Equity Ratio (DER), Earnings Per Share (EPS), Price Earning Ratio (PER), and macroeconomic variables Inflation and BI Rate on stock returns of companies in the Jakarta Islamic Index category on the Indonesia Stock Exchange in the period 2015-2020. Panel data regression analysis is the data analysis method employed, while E-Views 9 is the data analysis tool. According to the study's findings, the Jakarta Islamic Index's stock returns are significantly and negatively impacted by the BI Rate. Meanwhile the Jakarta Islamic Index's stock returns are not significantly impacted by CR, DER, ROE, EPS PER, or inflation.

Pengaruh Beban Pajak, Bonus Plan, dan Tunneling Incentive Terhadap Keputusan Transfer Pricing

Transfer pricing is indicated as a strategic step in conducting transactions regarding competitive pricing by related companies. With transfer pricing, the company can assess the performance of the members or divisions of the company. The transfer pricing problem arises because of the manipulation by the company. This study aims to determine the influence of the tax load, bonus plan, and tunneling incentive partially and simultaneously on the transfer pricing decision. The research used a quantitative method with the expost facto design. The population in this study was companies that were members of the Jakarta Islamic Index (JII) in 2018-2020. The research sample was selected using purposive sampling of 11 companies from 30 companies. This study used secondary data obtained from the Indonesia Stock Exchange. The data analysis technique used was multiple linear regression analysis with SPSS 26 program. The results showed that the f test of the tax load, bonus plan, and tunneling incentive simultaneously had a significant effect on the transfer pricing decision. Meanwhile, the results of the t-test showed that the tax load did not affect the transfer pricing decision. The bonus plan had a significant negative effect on the transfer pricing decision. The tunneling incentive had a significant positive effect on the transfer pricing decision.

Analysis of Financial Performance on Sharia Stocks Listed In the Jakarta Islamic Index (JII) During the Covid-19 Pandemic (As of September 30, 2021)

Analysis of Financial Performance on Sharia Stocks Listed In the Jakarta Islamic Index (JII) During the Covid-19 Pandemic (As of September 30, 2021)