Abstrak: The purposes for this research to describe performance stock of sharia and its influence on market response to the companies listed on the Jakarta Islamic Index (JII). In this research, researchers will describe the condition of the stock performance of sharia with approach the rate of return and risk. The population of research is Islamic stocks listed in the JII for the period December 2008-November 2010 and sampled in this study a total of 17 issuers of sharia using purposive sampling. The unit of analysis in the research is the performance of the stock by using the excess return and excess return to beta ratio, rate of return based on expected return and risk (beta). For to see the effect in response to market, units of analysis used is technical analysis with approach to stock trading volume and high and lows, as well as using non-parametric analysis to see how investors choise stocks sharia evenly. The result of study show total of 17 issuers provide the return on stocks is positive. Excess return, there are 16 competent stock to be invested and based on counting of excess return to beta, 16 sharia stocks is good to invested and has good performance. Islamic stock performance in Jakarta Islamic Index has an influence on the market response is significantly.
Keywords:Stock Performance on JII, Returns and Risk, Market Response.
Penulis: Ratna Utami, Maha Putra Kusuma Nugraha
Kode Jurnal: jpakuntansidd110002
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