Proceedings of 8th Asian Business Research Conference
1 - 2 April 2013, Bangkok, Thailand, ISBN: 978-1-922069-20-7
Syariah and Conventional Stocks Performance of Public
Companies Listed in Indonesia Stock Exchange
Periods 2009 – 2011
Chandra Setiawan and Hesty Oktariza
This paper examines the performance of Syariah stocks compared to
conventional stocks of selected public companies listed on the Indonesia
Stock Exchange (IDX) during the period of 2009 to 2011. The performance
is assessed by employing risk-adjusted return measurement consisting of
the Sharpe ratio, Treynor ratio, and Jensen’s Alpha. Moreover, this
research assesses the relationship between stock returns and financial
ratios that are represented by a Debt to Equity Ratio (DER), Earnings per
Share (EPS), Price Earning Ratio (PER), Net Profit Margin (NPM), Return
on Equity (ROE) and Price to Book Value (PBV) of both Syariah and
conventional stocks. Samples of this research are 30 Syariah companies
and 30 conventional companies from three sectors of industries; Consumer
Goods, Mining, and Trade & Services. Independent samples T-test and
Mann Whitney U-test are employed to test the mean differences between
the two samples. The result shows no evidence of significant statistical
differences in cumulative returns, standard deviation, and beta between
Syariah and conventional stocks. It also indicates that risk-adjusted returns
of both stocks portfolio are performed in a similar manner. Finally, using a
multiple regression analysis, the research found that DER, EPS, PER,
NPM, ROE and PBV are simultaneously proved to have a significant
relationship with both Syariah and conventional stocks returns.
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Dr. Chandra Setiawan, Department of Management, President University, Indonesia.
E-mail: chandra@president.ac.id