Growth and Value Effect on Jakarta Islamic Index: Analysis towards Performance of Sharia Equity Mutual Fund

Sylva Alif Rusmita; Marhanum Che Mohd Salleh

Growth and Value Effect on Jakarta Islamic Index: Analysis towards Performance of Sharia Equity Mutual Fund

Sylva Alif Rusmita, Marhanum Che Mohd Salleh

Abstract

This study provides evidence that value and stocks’ growth able to explain Net Asset Value of Shariah Mutual Fund. It is important for investment managers and investors to estimate future profit or loss that may happen on their mutual funds prior they venture into the investment platform. This study therefore is conducted to prove that factors including value and growth may affect the future profit of Shariah Mutual Funds. Based on quantitative analysis with secondary data from companies indexed in the Jakarta Islamic Index and Sharia Mutual Fund from year 2013 to 2017, it is found that both growth and value of stock have equally affected the profit of Sharia Mutual Funds. In addition, growth of stock has a larger R-Square than its value which means that the investors or fund managers would need to observe the stock growth more often than its value in order to predict future profitability of Shariah funds. It is expected that the results of this study can provide additional insight to investment managers when choosing a portfolio for investors. For investors, this information is useful to predict the risk and return that they will receive from the investment.

Keywords

Islamic Finance

References

Athanassakos, G. (2009). Value versus growth stock returns and the value premium: The Canadian experience 1985-2005(Article). Canadian Journal of Administrative Sciences.Volume 26, Issue 2, June 2009, Pages 109-121

Chan, L.K.C., Lakonishok, J.(2004). Value and growth investing: Review and update(Review). Financial Analysts JournalVolume 60, Issue 1, 2004, Pages 71-86

Eugene F.Fama., Kenneth R.French. (2015). A five-factor asset pricing model. Journal of Financial EconomicsVolume 116, Issue 1. Pages 1-22

Faturrahman, M., Haeruddin. (2011). Pemodelan Regresi Linier untuk Data Deret Waktu. Jurnal Eksponensial. Volume 2, Nomor 2.

Gowri, M., Deo, M. (2016). Performance evaluation of equity oriented growth and dividend funds of mutual funds in India: An application of risk - adjusted theoretical parameters. Indian Journal of Finance, 10 (8), pp. 43-54.

Jaballah, J., Peillex, J., Weill, L.(2018). Is Being Sharia compliant worth it? Economic Modelling, 72,pp. 353-362.DOI: 10.1016/j.econmod.2018.02.011. Document Type: Article. Source: Scopus

Leite, A.L. Klotzle, M.C. Pinto, A.C.F. da Silva, A.F. (2018). Size, value, profitability, and investment: Evidence from emerging markets. Emerging Markets Review. ( Article in press )

Matos, P., Padilha, G., Benegas, M. (2016). On the management efficiency of Brazilian stock mutual funds. Operational Research, 16 (3), pp. 365-399.

Sapian, Ros ZamZam. (2015). The Relationship between Trades of Foreign Institutional and Retail Investors and Equity Return (HubunganantaraDaganganPelaburInstitusi dan RuncitAsing dan PulanganEkuiti). Volume 44, Pages 93-104.

Shaharuddin, S.S., Lau, W.-Y., Ahmad, R.(2017). Constructing Fama–French Factors from Style Indices: Evidence from the Islamic Equity Market. Emerging Markets Finance and Trade, 53 (7), pp. 1563-1572.DOI: 10.1080/1540496X.2016.1278529. Document Type: Article. Source: Scopus

Sutrisno, B., Ekaputra, Irwan Adi. (2016). Uji Empiris Model Asset Pricing Lima FaktorFama-French Di Indonesia. JurnalKeuangan dan Perbankan, Vol.20, No.3 September 2016, hlm. 343–357

Tripathi, V., Aggarwal, P. (2018). Value effect in Indian stock market: An empirical analysis (Review). International Journal of Public Sector Performance Management. Volume 4, Issue 2, 2018, Pages 146-168

Utomo,S,K., Tjandra,K,A. (2015). Value Effect in Indonesian Stock Returns: The Implications for the Equity Mutual Fund Industri. Indonesian Capital Market Review. Volume 7, Nomor 1.

A book

Fahmi, I. (2013). AnalisisLaporanKeuangan. Bandung: Alfabeta.

Hadi, N. (2013). Pasar Modal :AcuanTeoretis Dan PraktisInvestasi Di Instrument Keuangan Pasar Modal. Yogyakarta: GrahaIlmu.

Halim, A., Hanafi,M, M. (2009). AnalisisLaporanKeuangan. Edisi 4. Yogyakarta: UPP STIM YKPN.

Harahap, SofyanSyafri. (2009). AnalisisKritisAtasLaporanKeuangan. Jakarta: Raja GrafindoPersada.

Kasmir. (2013). AnalisisLaporanKeuangan. Jakarta: PT Raja GrafindoPersada.

Latan, H.(2014). Aplikasi Analisis Data Statistik Untuk Ilmu Sosial Sains Dengan Stata. Bandung: Alfabeta.

Full Text: PDF

DOI: 10.15408/aiq.v11i1.9670

Refbacks

There are currently no refbacks.