Stock Selectivity Skill, Market Timing Ability, Risiko, Size, and Comparison of Performance Islamic Share Mutual Funds

  • Elliv Hidayatul Lailiyah Universitas Airlangga
  • Rahmat Setiawan Universitas Airlangga

Abstract

The Muslim population in Indonesia is one of the highest at around 87%. The high population of the Muslim in Indonesia should be able to provide great potential in terms of Islamic finance as an investment activity, which will certainly contribute positively to the Indonesian economy. Investors will always be interested in investment with high returns and low risk. One of the alternatives is mutual funds, especially sharia equity mutual funds. The choice of the right mutual fund should pay attention to how the performance of the mutual fund. This study examines how the performance of sharia equity mutual funds using the Sharpe, Treynor, and Jensen methods are affected by stock selectivity skills, market timing ability, risk, and size during 2012-2017. The finding of this research is stock selectivity skills, market timing ability, risk, and size are a significantly positive influence on the performance of sharia equity mutual fund. The influence of stock selectivity skill, market timing ability, risk, and size are very strong if measured by the treynor method.

Downloads

Download data is not yet available.

References

Abdel-Kader,M., Qing, KY. “Risk-adjusted performance, selectivity, timing ability and performance of Hong Kong Mutual Funds”. Journal of Asia-Pacific Business. 8(2), .25-58, 2007.
Admati A. R., et al., “On Timing and Selectivity”. The Journal of Finance, vol. 41,715-730, 1986.
Badan Pusat Statistik. Penduduk Menurut Wilayah dan Agama yang Dianut. (Online), (http://sp2010.bps.go.id/index.php/site/tabel?tid=321) , accessed on 17 November 2018.
Bursa Efek Indonesia. Pengantar Pasar Modal. (Online),(http://www.idx.co.id/investor/pengantar-pasar-modal/), accessed on 17 November 2018.
Cesari, R., Panetta F. “The Performance of Italian Mutual Funds”. Journal of Banking and Finance, 26: 99-126, 2002.
Chang, K.P. “Evaluating Mutual Fund Performance: An Application of Minimum Convex Input Requirement Set Approach.” Computer and Operation Research. Vol 31, 525-533, 2004.
Chen, J., Hong, H., Huang, M. and Kubik, J.D. “Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization”. American Economic Review,Vol 94, 5, 1276-1302, 2004.
Gallagher, D., Martin, K. “Investment Manager Characteristics, Strategy, Top Management Changes and Fund Performance”. Journal of Accounting and Finance. Vol 43, 283-309, 2005.
Fatwa Dewan Syariah Nasional Majelis Ulama Indonesia Nomor 20/DSN-MUI/IV/2001 tentang Pedoman Pelaksanaan Investasi untuk Reksadana Syariah.(Online),(www.dsnmui.or.id).accessed on 06 Januari 2019.
Ferreira, M., Matos, P. “The Colours of Investor Money: The Role of Institutional Investor Around The World”. Working Paper. 2006.
Hadi, N. Pasar Modal Acuan Teoretis dan Praktis Investasi di Instrumen Keuangan Pasar Modal. Yogyakarta: Graha Ilmu. 2013.
Halim, A. 2005. Analisis Investasi. Jakarta: Salemba Empat.
Hayat, R. 2006. An Empirical Assessment of Islamic Equity Fund Returns. Free University, Amsterdam.
Henriksson, Roy D. Merton, Robert C. 1981. On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. The Journal of Busines.
Ippolito, R. A. “Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984”. The Quarterly Journal of Economics, vol. 104,1-23, 1989.
J. Treynor., K. Mazuy. 1966. Can Mutua Funds Outguess the Market?. Harvard business review.
Lailiyah, EH., Suhadak., Sulasmiyati, S. 2016. Analisis Perbandingan Kinerja Reksadana Syariah dan Reksadana Konvensional. Jurnal Administrasi Bisnis , 5 (2) : 114-121.
Lehmann B. N. , Modest D. M., “Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons”. The Journal of Finance, vol. 42, 233-265, 1987.
Lee C.-F. , Rahman S., “Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation”. The Journal of Business, vol. 63,261, 1990.
Mansor, Fadillah, Bhatti,M.Ishaq. “The Islamic Mutual Fund Performance: New Evidence on Market Timing and Stock selectivity”. International Conference on Economics and Finance Research IPEDR, Vol.4, 2011.
Otoritas Jasa Keuangan. Statistik Reksadana Syariah. (Online), (https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/reksa-dana-syariah/default.aspx), accessed on 17 November 2018.
Otoritas Jasa Keuangan. POJK Nomor 19/POJK.04/2015. (Online), (https://www.ojk.go.id/id/kanal/syariah/regulasi/peraturan-ojk-terkait-syariah/Pages/POJK-19POJK042015.aspx). accessed on 06 Januari 2019.
Pratomo, E. P., Nugraha, U. 2009. Reksa Dana Solusi Perencanaan Investasi di Era Modern. Jakarta: PT.Elex Media Komputindo.
Samsul, Mohamad. 2006. Pasar Modal & Manajemen Portofolio. Surabaya: Erlangga.
See,Yong Pui, Jusoh,Ruzita. “Fund Characteristics and Fund Performance: Evidence of Malaysian Mutual Funds”. International Journal of Economics and Management Sciences,1 (9):31-43. 2012.
Undang-Undang Republik Indonesia Nomor 8 Tahun 1995 tentang Pasar Modal.(Onlinehttps://www.ojk.go.id/id/kanal/pasar-modal/regulasi/undang-undang/Documents/Pages/undang-undang-nomor-8-tahun-1995-tentang-pasar-modal/UU%20Nomor%208%20Tahun%201995%20(official).pdf), accessed on 17 November 2018.
Published
2020-10-01
How to Cite
LAILIYAH, Elliv Hidayatul; SETIAWAN, Rahmat. Stock Selectivity Skill, Market Timing Ability, Risiko, Size, and Comparison of Performance Islamic Share Mutual Funds. IQTISHODUNA: Jurnal Ekonomi Islam, [S.l.], v. 9, n. 2, p. 137-150, oct. 2020. ISSN 2443-0056. Available at: <https://ejournal.iaisyarifuddin.ac.id/index.php/iqtishoduna/article/view/489>. Date accessed: 29 oct. 2020. doi: https://doi.org/10.36835/iqtishoduna.v9i2.489.
Section
Artikel