HERSUGONDO, Hersugondo (2022) Artikel Dr. HERSUGONDO, SE, MM: Price Index Modeling and Risk Prediction of Sharia Stocks in Indonesia. ECONOMICS, 10 (1).

Text (Artikel) (49) Price Index Modeling and Risk Prediction of Sharia Stocks in Indonesia.pdf Download (824kB)

Abstract

This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia
stocks and predict the loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk
(VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August
2020–13 August 2021 to predict the price and loss risk of JKII at 16 August 2021–23 August 2021. The
f
indings of this study were very accurate for predicting the JKII price with a MAPE value of 2.03%.
Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one-day trading period after 13 August 2021) at the 90%, 95%, and 99% confidence levels was 2.40%,
3.07%, and 4.27%, respectively. Most Indonesian Muslims have financial assets in the form of Islamic
investments as they offer higher returns within a relatively short time. The movement of all Islamic
stock prices traded on the Indonesian stock market can be seen through the Islamic stock price index,
namely the JKII (Jakarta Islamic Index). Therefore, the focus of this study was predicting the price
and loss risk of JKII as an index of Islamic stock prices in Indonesia. This study extends the previous
literature to determine the prediction of JKII price and the loss risk through GBM and VaR using a
Monte Carlo simulation approach.

Actions (login required)

View Item