ALI, Mahrus and Gernowo, Rahmat and Warsito, Budi (2025) PENGEMBANGAN MODEL INDEKS PENGUKURAN KINERJA BERBASIS MAQASID SYARIAH DALAM SISTEM ENTERPRISE DENGAN SWARA DAN MARKOV SWITCHING AUTOREGRESIVE BAGI BANK ISLAM. Doctoral thesis, UNIVERSITAS DIPONEGORO.

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Abstract

Stabilitas dan kinerja bank syariah merupakan elemen strategis dalam mewujudkan sistem keuangan Islam yang berkelanjutan dan sesuai prinsip syariah. Instrumen pengukuran kinerja yang umum digunakan seperti CAMELS dan SPI dinilai belum mampu menangkap dimensi kepatuhan syariah secara utuh. Penelitian ini bertujuan untuk mengembangkan model pengukuran kinerja bank syariah berbasis maqaṣid al-syari‘ah dengan mengintegrasikan pendekatan Shariah Maqasid Index (SMI), metode pembobotan SWARA, dan model prediktif Markov Switching Autoregressive (MSAR).
Penelitian ini menggunakan data sekunder dari laporan keuangan Bank Syariah Indonesia periode Januari 2013 hingga Februari 2022. Tahapan penelitian meliputi normalisasi dan agregasi nilai indikator berdasarkan tiga dimensi maqasid (keadilan, pendidikan, dan kesejahteraan), pembobotan indicator menggunakan SWARA berbasis pakar, dan pemodelan prediktif dengan MSAR dua-rezim. Validasi model dilakukan menggunakan statistik model (loglikelihood, AIC, BIC, HQIC) serta data sintetis yang banun melalui simulasi dua rezim.
Hasil penelitian menunjukkan bahwa model MSAR dengan pembobotan SWARA memberikan keunggulan baik dari segi efisiensi proses komputasi, kedalaman substansi, maupun ketepatan kebijakan berbasis prediksi maqashid syariah. Pembobotan SWARA menunjukkan tingkat akurasi prediksi yang tinggi dan validasi prediksi terhadap data sintetis, diperoleh nilai MAPE sebesar 15.2%, yang setara dengan akurasi prediksi sebesar 84.8%. Di sisi lain, stabilitas prediksi status rezim yang dicerminkan oleh probabilitas transisi P[0→0] dan P[1→1] memberikan akurasi rezim sebesar 98.88%. Dekomposisi skor menunjukkan bahwa dimensi keadilan memiliki kontribusi tertinggi terhadap pencapaian maqaṣid. Pendekatan integratif SMI–SWARA–MSAR mampu memetakan dinamika kepatuhan syariah secara prediktif dan komprehensif. Model ini dapat menjadi fondasi sistem pengukuran kinerja syariah yang lebih adaptif, berbasis data, da sesuai dengan nilai-nilai maqaṣid syariah.
Kata kunci: Markov Switching Autoregressive, SWARA, Sistem Enterprise, Maqasid Syariah, bank islam

The stability and performance of Islamic banks are strategic elements in establishing a sustainable Islamic financial system that adheres to Shariah principles. Commonly used performance measurement instruments, such as CAMELS and Statistical Performance Indicators (SPI), are considered insufficient to fully capture the dimension of Shariah compliance. This study aims to develop a performance measurement model for Islamic banks based on the values of maqāṣid al-sharī‘ah by integrating the Shariah Maqasid Index (SMI), the SWARA weighting method, and the Markov Switching Autoregressive (MSAR) predictive model.
The research utilizes secondary data from the financial reports of Bank Syariah Indonesia covering the period from January 2013 to February 2022. The methodology includes normalizing and aggregating indicator values based on three maqasid dimensions (justice, education, and economic welfare), weighting indicators using expert-based SWARA, and constructing a two-regime MSAR predictive model. Model validation is conducted using statistical measures (loglikelihood, AIC, BIC, HQIC) and synthetic data generated through regime simulation.
The research findings indicate that the MSAR model combined with SWARAbased weighting offers significant advantages in terms of computational efficiency, substant ive depth, and policy accuracy grounded in maqāṣid alsharīʿah-based predictions. The SWARA weighting demonstrates a high level of predictive accuracy, with validation against synthetic data yielding a MAPE value of 15.2%, corresponding to a prediction accuracy of 84.8%. Furthermore, the stability of regime prediction, as reflected in the transit ion probabilit ies P[0→0] and P[1→1], results in a regime classificat ion accuracy of 98.88%. The decomposition of scores reveals that the dimension of justice contributes the most to the attainment of maqāṣid. The integrative SMI–SWARA–MSAR approach effectively maps the dynamics of Shariah compliance in a predictive and comprehensive manner. This model offers a potential foundation for a more adaptive, data-driven Shariah performance measurement system aligned with the core values of maqāṣid sharī‘ah.
Keywords: Markov Switching Autoregressive, SWARA, Enterprise System, Syariah Maqasid Index,Islamic bank.

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