The Comparison Of Value At Risk On Sharia Based Stock And Non-Sharia Based Stock Using Ewma Model (Case Study on Jakarta Islamic Index and Index LQ 45 Indonesian Stock Exchange for the Period of 2013-2014)

Abstract

This study aimed to compare the risks in sharia based stock listed in the Jakarta Islamic Index and non-sharia based stock listed in LQ45 index in the Indonesia Stock Exchange using Value at Risk (VaR) method and Exponentially Weighted Moving Average (EWMA) model. The study consists of 10 companies listed in the JII and 10 companies listed in the LQ45 index in the period 2013-2014. The finding show that the risk in sharia based stock is higher than the risks in non-sharia based stock using Value at Risk method and EWMA model when the economic conditions are relatively stable in the period of the study. From this finding it can be concluded that the risk involved in sharia based stock is higher than the risk in non-sharia based stock when the economic condition is stable because the sharia based stocks are sturdier when the economic condition is decline.