Studi Perbandingan Nilai Value at Risk Antara Saham Berbasis Syariah Dengan Saham Non Syariah Periode 2010-2012

This study aimed to empirically compare the risk between sharia and non-sharia based stock investment. The Sharia stocks are refereed to stocks that issued by companies listed in LQ-45, whereas the non-sharia stocks are defined as stocks that are issued by companies listed in Jakarta Indonesia Index (JII) between 2011 and 2012. In total, there were 25 companies listed in LQ-45 and 15 companies listed in JII which were involved in this study. This study used GARCH model to estimate the risk of every individual stock. The result showed that there was a difference in risk between sharia and non-sharia based stock. This study also documented that non-Sharia based stocks were more risky than Sharia-based stodcks. Finally, this study provides information on risk characteristic in Indonesia Capital Market