Pemodelan analisis risiko pada saham syariah: pendekatan dengan daily earning at risk (DEAR)

Tria Mei Diana, Madnasir Madnasir, Syamsul Hilal

Abstract


Risiko saham syariah penting dianalisis dalam upaya untuk mengidentifikasi dan memahami potensi kerugian yang mungkin terjadi. Tujuan penelitian ini untuk melihat pemodelan analisis risiko pada saham syariah dengan pendekatan Daily Earning At Risk (DEAR) apakah memiliki hubungan pengaruh yang kuat atau tidak terhadap minat investor dalam membeli atau menjual saham syariah. Jenis penelitian kuantitatif dengan sifat assosiatif. Data yang digunakan data sekunder dari laporan daftar harga saham syariah periode tahun 2020-2022 yang tercatat masuk dalam Jakarta Islamic Index (JII) dan di tebitkan oleh Bursa Efek Indonesia (BEI) dengan dimensi time series. Penelitian menggunakan teknik purposive sampling. Alat uji statistic yang digunakan berupa Eviews 9. Hasil penelitian memberikan fakta analisis  risiko harga dari saham syariah dari masing-masing Perusahaan Gas Negara Tbk (PGAS), Adaro Minerals Indonesia Tbk (ADRO), PT. AKR Corporindo Tbk. (AKRA), Vale Indonesia Tbk (INCO) dan PT Indo Tambangraya Megah Tbk. (ITMG) menggunakan Daily Earning at Risk (DEAR) berpengaruh positif dan signifikan terhadap minat investor dalam membeli atau menjual sahamnya di Jakarta Islamic Index (JII). Hal ini menujukan bahwa analisis investor terhadap potensi keuntungan yang lebih tinggi yang dapat diperoleh dari saham dengan risiko yang lebih tinggi, atau adanya strategi trading yang berbasis pada pengelolaan risiko dan volatilitas harga.


Keywords


Saham syariah; daily earning at risk

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DOI: https://doi.org/10.30872/jinv.v19i2.13245

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