Analysis of the Effect of Sharia Stock Trading Activity Factors and Macroeconomic Factors on the Performance of Sharia Stocks in the Capital Market in Indonesia

Abstract

This research aimed to analyze the influence of sharia stock trading activity and macroeconomic factors on the performance of Sharia stocks in the capital market in Indonesia. The theoretical foundation used in this research was the Capital Asset Pricing Model (CAPM), which was a model that connects the expected rate of return with the risk of balanced market conditions. In addition, the theory of Arbitrage Pricing Theory (APT) which has the view that the expected return for a security will be influenced by several risk factors. Shariastock performance measurement was carried out using the Sharpe Index evaluation measuring instrument. The Sharpe index measures portfolio performance by connecting between returns and total risks as indicators. In this research, the research model used as a dependent variable was the performance of Sharia stocks. While the independent variable was sharia stock trading activities factors which consist of sharia stock market capitalization, sharia stock trading volume, Sharia stock trading frequency, and sharia stock trading day; and macroeconomic factors, including the SBI interest rate (Bank Indonesia Valuable Certificates), inflation rate, and exchange rate. The research method that was used in this research was the quantitative research method with multiple regression models. The data used were panel data, i.e. ISSI sharia share data (Indonesian Sharia Stock Index) which represented the trading of sharia shares listed on the stock, active, and fulfilling the requirements in the period of January 2014 to December 2018. Based on the results of this research, it showed that the Sharia stock market capitalization, sharia stock trading volume, sharia stock trading frequency, and sharia stock trading day had no positive effect on the performance of sharia shares. While the interest rates of SBI and exchange rates negatively affected the performance of Sharia stocks. For the inflation rate did not negatively affect the performance of Sharia stocks. Taken together, the factors of sharia stock trading activities and macroeconomic influenced the performance of sharia shares