Title: Sharia-Compliance-Based Stock Valuation: A Study of the Jakarta Islamic Index 2013-2019
Author: Ida Wijayanti
Student ID: 091824555033
Study Program: Master of Science in Islamic Economics
Year of Publication: 2021
Abstract:
This study aims to analyze the influence of sharia compliance variables on the intrinsic value of sharia stocks in the Jakarta Islamic Index (JII) from 2013 to 2019. The sharia compliance variables used in this study are derived from the Financial Services Authority (OJK) Regulation (POJK) and the DSN-MUI Fatwa, and are supplemented with a discussion of the principle of ihsan. The sharia compliance variables formed include the Financing to Total Assets Ratio (RPA), the Non-Halal Income to Total Income Ratio (RPNHP), the Cash Placement in Conventional Banks to Total Cash Ratio (RKK), the Interest Financing to Total Financing Ratio (RPBP), the Salary Expense to Total Operating Expense Ratio (RBGBO), and the Philanthropic Fund Ratio (RDF). The sample in this study is 7 sharia stock issuers that have consistently been in the Jakarta Islamic Index (JII) from 2013 to 2019 and published financial reports and sustainability reports during those years. The research methodology is panel data regression with Arbitrage Pricing Theory (APT) analysis. The results of the study indicate that the Non-Halal Income to Total Income Ratio (RPNHP) has no effect on the value of sharia stocks. Meanwhile, the Financing to Total Assets Ratio (RPA), the Cash Placement Ratio in Conventional Banks to Total Cash Ratio (RKK), the Interest Financing to Total Financing Ratio (RPBP), and the Salary Expense to Total Operating Expense Ratio (RBGBO) negatively affect the value of sharia stocks, while the Philanthropic Fund Ratio (RDF) positively affects the value of sharia stocks. The implication of this study is the formation of a sharia stock valuation model based on sharia compliance in the capital market. This study provides input for further research and also for improvements in the assessment of the implementation of OJK regulations and DSN MUI fatwas in the sharia capital market in Indonesia.
Keywords: Sharia Compliance, Intrinsic Value, Sharia Stocks, Jakarta Islamic Index