Title: Analysis of Efficiency Measurements on the Sharia Stock Exchange
Author: Mau Izhotul Hasanah
Affiliations : Master of Economics Program, Faculty of Economics and Business, Universitas Airlangga Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
The capital market is used as a financial center, which has a role in the development of a country, one of which is as an investment facility for the community. This research aims to measure the level of efficiency of the sharia stock market in Islamic countries and look at the factors that influence the value of technical efficiency on the sharia stock exchanges of Islamic countries. The data used is secondary data with a total of 360 observations from 6 Islamic countries that are members of the OIC in the period January 2014-December 2018. The method used is the Stochastic Frontier Approach (SFA) method. The results of this research show that during the research period there was no stock exchange that obtained a perfect efficiency score but it was close to number one so that the countries Iran, UAE, Kuwait, Saudi Arabia, Indonesia and Qatar had efficient sharia stock exchanges although not yet perfectly efficient. with an average technical efficiency value of 0.9706 or 97%, the output potential is being realized. Then based on ƴ that 38% of random variation in IMR is due to inefficiency. Therefore, it is necessary (1) expansive policies both in the short and long term, (2) Investors must be more careful in looking for relevant information and be able to control emotions (3) when there is low efficiency then technically on the market capitalization variable side It is necessary to add issuers to become members of the stock exchange, and in terms of trading volume, it is necessary to invite investors to make transactions or invite the public to invest in shares.
Keywords: Sharia Stock Exchange, Islamic Countries, Stochastic Frontier Analysis, Technical Efficiency Value
