Perbandingan Efisiensi Pasar Saham Konvensional Dan Pasar Saham Syari’ah Di Bursa Efek Indonesia

Naufal Hisyam Faizsyahly Fadhilah, Deni Saepudin, Aniq Atiqi Rohmawati

Abstract

Abstrak Dalam pasar saham yang efisien, semua informasi terkait dengan pergerakkan harganya tercermin dalam harga saat ini. Semakin tinggi tingkat efisiensi mencerminkan informasi harga saham yang semakin lengkap. Salah satu cara metode yang digunakan untuk mengukur tingkat efisiensi pasar saham adalah metode Multifractal De-trended Fluctuation Analysis (MF-DFA). Metode MF-DFA adalah metode yang menggambarkan statistik data deret waktu non-stasioner multifractal yang terjadi pada skala waktu yang berbeda. Dalam penelitian ini menentukan tingkat efisiensi pasar saham, khususnya di Indonesia dan membandingkan pasar saham konvensional dengan pasar saham syari’ah di bursa efek Indonesia (BEI) di delapan sektor, yaitu agriculture, basic and industry chemicals, consumer and good industry, infrastructure, utilities and transportation, mining, miscellanous industry, property, real estate and building construction, trade, service, and investment. Dari hasil penelitian menunjukkan bahwa pasar saham syari’ah unggul di enam sektor, yaitu sektor agriculture (0.6357), basic and industry chemicals (0.9707), consumer and good industry (0.8524), miscellanous industry (1.5269), property, real estate and building construction (1.1275), trade, service, and investment (0.7948), sedangkan pasar saham konvensional hanya unggul di dua sektor, yaitu infrastructure, utilities and transportation (1.1645), dan mining (0.5871). Kata Kunci: Pasar Saham, Efisiensi, MF-DFA Abstract In efficient stock market, all information related to the stock prices movement are reflected in the current stock prices. Higher efficiency of stock market leads to more complete stock prices information. One of the methods used to measure the efficiency rate of a stock market is the Multifractal De-trended Fluctuation Analysis (MF-DFA) method. The MF-DFA method is a method that illustrates the data statistics of non- stationary multifractal time series occurring on a different timescale. In this study determine the level of efficiency of the stock market, especially in Indonesia and comparing the conventional stock market with the islamic stock market on the Indonesian Stock Exchange (IDX) in eight sectors, namely agriculture, basic and industry chemicals, consumer and good industry, infrastructure, utilities and transportation, mining, miscellanous industry, property, real estate and building construction, trade, service, and investment. From the research results of the research showed that the islamic stock market is more efficient in six sectors, which are sector agriculture (0.6357), basic and industry chemicals (0.9707), consumer and good industry (0.8524), miscellanous industry (1.5269), property, real estate and building construction (1.1275), trade, service, and investment (0.7948), while the conventional stock market is only superior in two sectors, such as infrastructure, utilities and transportation (1.1645), and mining (0.5871). Keywords: Market Stock, Efficiency, MF-DFA

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