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VOLATILITY OF JAKARTA ISLAMIC INDEX

Tanjung, Hendri
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Tanjung, Hendri
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Keywords
Jakarta Islamic Index
normal distribution
Volatility
GE Subjects
Economic ethics
Business ethics
Ethics of economic systems
Labour/professional ethics
Methods of ethics
General and historical
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Islamic Ethics
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http://hdl.handle.net/20.500.12424/235997
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Abstract
This study investigates the volatility of Jakarta Islamic Index (JII) in Jakarta Stock Exchange. The method that used in this research is used a simple statistical analysis. The normality of JII return is analyzed to answer whether the return of JII follows normal distribution. By using data of Jakarta Islamic Index from 2nd March 2009 to 30th October 2013 (1122 daily data), it is found that the distribution of return of JII is not normal, even the 5 sigma occurred. This means the return of Jakarta Islamic Index is much volatile than the theory predicted. This will make too much gain or loss in one day in the economy.
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Date
2014-07
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With permission of the license/copyright holder
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