Perbandingan Performa dan Volatilitas JII dan IHSG Periode 2020-2025 di Indonesia
-
Riswanti Riswanti
*
Universitas Islam Negeri Jurai Siwo Lampung, Metro,
Indonesia
- Misfi Laili Rohmi Universitas Islam Negeri Jurai Siwo Lampung, Metro, Indonesia
- Esty Apridasari Universitas Islam Negeri Jurai Siwo Lampung, Metro, Indonesia
- Vera Ismail Universitas Islam Negeri Jurai Siwo Lampung, Metro, Indonesia (*) Corresponding Author
Abstract
The Indonesian capital market experienced significant pressure, particularly during the early period of the COVID-19 pandemic, followed by a recovery phase amid persistently high global economic uncertainty. These conditions affected the performance and volatility of stock indices, both conventional and Sharia-based indices. This study aims to analyze and compare the performance and volatility of the Composite Stock Price Index (IHSG) and the Jakarta Islamic Index (JII) during the 2020–2025 period in Indonesia. The novelty of this research lies in the integration of performance and volatility analysis within a single comparative framework, as well as its focus on both crisis and economic recovery phases simultaneously, which remains limited in previous empirical studies. This study employs a quantitative approach with a descriptive-comparative method using secondary data in the form of monthly closing prices of IHSG and JII. Index performance is measured using average monthly returns, while volatility is analyzed through variance and standard deviation. The results show that IHSG has an average monthly return of 0.005134, while JII records −0.001511. These findings indicate that IHSG demonstrates better performance compared to JII, as it yields a positive return, whereas JII shows a negative return during the study period. In terms of risk, JII exhibits a higher level of volatility compared to IHSG. These findings suggest that Sharia stock indices do not always have lower risk than conventional indices, particularly under conditions of economic uncertainty, and highlight the importance of considering index structure in investment decision-making. The implications of this study are that investors, both conventional and Sharia, need to conduct more in-depth analyses of the risk and return characteristics of each index before making investment decisions. Furthermore, this research contributes to regulators and index providers in evaluating the stability and competitiveness of Sharia indices within the dynamics of the global capital market.
Downloads
References
Adnyana, I. M. (2020). Manajemen Investasi dan Portofolio (Melati (ed.); 2020th ed.). Lembaga Penerbitan Universitas Nasional.
Alghifary, M. S., Kadji, D., & Hafizah, I. (2023). Volatilitas Saham Indonesia Selama Gelombang COVID-19: Perbandingan antara IHSG dan ISSI. Jurnal Internasional Ekonomi Dan Keuangan Islam (IJIEF), 6(1), 105–132. https://doi.org/10.18196/ijief.v6i1.14838
Bodie, Z., Kane, A., & Marcus, A. J. (2021). Investments (12th ed.). McGraw-Hill Education.
Bursa Efek Indonesia. (2023). Indeks saham syariah dan konvensional.
Giovanni, A., Utami, D. W., Jauzaa, A., & Lionora, C. A. (2021). Variabilitas Kinerja Bumn Sektor Keuangan Dan Perusahaan Teknologi Keuangan Pada Masa Pandemi Covid-19. Berkala Akuntansi Dan Keuangan Indonesia, 6(1SP), 70–89. https://doi.org/10.20473/baki.v6i1SP.26740
Goulet Coulombe, P., Leroux, M., Stevanovic, D., & Surprenant, S. (2021). Macroeconomic data transformations matter. International Journal of Forecasting, 37(4), 1338–1354. https://doi.org/10.1016/j.ijforecast.2021.06.004
Hanafi, M. M. (2021). Teori Portofolio Dan Analisis Investasi: Review Teori dan Bukti Empiris. Gadjah Mada University Press.
Jogiyanto, H. M. (2021). Teori Portofolio dan Analisis Investasi (11th ed.). BPFE.
Koumou, G. B. (2020). Diversification and portfolio theory: a review. Financial Markets and Portfolio Management, 34(3), 267–312. https://doi.org/10.1007/s11408-020-00352-6
Lestari, K. T., & Rosyada, M. (2024). Analisis Perbandingan Pergerakan Indeks Saham Akibat Dampak Pandemi Covid-19 Terhadap Indeks IHSG dan JII di Indonesia. Nominal: Barometer Riset Akuntansi Dan Manajemen, 13(1), 71–80. https://doi.org/10.21831/nominal.v13i1.64205
Mufidah, E. N., Agusvinatassari, D. I., & Hana, K. F. (2020). Perbandingan Kinerja Reksadana Saham Syariah dan Konvensional (Pada 10 Reksadana di BEI Tahun 2017-2019). JIFA (Journal of Islamic Finance and Accounting), 3(2 SE-Articles), 111–120. https://doi.org/10.22515/jifa.v3i2.2507
Mukmin, A., & Firmansyah, F. (2020). Analisis Perbandingan Volatilitas Indeks Harga Saham Ihsg Dan Jii. Jurnal Ekonomi Dan Perbankan Syariah, 3(1), 69–84. https://doi.org/10.46899/jeps.v3i1.155
Nadya Rachma Muhson. (2025). Saham Syariah Konsisten di Jakarta Islamic Index (JII) Periode November 2020 - November 2025. IDX Islamix.
Nevada, S., & Kusumaningtias, R. (2020). Pengaruh Dow Jones Islamic Market Index Dan Dampak Makroekonomi Terhadap Indeks Saham Syariah Indonesia. At-Tijaroh Jurnal Ilmu Manajemen Dan Bisnis Islam, 6, 147–160. https://doi.org/10.24952/tijaroh.v6i2.2453
Paisal, A., Suhandoko, A. R., & Siti, D. (2024). Kinerja Portofolio Investasi Saham Dengan Standar Deviasi Untuk Mengukur Volatilitas Pasar Ekuitas Pada Pasar Modal Indonesia. 2(1).
Purwanto, B. (2022). Is the Volatility of the Islamic Stock Index Lower than the Conventional Stock Index during Covid-19 Pandemic? Empirical Evidence in Indonesia Stock Exchange. Journal of Islamic Economics and Finance Studies, 3(1), 24–38. https://doi.org/10.47700/jiefes.v3i1.4364
Sugiyono. (2021). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta.
Sukma, A. (2023). Perbandingan Volatilitas Yang Berubah-Ubah Pada Pasar Saham Islam Dan Konvensional Di Indonesia. Buletin Studi Ekonomi, 122–133. https://doi.org/10.24843/BSE.2023.v28.i02.p01
Sukmana, S. Y. (2023). Pengaruh share repurchase dan likuiditas terhadap volatilitas saham. Jurnal Manajemen Bisnis dan Kewirausahaan, 7(5 SE-Articles), 1194–1203. https://doi.org/10.24912/jmbk.v7i5.23995
Suriani, Nasir, Muhammad, & Ernawati. (2022). Economic fluctuations and monetary policy on the stock market during the COVID-19 pandemic in Indonesia. E3S Web Conf., 340, 5005. https://doi.org/10.1051/e3sconf/202234005005
Widodo, P. (2022). Is the Volatility of the Islamic Stock Index Lower than the Conventional Stock Index during Covid-19 Pandemic? Empirical Evidence in Indonesia Stock Exchange. Journal of Islamic Economics and Finance Studies, 3(1), 24–42. https://doi.org/10.47700/jiefes.v3i1.4364
Widodo, P., & Suryanto, D. (2021). Pengujian terhadap volatilitas return indeks saham konvensional dan indeks saham syariah sebelum dan selama pandemi COVID-19. Jurnal Sosial Humaniora Terapan, 4(1), 55–66. https://scholarhub.ui.ac.id/jsht/vol4/iss1/8
Zhu, W. (2024). Research on optimal portfolio based on the Markowitz model. Applied Economics and Management Proceedings, 33–39. https://doi.org/10.54254/2754-1169/77/20241786
Bila bermanfaat silahkan share artikel ini
Berikan Komentar Anda terhadap artikel Perbandingan Performa dan Volatilitas JII dan IHSG Periode 2020-2025 di Indonesia
Pages: 930-937
Copyright (c) 2026 Riswanti Riswanti, Misfi Laili Rohmi, Esty Apridasari, Vera Ismail
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under Creative Commons Attribution 4.0 International License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (Refer to The Effect of Open Access).
