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"ABSTRAKSkripsi ini membahas mengenai uji kausalitas VAR Toda-Yamamoto antaravariabel makro ekonomi dengan pasar keuangan Islam, yang bertujuan untukmengetahui konten informasi terkait variabel makro ekonomi yang terdapat dalampasar modah syariah (JII) dan pasar uang syariah (SBIS) untuk kemudian variabelkeuangan Islam yang memiliki konten informasi yang lebih banyak dapatdijadikan sebagai kandidat indikator kebijakan. Kesimpulan dalam penelitian iniadalah dengan tingkat signifikansi 5% melalui uji Bi-Variate dua arah, pasarmodal syariah (JII) memiliki dua konten informasi terkait makro ekonomi yaituLnER dan rSBI, sedangkan SBIS tidak sama sekali. Dengan tingkat signifikansiyang sama melalui uji Multi-Variate dua arah, pasar uang syariah (SBIS) memilikitiga konten informasi terkait makro ekonomi yaitu rSBI, IPI, dan Inflasi,sedangkan JII hanya memiliki satu konten informasi yaitu LnER. Dengandemikian, pasar uang syariah (SBIS) lebih dapat menggambarkan pergerakanmakro ekonomi dan dapat dijadikan indikator kebijakan.

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AbstractThis study investigate VAR Toda-Yamamoto causality test between macroeconomic variabel and Islamic financial market. The purpose of this study is toanalyze the information content of Islamic capital market (JII) and Islamic moneymarket (SBIS) return with respect to several macro economic indicators. Theempirical findings based on Bi-Varite method with level of significant 5%,Islamic capital market (JII) has high content information of macro economicvariabel (LnER and rSBI). Contrarily, based on Multi-Variate method with samelevel of significant, Islamic money market (SBIS) has high content information ofmacro economic variabel (rSBI, IPI, and Inflation). This implies that Islamicmoney market (SBIS) can be a reliable variable for monetary policyimplementation in the Indonesia case."

"Skripsi ini membahas mengenai uji kausalitas VAR Toda-Yamamoto antara variabel makro ekonomi dengan pasar keuangan Islam, yang bertujuan untuk mengetahui konten informasi terkait variabel makro ekonomi yang terdapat dalam pasar modah syariah (JII) dan pasar uang syariah (SBIS) untuk kemudian variabel keuangan Islam yang memiliki konten informasi yang lebih banyak dapat dijadikan sebagai kandidat indikator kebijakan. Kesimpulan dalam penelitian ini adalah dengan tingkat signifikansi 5% melalui uji Bi-Variate dua arah, pasar modal syariah (JII) memiliki dua konten informasi terkait makro ekonomi yaitu LnER dan rSBI, sedangkan SBIS tidak sama sekali. Dengan tingkat signifikansi yang sama melalui uji Multi-Variate dua arah, pasar uang syariah (SBIS) memiliki tiga konten informasi terkait makro ekonomi yaitu rSBI, IPI, dan Inflasi, sedangkan JII hanya memiliki satu konten informasi yaitu LnER. Dengan demikian, pasar uang syariah (SBIS) lebih dapat menggambarkan pergerakan makro ekonomi dan dapat dijadikan indikator kebijakan.

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This study investigate VAR Toda-Yamamoto causality test between macro economic variabel and Islamic financial market. The purpose of this study is to analyze the information content of Islamic capital market (JII) and Islamic money market (SBIS) return with respect to several macro economic indicators. The empirical findings based on Bi-Varite method with level of significant 5%, Islamic capital market (JII) has high content information of macro economic variabel (LnER and rSBI). Contrarily, based on Multi-Variate method with same level of significant, Islamic money market (SBIS) has high content information of macro economic variabel (rSBI, IPI, and Inflation). This implies that Islamic money market (SBIS) can be a reliable variable for monetary policy implementation in the Indonesia case."

"Penelitian ini bertujuan untuk menganalisis hubungan kointegrasi antara variabel makro ekonomi dengan Jakarta Islamic Index (JII). Penelitian ini menggunakan metode analisis Vector Error Correction Model (VECM) untuk melihat hubungan keseimbangan jangka pangjang. Penelitian ini merupakan penelitian kuantitatif dengan menggunakan data sekunder. Data yang digunakan pada penelitian ini merupakan data bulanan periode 2001 s.d 2014. Lima variabel ekonomi yang digunakan adalah indeks industrial produksi, indeks harga konsumen, jumlah uang beredar, suku bunga, dan nilai tukar.Hasilnya menunjukkan bahwa indeks saham JII memiliki hubungan kointegrasi dengan kelima variabel makro ekonomi. Indeks JII memliki hubungan positif signifikan dengan varibel jumlah uang beredar dan nilai tukar, sedangkan negatif signifikan dengan industrial produksi, indeks harga konsumen dan suku bunga.

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The aim of this study is to analyze the co-integration relationship between macroeconomic variables and Jakarta Islamic Index (JII). This study utilized Vector Error Correction Model (VECM) method to show the long-term equilibrium. This research is quantitative and using monthly data for period 2001 to 2014. The macroeconomic variables used are industrial production index, consumer price index, money supply, interest rate, and exchange rate.The result shows that there is co-integration relation between JII and macroeconomic variables. JII has significantly positive relationship to money supply and exchange rate variable and negative relationship to industrial production index, consumer price index, and interest rate."

"[ABSTRAKTesis ini membahas mengenai mekanisme penerbitan efek beragun aset syariah(EBA Syariah). Metode penelitian dalam tesis ini adalah yuridis-normatif yangdilakukan dengan cara meneliti bahan pustaka, peraturan perundang-undangan,data sekunder jurnal, artikel maupun makalah yang berhubungan denganpenerbitan efek beragun aset syariah. Efek beragun aset syariah merupakan efekyang diterbitkan melalui kegiatan sekuritisasi syariah. Penerbitan efek beragunsyariah diatur dalam Peraturan Bapepam-LK No. Kep-181/BL/2009 TentangPenerbitan Efek Syariah (Peraturan No. IX.A.13). Efek Beragun Aset Syariahdidefinisikan sebagai Efek yang diterbitkan oleh Kontrak Investasi Kolektif EfekBeragun Aset Syariah yang portofolionya terdiri dari aset keuangan yang tidakbertentangan dengan Prinsip-prinsip Syariah di Pasar Modal. Hasil penelitian inimenyimpulkan bahwa belum terlaksananya penerbitan efek beragun aset syariahkarena mekanisme yang belum lengkap terkait dengan struktur dan dukunganperaturan perundang-undangan. Oleh karena itu, dalam penelitian inimenyarankan perlunya kejelasan terkait struktur transaksi dan peraturanpendukung yang diperlukan untuk dapat terlaksananya penerbitan efek beragunaset syariah di Indonesia.

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ABSTRACTThis thesis discusses the mechanism of Islamic asset-backed securities issuance (EBA Sharia).Methods of research in this thesis is the juridical-normative done by researching librarymaterials, legislation, secondary data journals, articles and papers related to the issuance ofIslamic asset-backed securities. Islamic asset-backed securities are securities issued bysecuritization activities sharia. Issuance of sharia-backed securities regulated in Bapepam-LKNo. Kep-181 / BL / 2009 Concerning Issuance of Islamic Securities (Regulation No. IX.A.13).Shariah Asset Backed Securities are defined as securities issued by the Investment ContractAsset Backed Securities Sharia portfolio consists of financial assets that do not conflict withSharia principles in the Capital Market. The results of this study concluded that theimplementation has not been publishing Islamic asset-backed securities due to incompletemechanisms associated with the structure and support of the legislation. Therefore, in this studysuggest the need for clarity related to the structure of the transaction and regulatory supportnecessary to the implementation of Islamic asset-backed securities issuance in Indonesia.;This thesis discusses the mechanism of Islamic asset-backed securities issuance (EBA Sharia).Methods of research in this thesis is the juridical-normative done by researching librarymaterials, legislation, secondary data journals, articles and papers related to the issuance ofIslamic asset-backed securities. Islamic asset-backed securities are securities issued bysecuritization activities sharia. Issuance of sharia-backed securities regulated in Bapepam-LKNo. Kep-181 / BL / 2009 Concerning Issuance of Islamic Securities (Regulation No. IX.A.13).Shariah Asset Backed Securities are defined as securities issued by the Investment ContractAsset Backed Securities Sharia portfolio consists of financial assets that do not conflict withSharia principles in the Capital Market. The results of this study concluded that theimplementation has not been publishing Islamic asset-backed securities due to incompletemechanisms associated with the structure and support of the legislation. Therefore, in this studysuggest the need for clarity related to the structure of the transaction and regulatory supportnecessary to the implementation of Islamic asset-backed securities issuance in Indonesia, This thesis discusses the mechanism of Islamic asset-backed securities issuance (EBA Sharia).Methods of research in this thesis is the juridical-normative done by researching librarymaterials, legislation, secondary data journals, articles and papers related to the issuance ofIslamic asset-backed securities. Islamic asset-backed securities are securities issued bysecuritization activities sharia. Issuance of sharia-backed securities regulated in Bapepam-LKNo. Kep-181 / BL / 2009 Concerning Issuance of Islamic Securities (Regulation No. IX.A.13).Shariah Asset Backed Securities are defined as securities issued by the Investment ContractAsset Backed Securities Sharia portfolio consists of financial assets that do not conflict withSharia principles in the Capital Market. The results of this study concluded that theimplementation has not been publishing Islamic asset-backed securities due to incompletemechanisms associated with the structure and support of the legislation. Therefore, in this studysuggest the need for clarity related to the structure of the transaction and regulatory supportnecessary to the implementation of Islamic asset-backed securities issuance in Indonesia]"

"Investasi merupakan salah satu kegiatan muamalah yang dianjurkan dalam Islam. Pandemi COVID-19 membuat perekonomian Indonesia terpuruk yang ditunjukkan dengan pertumbuhan ekonomi yang kontraksi, tetapi fenomena yang berbeda terjadi pada pasar modal Syariah karena sektor ini terus tumbuh melalui produk yang mereka miliki. Oleh karena itu, penelitian ini bertujuan untuk menganalisis fenomena tersebut dengan behavioural finance melalui teori psikologis yakni menganalisis pengaruh kepribadian terhadap perceived investment performance atau performa investasi yang dirasakan. Penelitian ini mengadopsi model The Big Five Personality Traits sebagai kerangka teori dan melakukan pendekatan studi kuantitatif dengan metode Structural Equation Modelling (SEM). Variabel independen dalam penelitian antara lain mudah sepakat (agreeableness), keterbukaan (openness to experience), neurotisisme (neuroticism), ekstraversi (extraversion), dan berhati-hati (conscientiousness) dengan variabel dependen perceived investment performance. Penelitian ini menggunakan 293 sampel yang diperoleh melalui survei yang disebar secara daring yang merupakan investor Muslim dan sedang melakukan investasi di pasar modal Syariah. Hasil penelitian menunjukkan bahwa jenis kepribadian extraversion, openness to experience, dan neuroticism memengaruhi perceived investment performance (performa investasi yang dirasakan) secara signifikan, sementara jenis kepribadian agreeableness dan conscientiousness ditemukan tidak signifikan. Investor yang memiliki kepribadian ekstraversi (extraversion) dan keterbukaan (openness to experience) cenderung untuk melakukan investasi dengan risiko yang tinggi sehingga membuat performa investasi yang mereka rasakan lebih tinggi. Namun, investor dengan kepribadian neurotisisme (neuroticism) memiliki dampak yang sebaliknya. Penelitian ini juga menemukan bahwa mayoritas responden penelitian memiliki jenis kepribadian extraversion dan openness to experience. Hasil penelitian dapat digunakan oleh pemerintah untuk membantu pasar modal Syariah Indonesia bisa memiliki pertumbuhan yang lebih baik lagi dengan mengedukasi masyarakat terkait pentingnya personality traits dalam menentukan profil risiko pada investasi.

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Investment is one of the muamalah activities that are recommended in Islam. The COVID-19 pandemic has made the Indonesian economy slump as indicated by contractionary economic growth, but a different phenomenon occurs in the Islamic capital market because this sector continues to grow through the products they have. Therefore, this study aims to analyse this phenomenon with behavioural finance through psychological theory, namely analysing the influence of personality on perceived investment performance. This study adopts The Big Five Personality Traits model as a theoretical framework and approaches a quantitative study using the Structural Equation Modelling (SEM) method. The independent variables in this study are agreeableness, openness to experience, neuroticism, extraversion, and conscientiousness with the dependent variable is perceived investment performance. This study uses 293 samples gathered through an online survey who are Muslim investors and currently investing in the Islamic capital market. The results show that the extraversion, openness to experience, and neuroticism personality types significantly affected perceived investment performance, while agreeableness and conscientiousness were found to be insignificant. Investors who have an extraversion personality and openness to experience tend to invest with high risk so that their perceived investment performance is higher. However, investors with neuroticism personality traits have the opposite effect. This study also finds that the majority of research respondents had extraversion and openness to experience personality types. This study also finds that research respondents have extraversion personalities and openness to experience. The results of the study can be used by the government to help the Indonesian Islamic capital market to have better growth by educating the public regarding the importance of personality traits in determining the risk profile of investments."

"Penggabungan Usaha PT Bank BRISyariah Tbk (BRIS) dengan PT Bank Syariah Mandiri (BSM) dan PT Bank BNI Syariah (BNIS) dapat dikategorikan sebagai aksi backdoor listing BSM dengan mekanisme penggabungan terbalik (reverse merger), dengan kondisi seluruh bank yang melakukan transaksi merupakan pihak terafiliasi. Penelitian ini memfokuskan analisis terhadap Pertama, tidak dilakukannya RUPS Independen BRIS dalam pengambilan keputusan penggabungan usaha; dan Kedua, pemenuhan hak menilai harga saham (appraisal right) oleh BRIS. Penelitian ini menggunakan metode penelitian doktrinal serta bertipologi deskripsis analitis. Dari hasil penelitian diketahui seharusnya RUPS dalam rangka menyetujui Penggabungan Usaha BRIS dilaksanakan dengan tata cara RUPS Independen (kecuali terdapat penetapan Kementerian BUMN bahwa penggabungan adalah dalam rangka restrukturisasi -yang tidak di temukan dalam penjelasan RUPS-). BRIS juga sudah melaksanakan penyelesaian hak menilai harga saham (appraisal right) terhadap pemegang saham yang tidak setuju dengan penggabungan, namun jika dibandingkan dengan pelaksanaan hak yang sama pada aksi korporasi PT Indosat Tbk, PT Telkom (Persero) Tbk, dan PT Bank OCBC NISP Tbk, ditemukan perbedaan dalam penggunaan referensi/dasar harga pembelian, periode pembelian kembali saham, tempo pembayaran, dan Pihak yang melakukan pembelian kembali. Oleh sebab itu perbedaan perlakuan yang diterapkan Perusahaan Terbuka, meski tidak bertentangan dengan aturan terkait, namun dapat menimbulkan ketidakadilan bagi pemegang saham minoritas.

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The merger of BRIS with BSM and BNIS can be categorized as a backdoor listing action of BSM with a reverse merger mechanism, and all affiliated parties. This study focuses on the absence of the BRIS Independent GMS in making business merger decisions; and the fulfillment of the appraisal right by BRIS. This study uses doctrinal research methods. From the results of the research, it is known that the GMS to approve the BRIS Merger shall be Independent GMS. BRIS has also carried out the settlement of the appraisal right for shareholders who do not agree with the merger, but when compared to the exercise of the same rights in the corporate action of PT Indosat Tbk, PT Telkom (Persero) Tbk, and PT Bank OCBC NISP Tbk, there are differences in the use of reference/basis for the purchase price, share repurchase period, payment tempo, etc. and the Party that makes the repurchase. Therefore, the difference in treatment applied by Public Companies, although not contrary to related rules, can cause injustice to minority shareholders."

"Salah satu produk reksa dana syariah adalah Exchange Traded Fund (ETF) syariah. Saat ini, di Indonesia terdapat tiga jenis ETF syariah yaitu XPES, XIJI, XSSI dan Malaysia terdapat empat jenis ETF syariah yaitu MyETF-DJIMS25, MyETF-US50, MyETF-MMID, MyETF-MSEAD. Baik di Indonesia maupun Malaysia mempunyai regulasi masing-masing terkait ETF syariah. Maka peneliti akan melakukan penelitian untuk membandingkan regulasi antara dua Negara tersebut. Metode penelitian dengan menggunakan penelitian kualitatif dan pendekatan yuridis normatif. Hasil penelitian menunjukan bahwa regulasi ETF syariah di Indonesia belum diatur khusus pada POJK maupun DSN, yakni masih berada pada regulasi reksa dana syariah di POJK No. 33/POJK.04/2019, fatwa DSN No. 20/DSN-MUI/IV/2001 dan perdagangan saham pada fatwa DSN No. 80/DSN-MUI/III/2011, sedangkan di Malaysia regulasi ETF syariah sudah diatur khusus pada Guidelines on Exchange Traded Fund dan fatwa MPS. Hal ini menunjukan bahwa regulasi ETF syariah yang ditetapakan oleh Negara Malaysia lebih jelas dibandingkan Indonesia, namun pada regulasi antara dua Negara tersebut sama-sama mengatur terkait operasional ETF syariah. Dalam penelitian ini juga dapat ditemukan bahwa pada operasional ETF syariah yaitu pada manajer Investasi di Indonesia dikelola oleh masing-masing manajer investasi sedangkan semua ETF syariah di Malaysia dikelola oleh satu manajer investasi, pada bank kustodian hanya terdapat satu ETF syariah yang menggunakan perbankan syariah yaitu di Malaysia pada MyETF-US50, pada metode screening kuantitatif antara Indonesia dan Malaysia berbeda dikarenakan melihat kondisi Negara masing-masing dan pada mekanisme perdagangan ETF syariah di Indonesia dan Malaysia sama-sama harus jauh dari manipulasi, spekulasi dan tindakan lain yang didalamnya terdapat riba, gharar dan sebagainya.

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One of the sharia mutual fund products is the sharia Exchange Traded Fund (ETF). Currently, in Indonesia there are three types of sharia ETFs namely XPES, XIJI, XSSI and Malaysia there are four types of sharia ETFs namely MyETF-DJIMS25, MyETF-US50, MyETF-MMID, MyETF-MSEAD. Both Indonesia and Malaysia have their own regulations related to sharia ETFs. Then researchers will conduct research to compare regulations between the two countries. Research methods using qualitative research and normative juridical approaches. Research methods using qualitative research and normative juridical approaches. The results showed that sharia ETF regulations in Indonesia have not been specifically regulated in POJK or DSN, namely still in sharia mutual fund regulations in POJK No. 33/POJK.04/2019, fatwa DSN No. 20/DSN-MUI/IV/2001 and stock trading in fatwa DSN No. 80/DSN-MUI/III/2011, while in Malaysia sharia ETF regulations have been specifically regulated in the Guidelines on Exchange Traded Fund and MPS fatwas. This shows that the regulation of sharia ETFs set by the State of Malaysia is clearer than Indonesia, but the regulations between the two countries both regulate the operations of sharia ETFs. In this study it can also be found that in sharia ETF operations, namely in investment managers in Indonesia managed by each investment manager while all sharia ETFs in Malaysia are managed by one investment manager, in custodian banks there is only one sharia ETF that uses Islamic banking, namely in Malaysia on MyETF-US50, the quantitative screening method between Indonesia and Malaysia is different because it looks at the conditions of their respective countries and on Islamic ETF trading mechanisms in Indonesia and Malaysia must both be away from manipulation, speculation and other actions in which there is usury, gharar and so on."

"[ABSTRAKTesis ini menganalisis mengenai determinan korelasi saham dan obligasi di Indonesia, Filipina, dan Malaysia. Penelitian ini bertujuan untuk menganalisis pengaruh determinan makro ekonomi dan pasar saham terhadap korelasi imbal hasil saham dan obligasi dengan menggunakan pendekatan kuantitatif. Model penelitian ini yang digunakan adalah korelasi imbal hasil saham dan obligasi dengan metode Dynamic Conditional Correlation (DCC). Kemudian analisis determinan korelasi saham dan obligasi dilakukan dengan analisis regresi OLS. Hasil penelitian menunjukkan bahwa faktor makro ekonomi (inflasi) lebih berpengaruh daripada faktor pasar saham terhadap korelasi imbal hasil saham dan obligasi di Filipina dan Malaysia. Sedangkan faktor pasar saham (EPR) berpengaruh secara signifikan terhadap korelasi imbal hasil saham dan obligasi di Indonesia.;

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ABSTRACTThis thesis analyzes the determinants of stock-bond correlation in Indonesia, Philippines, and Malaysia. This study aimed to get the conclusion about determinants such as macro economy and stock markets that influence stock-bond correlation with quantitative approach. The research model which being used was the correlation between return of stock and return of bond with Dynamic Conditional Correlation (DCC) method. Moreover, the analysis of the determinants of stock-bond correlation was performed by an OLS regression. The results of this study indicate that macroeconomic factor (inflation) has more influence than stock market towards stock-bond correlation in Philippine and Malaysia. However, stock market factor (EPR) has more influence than macro economic factor to explain the stock-bond correlation in Indonesia., This thesis analyzes the determinants of stock-bond correlation in Indonesia, Philippines, and Malaysia. This study aimed to get the conclusion about determinants such as macro economy and stock markets that influence stock-bond correlation with quantitative approach. The research model which being used was the correlation between return of stock and return of bond with Dynamic Conditional Correlation (DCC) method. Moreover, the analysis of the determinants of stock-bond correlation was performed by an OLS regression. The results of this study indicate that macroeconomic factor (inflation) has more influence than stock market towards stock-bond correlation in Philippine and Malaysia. However, stock market factor (EPR) has more influence than macro economic factor to explain the stock-bond correlation in Indonesia.]"

"Pandemi COVID-19 telah memicu berbagai tanggapan dari lingkungan ekonomi dan bisnis. Data pasar mengungkapkan korelasi negatif yang kuat antara pengumuman kasus pertama, pengumuman kasus pertama dan kematian pertama, dan setiap pengumuman kebijakan Pembatasan Sosial Berskala Besar (PSBB). Dalam jangka pendek, penelitian ini akan melihat bagaimana reaksi saham-saham penyusun IHSG terhadap kebijakan pemerintah, laju penyebaran COVID-19, dan laju kenaikan pasar modal dengan melihat signifikansi dari uji-t kumulatif abnormal return seluruh saham penyusun IHSG sebelum dan selama masa pandemi COVID-19. Temuan mengungkapkan bahwa setiap perubahan kebijakan PSBB berdampak pada return saham

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The COVID-19 pandemic has triggered a range of responses from the economics and business environment. The market data reveals a strong negative correlation between the first case announcement, the first case announcement and the first death, and every announcement of the Large-Scale Social Restrictions policy (PSBB). In the short term, this research will look at how the constituent stocks of the Indonesian Sharia stock index react to government policies, the rate of spread of COVID-19, and the rate of increase in the capital market by looking at the significance of the t-test of the cumulative abnormal return of all Indonesian Sharia stock index constituent stocks before and during the COVID-19 pandemic. The findings reveal that every change in PSBB policy has an impact on stock returns."

"Aktivitas pasar keuangan syariah di Indonesia saat ini cukup berkembang tercermin dari tingginya permintaan pasar terhadap instrumen keuangan syariah. JII, SIMA, dan SBIS merupakan instrumen syariah yang mewakili pasar saham syariah dan pasar uang syariah, di mana dalam perdagangannya dimungkinkan rentan terhadap risiko pasar tercermin dari volume perdagangan ketiga instrumen yang cenderung meningkat namun imbalan yang diterima investor tidak stabil atau cukup berfluktuasi. Tujuan penelitian ini adalah untuk mengukur besar kerugian perdagangan portofolio investasi: JII, SIMA, dan SBIS, akibat adanya risiko pasar selama periode Januari 2005 sampai Maret 2015 dan meramalkan besar kerugian di masa yang akan datang periode April 2015 sampai Desember 2017. Metode analisis yang digunakan adalah metode VaR (Value at Risk) dengan teknik variance covariance dan metode forecasting dengan teknik dekomposisi. Hasil penelitian menunjukkan bahwa nilai risiko portofolio investasi: JII, SIMA, dan SBIS sangat sensitif terhadap kondisi ekonomi makro dalam negeri. Hal tersebut ditunjukkan dengan tingginya volatilitas tingkat imbalan ketiga instrumen di beberapa periode tertentu sepanjang Januari 2005 - Maret 2015. VaR tertinggi terjadi di tahun 2007 di mana otoritas mengambil kebijakan antisipasi terhadap kemungkinan kerugian yang lebih besar di tahun 2008, yaitu sebesar 7,77% - 14,12% atau sekitar Rp 178 miliar - Rp 323 miliar. Di samping itu, ditemukan bahwa hubungan JII dengan SIMA dan SBIS berkorelasi negatif di sebagian besar waktu, sedangkan hubungan SIMA dengan SBIS berkorelasi positif. Hal tersebut disebabkan karena tingkat imbalan JII, SIMA, dan SBIS dipengaruhi oleh faktor yang berbeda. Hasil lainnya adalah pada periode 2016 - 2017, VaR portofolio diprediksi lebih rendah dari waktu sebelumnya, salah satunya disebabkan karena persepsi publik yang positif terhadap pasar keuangan syariah.

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Islamic financial market activity in Indonesia is well developed which is indicated by the high demand for Sharia financial instruments. JII stocks, SIMA and SBIS are several examples of sharia financial instruments which represent sharia stock market and money market. Like traditional stock market and money market, trading sharia financial instruments is also vulnerable to market risks. These risks are reflected by low return gained by investors despite high trading volume from JII stocks, SIMA and SBIS instruments.

The purpose of this study is to measure trading losses of JII stocks, SIMA and SBIS due to market risks during January 2005 to March 2015 and predict future losses that may happen from April 2015 to December 2017. VaR (Value at Risk) method, variance covariance technique and forecasting decomposition model are used for this purpose.

The result showed that risk value of JII stocks, SIMA and SBIS were really sensitive to domestic macro economic condition. It was proved by high volatility rate of return of those three instruments at certain periods from January 2005 - March 2015. Highest VaR was 7.77% - 14.12% or around IDR 178 billion - 323 billion which was happened in 2007 due to policies made by authorities to anticipate greater losses in 2008. In addition to that, there was a correlation between JII, SIMA and SBIS. JII was negatively correlated with SIMA and SBIS for most of the time while SIMA has positive correlation with SBIS. Finally, VaR from period 2016 - 2017 is predicted to be lower compared to previous period due to positive reaction from public to sharia financial market."