文章基本信息

标题：Volatility of Jakarta Islamic Index
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作者：Hendri Tanjung
期刊名称：AL-IQTISHAD : JOURNAL OF ISLAMIC ECONOMICS
印刷版ISSN：2087-135X
电子版ISSN：2407-8654
出版年度：2014
卷号：6
期号：2
页码：16
语种：English
出版社：Faculty of Sharia and Law Syarif Hidayatullah State Islamic University Jakarta
摘要：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.