VOLATILITAS HARGA SAHAM ANTARA SAHAM KONVENSIONAL DAN SYARIAH

Abstract

Disintermediatior phenomena in financial market show that many people tend to invest in capital market more than in banking. That’s happened, because of the return on stock is profitable than banking interest rate. But, there is a big risk in capital market. It’natural, financial market say that high risk high return, low risk low return. So, if we do not want to loss, we must have ability to analyse stock performance, specially volatility of stock. This research use to ARCH/GARCH Model to estimation.
The research show that stock growth in 2007 – 2009 tend to decrease for all index (convensional and shariah index). The research show too, that α value ≥ 0,7 and sum of α and β almost one for all index (JSE, LQ45,Kompas 100 and JII). That are means, the volatility shock are persistent or the volatility are high and persistent.
Key Words : ARCH, GARCH, volatility and persistent