基於風險調整的雅加達伊斯蘭指數類股的分析

Cluster Analysis of Jakarta Islamic Index Stocks Based on Risk Adjusted Return

歐力旗(Rizky Aulya Akbar)

指導教授 ： 黃俊平

國立虎尾科技大學/管理學院/工業管理系工業工程與管理碩士班/碩士(2017年)

摘要

本這項研究的目的是根據股票的表現來檢查雅加達伊斯蘭指數股票的集群，使用2006年至2016年二十一個半年期的風險調整回報來衡量。印度尼西亞作為世界上人口最多的穆斯林國家擁有伊斯蘭教金融業發展的巨大市場。伊斯蘭金融促進風險分擔工具和 禁止有利息的好處支付給業務在現代資本市場中具有優勢。結果表明，最理想的族群為3族群。 此外，這項研究還顯示了雅加達伊斯蘭指數股票的另一種分組，基於風險調整回報，投資者可以從中受益，支持他們決定投資印度尼西亞伊斯蘭教金融業。

關鍵字

聚類分析 ； 伊斯蘭指數 ； 風險調整回報

並列摘要

The purpose of this study is to examine the clusters of Jakarta Islamic Index stocks based on the stock’s performance which is measured using risk-adjusted return for twenty-one semi-annual periods from 2006 to 2016. Indonesia as the most populous Muslim-majority country in the world holds an enormous market for the development of the sharia finance industry. The inherent philosophy of Islamic finance that promotes risk-sharing instrument and prohibits interest bearing business has its benefits in the modern capital market. The results show that the number of optimal clusters is 3 clusters. Moreover, this study also shows an alternative grouping of Jakarta Islamic Index stocks based on its risk-adjusted return that investors can benefit from it, supporting their decision to invest in the Indonesia sharia finance industry

並列關鍵字

Cluster Analysis ； Islamic Index ； Risk Adjusted Return

參考文獻

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