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
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