Description
Title: Price Index Modeling and Indonesian Sharia Stocks Risk Prediction
Abstract: This study sought to forecast both the price of the JKII (Jakarta Islamic Index), a price index for sharia stocks, and the risk of loss. This study predicts the price and loss risk of JKII at 16 August 2021–23 August 2021 using geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August 2020–13 August 2021. The results of this study had a MAPE value of 2.03%, which was very accurate for predicting the price of JKII. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for August 16, 2021 (the first trading day following August 13, 2021) was calculated to be 2.40, 3.07, and 4.27%, respectively, at the 90%, 95%, and 99% confidence levels. Due to the higher returns they provide in a relatively short amount of time, the majority of Muslims in Indonesia have financial assets in the form of Islamic investments. The JKII, an Islamic stock price index, provides insight into the movement of all Islamic stock prices traded on the Indonesian stock market (Jakarta Islamic Index). Therefore, the primary goal of this study was to forecast JKII’s price and loss risk as an indicator of Indonesian Islamic stock prices. The prediction of JKII price and the loss risk through GBM and VaR using a Monte Carlo simulation approach are determined as part of this study’s extension of the prior literature.
Keywords: Sharia investment; Jakarta Islamic Index (JKII) price; loss risk; geometric Brownian motion; Value at Risk
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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