COMPARATIVE ANALYSIS OF RISK AND RETURN ON INDONESIAN ISLAMIC STOCK INDEX IN DIFFERENT ECONOMIC CONDITIONS

This study aims to analyze the differences in risk and rate of return on Islamic stocks during the economic crisis, when the economy is stable, and during the pandemic-covid. The sample used is the Indonesian Islamic stock index JII30 from 2018-2020. The data analysis used was a different test (T-test). The test variable uses stock returns and risk as proxied by Value at Risk (VaR). The results indicate there is no significant difference in the return and risk of stock index JII30 between economic crisis conditions and when economic conditions are stable. However, there is a significant difference between the JII30 stock index when the economy is stable and during the pandemic-covid, also there were significant differences in return and risk in the JII30 Index between the economic crisis (2018) and the pandemic's economic conditions (2020).


INTRODUCTION
Along with the increasing financial literacy of society, there will be a behavior change, from saving to investing (Lusardi, 2019). Investment instruments in Indonesia also vary. One investment that is starting to be of interest to the public is investing in the capital market. There are also various types of investment products in the capital market, including stocks, bonds, and mutual funds.
As an investment instrument, stocks offer a higher rate of return than other investment instruments. (Ronald et al., 2019;Abad et al., 2014). However, the high rate of return offered is in line with the fluctuation of a stock price movement. This fluctuation then becomes one of the risks that must be taken into account if investors want to invest. An investor who does not have sufficient knowledge can quickly lose money if the price of the instrument he is buying falls deep enough. Thus, the investor needs to study the desired rate of return and the level of risk tolerated.
To measure the return of a stock investment instrument, an investor can reduce the selling price by the price when someone buys and dividing it by the purchase price. Meanwhile, to Jurnal Ekonomi dan Manajemen E-ISSN: 2614-1345 52 calculate risk, one way can be done to find the value of an investment instrument's value at risk (VaR). VaR is defined as a threshold value. The probability that the mark-to-market or fair value accounting losses on the portfolio over a given time horizon will exceed this threshold value (assuming stock market and no portfolio trading) is the given probability level. Furthermore, in its most general form, Value at Risk (VaR) measures the potential loss in value of a risky asset or portfolio over a specified period for a given confidence interval (Doeswijk, et al., 2020;Nurutsaniyah, et al., 2019).
Recently the world has experienced a pandemic. This pandemic originated from a swift contagious disease, namely Corona Virus Disease-19 (COVID19), an acute respiratory disease caused by the SARS-CoV2 Virus, which was first discovered in the city of Wuhan, China at the end of 2019, before finally spreading almost throughout the country and caused many casualties.
As a disaster prevention and mitigation measure, many countries have implemented the Lockdown policy, so that production flows are hampered, so that in the end, the global economic conditions experienced a drastic slowdown. (Ozili, 2020).
Source: eikon data stream

METHODS
Data used in this research is quantitative time-series data, which comes from secondary data, namely, data that already exists and does not need to be collected by the researcher. The population in this study is the JII30 Stock Index obtained from the eikon data stream. The sampling technique is purposive sampling, namely determining the sample based on the criteria determined by the researcher. This study's research sample is Sharia Stock, which is used as the JII30 Index from 2018 to 2020.

This research compares the results of the t-test difference between risk and returns on
Islamic stocks projected through the JII30 index in the 2018-2020 period. The previously collected data will be analyzed in stages by analyzing the risk and return of Islamic stocks as measured using VaR and stock returns. The next stage is a normality test to determine whether the data is normally distributed or not. If the data is normally distributed, the test is carried out using the Independent sample T-test analysis, while if the data is not normal, the test using the Mann-Whitney test analysis. For the level of significance used in this study, the confidence level is 5%.

Comparative Test Results for Stock Index JII 2018 (Economic Crisis Period) and JII30
Year 2019 (Stable Period).  Source: data result 2020

Jurnal Ekonomi dan Manajemen
The first step in differential testing is to ensure that the data is normally distributed. From

Source: data result 2020
The

Source: data result 2020
Because the return data is not homogeneous, the Mann Whitney test is used. From table 4, it can be seen that the Sig (2-tailed) value is 0.186> 0.05. Stock return data shows a significant value that is greater than the significance level of α = 5% (0.05). This means no significant difference between the Jakarta Islamic Index return during the economic crisis and the Jakarta Islamic Index return when the economy is stable.

Source: data result 2020
The table 5 shows that the Sig (2-tailed) value is 0.082> 0.05. Stock risk data shows a significant value more than the significance level of α = 5% (0.05). This means that there is no significant difference between the Jakarta Islamic Index stock's risk during the economic crisis and the Jakarta Islamic Index stock when the economy is stable, meanwhile the results shows significance level of α = 10%.

Comparative Test Results for VaR and Return JII30 Year 2019 (Stable Period) and JII30
Year 2020 (Pandemic-Covid Period) Source: data result 2020  Source: data result 2020 Table 7 shows sig value for the return data is 0.115. This means that in testing the homogeneity of the return data for the comparative test of JII30 when the economy is stable (2019) and JII30, when the pandemic-covid (2020) occurs, it is homogeneous because the sig value is> 0.05.  (2019) and JII30 when the pandemic-covid (2020) occurs is not homogeneous because the sig value is below 0.05.  Source: data result 2020 Table 9 shows that the Sig (2-tailed) value is 0.000 <0.05. Stock return data shows a significant value that is lower than the significance level of α = 5% (0.05). This means a significant difference between JII30 stock returns when the economy is stable (2019) and JII30 when the pandemic-covid (2020) occurs.

Source: data result 2020
From table 10, it can be seen that the Sig (2-tailed) value is 0.000 <0.05. Stock risk data shows a significant value that is lower than the significance level of α = 5% (0.05). This means a significant difference between the risk of JII30 shares when the economy is stable (2019) and JII30 when the pandemic-covid (2020) occurs.

Comparative Test Results VaR and Return JII30 Year 2018 (Economic Crisis Period) and
JII30 Year 2020 (Pandemic-Covid Period)   (2020) was not homogeneous because the sig value was <0.05. Source: data result 2020 The From the table 14, it can be seen that the Sig (2-tailed) value is 0.013 <0.05. Stock returns data shows a significant value smaller than the significance level of α = 5% (0.05). This means a significant difference between the risk of the Jakarta Islamic Index shares during the economic crisis (2018) and the Jakarta Islamic Index shares during the Covid-19 pandemic (2020).

Source: data result 2020
The table 15 shows that the Sig (2-tailed) value is 0.000 <0.05. Stock risk data shows a significant value smaller than the significance level of α = 5% (0.05). This means a significant difference between the risk of the Jakarta Islamic Index during the economic crisis (2018) and the Jakarta Islamic Index during the pandemic (2020).

DISCUSSION
After conducting the data processing and testing statistically, it obtained various findings; one of the findings can be seen in the first hypothesis, which shows that the first hypothesis there is no difference between VaR and Returns JII30 during the economic crisis and during the stable period; the second hypothesis, there is a significant difference in VaR and JII30 returns in the stable period with the pandemic-Covid period; the third hypothesis is that there is a difference between Var and JII30 returns in the crisis period with the pandemic-Covid period, these findings explain that the pandemic-Covid period has a more significant impact Compared to the Islamic Stock Market compared to the previous crisis, the pandemic-covid caused investors to react sensitively to the information provided by the market so that investors were Jurnal Ekonomi dan Manajemen E-ISSN: 2614-1345 cautious in making investment decisions. The clear difference from the effects of this pandemic is reinforced by Indonesia's economic situation, which is experiencing an economic slowdown and has entered into an economic recession. In restoring the current economic condition, the government has issued policies that strengthen people's purchasing power with social assistance during a pandemic period, both in goods and in money. Investors in a pandemic see opportunities in the technology sector to see a shift from investment commodities to technology investment.

CONCLUSION
This research was conducted to determine whether there is a difference between return and risk generated by the Jakarta Islamic Index 30 with three different conditions. The three conditions were the currency crisis in 2018, when economic conditions were stable, namely in 2019, and during the SARS-CoV virus pandemic, which caused the COVID-19 disease. From the test results, several things were found. Namely, there were significant differences in return and risk in the JII30 Index between the economic crisis (2018) and the pandemic's economic conditions (2020). This could happen because the majority of investors maintained their cash position and portfolio value during the pandemic. It takes place by not increasing or even reducing their position in the stock market, which causes it to become more volatile, so investors are advised to hedge their portfolios' value by not increasing their exposure to the stock market during the pandemic. The same thing was also found when comparing the rate-of-return and risk performance of the JII30 index during the crisis (2018) and pandemic-covid period (2020).
Meanwhile, related to the second results, there is no difference between rate-of-return and risk of index stocks during the economic crisis (2018) and economically stable (2019).