Sharia Stock Selection in Indonesia Stock Exchange (IDX) : A fuzzy-ANP Approach
Abstract views: 527
,
PDF downloads: 416
Abstract
The purpose of this study is to develop a fuzzy analytic network process (FANP) model to evaluate and select a portfolio of Islamic stocks on the Indonesia Stock Exchange (IDX). A fuzzy analytic network process (FANP) is used to the develop indicator and portfolio selection ranking. It can make it easier for investors to make investment decisions through financial portfolio return. However, in fact and reality, investors need fast investment decision, therefore, portfolio selection is most important. The fuzzy-ANP analysis method can be used to evaluate and to make prioritize ranking of investment decision variables. The results of this study are found that profitability is the most important criterion for investors to select Islamic stock portfolios in Indonesia stock exchange. In addition, the value of Return on assets (ROA), Return on equity (ROE), Return on Investment (ROI), Net profit margin (NPM), Earning per share, return on sales Ratio and Return on Capital of a company.
References
Alhassan, A., & Naka, A. (2020). Corporate future investments and stock liquidity: Evidence from emerging markets. International Review of Economics and Finance, 65, 69–83. https://doi.org/10.1016/j.iref.2019.10.002
Alinezhad, A. (2018). Combination of DEA and ANP-QUALIFLEX Methods to determine the most Efficient Portfolio ( Case study : Tehran Stock Exchange ), 3(9), 79–90.
Aouni, B., Doumpos, M., Pérez-Gladish, B., & Steuer, R. E. (2018). On the increasing importance of multiple criteria decision aid methods for portfolio selection. Journal of the Operational Research Society, 69(10), 1525–1542. https://doi.org/10.1080/01605682.2018.1475118
Dutta, S., Biswal, M. P., Acharya, S., & Mishra, R. (2018). Fuzzy stochastic price scenario based portfolio selection and its application to BSE using genetic algorithm. Applied Soft Computing Journal, 62, 867–891. https://doi.org/10.1016/j.asoc.2017.09.018
Galankashi, M. R., Rafiei, F. M., & Ghezelbash, M. (2020). Portfolio selection : a fuzzy-ANP approach (Vol. 4). Financial Innovation.
Ghannadpour, S. F., jokar, maryam, & Makui, A. (2018). Fuzzy analytical network process logic for performance measurement system of e-learning centers of universities. Journal of Industrial and Systems Engineering, 11(3), 261–280. Retrieved from http://www.jise.ir/article_68761.html%0Ahttp://www.jise.ir/article_68761_b61763886e92bd61c79c5610ac362207.pdf%0Ahttps://lens.org/179-760-875-132-780
Gölcük, I., & Baykasoʇlu, A. (2016). An analysis of DEMATEL approaches for criteria interaction handling within ANP. Expert Systems with Applications, 46, 346–366. https://doi.org/10.1016/j.eswa.2015.10.041
Karakosta, C., Mylona, Z., Karásek, J., Papapostolou, A., & Geiseler, E. (2021). Tackling covid-19 crisis through energy efficiency investments: Decision support tools for economic recovery. Energy Strategy Reviews, 38(October). https://doi.org/10.1016/j.esr.2021.100764
Lee, W. S., Huang, A. Y., Chang, Y. Y., & Cheng, C. M. (2011). Analysis of decision making factors for equity investment by DEMATEL and Analytic Network Process. Expert Systems with Applications, 38(7), 8375–8383. https://doi.org/10.1016/j.eswa.2011.01.027
Li, C., Su, Z. W., Yaqoob, T., & Sajid, Y. (2021). COVID-19 and currency market: a comparative analysis of exchange rate movement in China and USA during pandemic. Economic Research-Ekonomska Istrazivanja , 0(0), 1–16. https://doi.org/10.1080/1331677X.2021.1959368
Li, Z., Li, X., Hui, Y., & Wong, W. K. (2018). Maslow portfolio selection for individuals with low financial sustainability. Sustainability (Switzerland), 10(4), 1–11. https://doi.org/10.3390/su10041128
Lv, L., Zhang, B., Peng, J., & Ralescu, D. A. (2020). Uncertain Portfolio Selection with Borrowing Constraint and Background. Mathematical Problems in Engineering, 2020.
Mansour, N., Cherif, M. S., & Abdelfattah, W. (2019). Multi-objective imprecise programming for financial portfolio selection with fuzzy returns. Expert Systems with Applications, 138, 112810. https://doi.org/10.1016/j.eswa.2019.07.027
Masmoudi, M., & Abdelaziz, F. Ben. (2018). Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models. Annals of Operations Research, 267(1–2), 335–352. https://doi.org/10.1007/s10479-017-2466-7
Otoritas Jasa Keuangan. (2021). Market Update Pasar modal Syariah Indonesia. Market Update Pasar Modal Syariah Indonesia, 6(4), 14.
Peykani, P., Mohammadi, E., Jabbarzadeh, A., Rostamy-Malkhalifeh, M., & Pishvaee, M. S. (2020). A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange. PLoS ONE (Vol. 15). https://doi.org/10.1371/journal.pone.0239810
Tohidi, A., Ghorbani, M., Karbasi, A. R., Asgharpourmasouleh, A., & Hassani-Mahmooei, B. (2020). Comparison of Fuzzy Multi-Criteria Decision-Making Methods to Rank Business Strategies and Marketing Resources. Agris On-Line Papers in Economics and Informatics, 12(3), 101–114. https://doi.org/10.7160/AOL.2020.120309
Xidonas, P., Steuer, R., & Hassapis, C. (2020). Robust portfolio optimization: a categorized bibliographic review. Annals of Operations Research, 292(1), 533–552. https://doi.org/10.1007/s10479-020-03630-8
Yoshino, N., Taghizadeh-Hesary, F., & Otsuka, M. (2021). Covid-19 and Optimal Portfolio Selection for Investment in Sustainable Development Goals. Finance Research Letters, 38(January), 101695. https://doi.org/10.1016/j.frl.2020.101695
Copyright (c) 2022 Muhammad Abdul Ghoni, Rahma Mutiara
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
El-Barka: Journal of Islamic Economics and Business allow the author(s) to hold the copyright without restrictions and allow the author(s) to retain publishing rights without restrictions, also the owner of the commercial rights to the article is the author.
