Analisis Asimetri Kinerja Risiko JII70 dan IDXFINANCE terhadap Indikator Moneter dan Rasio Valuasi Fundamental

Abstract

Penelitian ini menganalisis respons asimetris dan kinerja risiko indeks saham JII70 dan IDXFINANCE terhadap suku bunga, kurs rupiah, jumlah uang beredar, PER, dan PBV periode 2019–2025. Metode yang digunakan adalah Non-linear Autoregressive Distributed Lag (NARDL) serta rasio Sharpe, Sortino, dan Calmar. Hasil bounds test mengonfirmasi kointegrasi jangka panjang pada kedua indeks. Hasil estimasi NARDL menunjukkan respon asimetri, depresiasi kurs menekan kedua indeks, apresiasi kurs hanya memulihkan IDXFINANCE. Kenaikan suku bunga berdampak positif bagi IDXFINANCE, sementara JII70 tidak signifikan secara statistik. Sebaliknya, JII70 sangat sensitif terhadap kontraksi JUB. Evaluasi kinerja risiko multidimensi secara konsisten menunjukkan IDXFINANCE mengungguli JII70 pada seluruh metrik. Implikasinya, penapisan syariah sukses mengisolasi risiko bunga langsung tetapi menimbulkan biaya peluang besar bagi investor saat siklus pengetatan moneter.

This study analyzed the asymmetric responses and risk-adjusted performance of the JII70 and IDXFINANCE to interest rates, exchange rate, and money supply, PER, and PBV for the period 2019–2025. The methods used included the Non-linear Autoregressive Distributed Lag (NARDL) model, as well as the Sharpe, Sortino, and Calmar ratios. The results of the bounds test confirmed long-run cointegration in both indices. The NARDL estimation results showed an asymmetric response; a depreciation of the exchange rate put downward pressure on both indices, while an appreciation of the exchange rate only recovered the IDXFINANCE. An increase in interest rates had a positive impact on the IDXFINANCE, whereas the effect on the JII70 was not statistically significant. Conversely, the JII70 was highly sensitive to a contraction in the money supply. A multidimensional risk performance evaluation consistently showed that the IDXFINANCE outperformed the JII70 across all metrics. The implication was that Sharia screening successfully isolated direct interest rate risk but imposed significant opportunity costs on investors during a monetary tightening cycle.