Price Index Modeling and Risk Prediction of Sharia Stocks in Indonesia

Hersugondo, Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono; Pamungkas, Imang Dapit

doi:10.3390/economies10010017

Cited by 8 publications

(8 citation statements)

References 26 publications

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“…The Experimental Price Index for Underlying Inflation is a measure of inflation that excludes goods and services with volatile prices, such as food and energy (Abe & Shinozaki, 2018). The Everyday Price Index (EPI) is a measure of inflation that focuses on goods and services that are frequently purchased by consumers (Hersugondo et al, 2022). Sticky Price CPI is a measure of inflation that focuses on goods and services whose prices do not change frequently (Kundu et al, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The chain-weighted CPI may underestimate inflation during periods of significant price change (Genc et al, 2022). The EPI may not capture price changes in goods and services that are excluded from measurement (Hersugondo et al, 2022). The EPI and Sticky Price CPI may not be representative of overall inflation experienced by consumers (Hersugondo et al, 2022;Kundu et al, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The EPI may not capture price changes in goods and services that are excluded from measurement (Hersugondo et al, 2022). The EPI and Sticky Price CPI may not be representative of overall inflation experienced by consumers (Hersugondo et al, 2022;Kundu et al, 2021). Sebestyén & Szabó (2022) suggested the PPI may be subject to biases in consumers' perceptions of price changes.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

A New Method for Calculating Consumer Price Indices: Incorporating Consumer Perceptions and Attitudes with Item Response Theory

Zulkifli¹,

Abidin²,

Deni³

2023

IJAREMS

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This paper presents a conceptual approach to improve consumer price indices (CPI) by incorporating consumers' perceptions and attitudes towards pricing. The proposed approach uses item response theory (IRT) and aims to overcome the limitations of existing CPI methods. The paper provides a comprehensive literature review of existing CPI methods and discusses their potential advantages and limitations. The methodology covers survey design, data collection and data analysis, with a focus on IRT theory and methodology. This approach has the potential to improve the accuracy of CPIs by incorporating consumers' perceptions and attitudes towards pricing. However, the paper also acknowledges potential limitations, including the need for a representative sample and the complexity of the IRT model. Overall, this conceptual paper contributes to the literature on CPIs by proposing a new approach that addresses the limitations of existing methods and has the potential to provide more accurate measures of inflation. The ideas presented in this paper could serve as a basis for future research and inform the development of new CPI methods.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

A New Method for Calculating Consumer Price Indices: Incorporating Consumer Perceptions and Attitudes with Item Response Theory

Zulkifli¹,

Abidin²,

Deni³

2023

IJAREMS

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“…GBM is widely used in financial asset modelling. This model is useful for predicting asset prices based on historical returns (Hersugondo et al, 2022). The GBM model will effectively apply if the company and the market are in stable condition, the stock price of the company considered continuous in time, and the stock return value assumed normally distributed (Maruddani and Trimono, 2017).…”

Section: Geometric Brownian Motion (Gbm) Modelmentioning

confidence: 99%

Implementation of Stochastic Model for Risk Assessment on Indonesian Stock Exchange

Maruddani

Trimono

Mas’ad

2023

Medstat

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Currently, financial assets become an alternative choice for investors in Indonesia to get maximum profits. The Indonesia Stock Exchange is the official capital market in Indonesia which is a place for trading financial assets. Stocks are listed as the most preferred financial asset by investors. In reality, stock investment is not a risk-free investment. The main risk that investors should face is the loss risk. This kind of risk can occur at any time. From that problem, this study aims to do risk assessment on the Indonesian stock market. The evaluation will be started with stock price index prediction using the Stochastic model (Geometric Brownian Motion Model and Jump Diffusion). Then, the result from that processes will be used to get loss risk prediction through the Adjusted Expected Shortfall model. By using the historical price of JKSE index from 01/08/21 to 31/08/22, Jump Diffusion is the best model to predict the JKSE index with MAPE value is 1.08%. Then, at the 95% confidence level and 1-day holding period, the expected loss risk using Adjusted Expected Shortfall model on 09/01/2022 is -0.02978.

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“…The factors of movement of stock prices depend on company specific, economy specific, market specific and investor specific (Ruhani et al , 2018). To gauge the movement in stock prices, Brownian movement model has consistently been used in conventional settings and more recently in Islamic settings (Arshad, 2017; Hersugondo et al , 2022; Omar and Mohd Jaffar, 2011). This is based on the idea that movements of particles in physics and stocks in stock markets are caused by their environments.…”

Section: Introductionmentioning

confidence: 99%

Shariah review of Brownian motion of Islamic stock market elements: establishing the benchmarks of Islamic econophysics

Shah

Fianto

Imtiaz

et al. 2023

JIABR

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Purpose The purpose of this paper is to perform Shariah review of Brownian motion that is used for prediction of Islamic stock prices and their volatility. Design/methodology/approach It uses the Shariah compliant development model guidelines to review the Brownian motion and its applications. Findings The model of Brownian motion does not involve any variable that renders it non-Shariah compliant; neither all applications of Brownian motion are Shariah compliant. Because the model is based on stochastic properties that involve randomness, therefore the issue of gharar takes the utmost important to handle in the applications of the model. The results need to be analyzed strictly in accordance with the Shariah whether they create any element of gharar or uncertainty in case of expected price and volatility estimates. Research limitations/implications The research suffers from the limitation that it analyses only one model of physics, i.e. Brownian motion model from Shariah perspective. Practical implications The research opens an area for Shariah analysis of results generated from the application of advanced models of physics on matters related to Islamic financial markets. Originality/value The originality of this study stems from the fact that to the best of the authors’ knowledge, it is the first study that extends Shariah guidelines into Financial physics for making the foundations of Islamic econophysics.

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Price Index Modeling and Risk Prediction of Sharia Stocks in Indonesia

Cited by 8 publications

References 26 publications

A New Method for Calculating Consumer Price Indices: Incorporating Consumer Perceptions and Attitudes with Item Response Theory

A New Method for Calculating Consumer Price Indices: Incorporating Consumer Perceptions and Attitudes with Item Response Theory

Implementation of Stochastic Model for Risk Assessment on Indonesian Stock Exchange

Shariah review of Brownian motion of Islamic stock market elements: establishing the benchmarks of Islamic econophysics

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