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Abstract

The aim of this research is based on the potential and development of sharia investment products on the Indonesia Stock Exchange, namely the Sharia Exchange Traded Fund in recent years. Sharia ETFs are mutual funds that can be traded on the capital market like shares whose performance adheres to a sharia reference index. Having a hybrid composition that combines the performance of mutual funds and the practicality of shares, makes Sharia ETFs have a special attraction for investors. This research tries to examine the determining factors of fund performance traded on the Islamic exchange which include tracking error, trading volume, index volatility with fund size (AUM) as a moderating variable. Ordinary Least Square (OLS) analysis and moderation analysis (MRA) are used to answer the problem formulation using the Common Effect Model (CEM) approach. The research results show that in the multiple regression results, tracking error and index volatility have a significant negative effect on the performance of sharia ETFs, while trading volume does not have a significant effect on the performance of sharia ETFs. Furthermore, in the moderation analysis, the statistical results concluded that fund size was not able to moderate the relationship between tracking error and Sharia ETF performance, but fund size was able to moderate it in the direction of strengthening the relationship between traded volume and Sharia ETF. performance, but weakens the relationship between index volatility and Sharia ETF performance.

Bahasa Abstract

Tujuan penelitian ini didasarkan pada potensi dan perkembangan produk investasi syariah di Bursa Efek Indonesia yaitu Exchange Traded Fund Syariah dalam beberapa tahun terakhir. ETF syariah merupakan reksa dana yang dapat diperdagangkan di pasar modal seperti saham yang kinerjanya menganut indeks acuan syariah. Memiliki komposisi hybrid yang memadukan kinerja reksa dana dan kepraktisan saham, menjadikan ETF Syariah memiliki daya tarik tersendiri bagi investor. Penelitian ini mencoba untuk menguji faktor-faktor penentu kinerja dana yang diperdagangkan di bursa syariah yang meliputi tracking error, volume perdagangan, volatilitas indeks dengan fund size (AUM) sebagai variabel moderasi. Analisis Ordinary Least Square (OLS) dan analisis moderasi (MRA) digunakan untuk menjawab rumusan masalah dengan menggunakan pendekatan Common Effect Model (CEM). Hasil penelitian menunjukkan bahwa pada hasil regresi berganda, tracking error dan volatilitas indeks berpengaruh negatif signifikan terhadap kinerja ETF syariah, sedangkan volume perdagangan tidak berpengaruh signifikan terhadap kinerja ETF syariah. Selanjutnya pada analisis moderasi, hasil statistik menyimpulkan bahwa fund size tidak mampu memoderasi hubungan antara tracking error dengan kinerja ETF Syariah, namun fund size mampu memoderasi ke arah memperkuat hubungan antara traded volume dan ETF Syariah. kinerja, namun melemahkan hubungan antara volatilitas indeks dan kinerja ETF Syariah.

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