Perbandingan Return dan Volatilitas Saham Bank Konvensional dan Syariah di Indonesia dengan Model GARCH(1,1)

Romaito Br Silalahi; Nico Berlinson Fernando; Diah Ayu  Saptyaningtyas; Nikmatul Ajizah  Ambao

doi:10.29303/griya.v6i2.1078

Romaito Br Silalahi Universitas Nusa Cendana
Nico Berlinson Fernando Peneliti Independen
Diah Ayu Saptyaningtyas Universitas Nusa Cendana
Nikmatul Ajizah Ambao Universitas Nusa Cendana

DOI: https://doi.org/10.29303/griya.v6i2.1078

Keywords: stock return, volatility, GARCH(1,1), conventional bank, Islamic bank

Abstract

This study compares the return and volatility of conventional bank stocks (equal-weighted portfolio: BBCA, BBNI, BBRI, BBTN, BMRI, ARTO) and Islamic bank stock (BRIS) listed on the Indonesia Stock Exchange over the period 2022–2026 using the GARCH(1,1) model. BRIS outperforms in terms of return (+0.0226%/day; cumulative +21.58%) but exhibits higher volatility (2.5102% vs. 1.5527%) and greater shock sensitivity (α = 0.1840 vs. 0.0682). Conventional banks show stronger volatility persistence (α + β = 0.9779; half-life 7.32 days) compared to BRIS (α + β = 0.9029; half-life 2.10 days). Both segments exhibit fundamentally different risk-return profiles, while their moderate correlation (ρ = 0.4488) suggests meaningful portfolio diversification opportunities.

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