How to cite this paper
Purnomo, D., Wahyudi, S & Muharam, H. (2024). Balancing risk and return: A case study of Ichimoku trading in the Indonesian Sharia Stock Market.Accounting, 10(3), 155-166.
Refrences
Ahmad, A. A., & Halim, M. A. A. (2014). The concept of hedging in islamic financial transactions. Asian Social Science, 10(8), 42–49. https://doi.org/10.5539/ass.v10n8p42
Alhashel, B. S., Almudhaf, F. W., & Hansz, J. A. (2018). Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets. Pacific-Basin Finance Journal. https://www.sciencedirect.com/science/article/pii/S0927538X17303190
Almeida, L., & Vieira, E. (2023). Technical Analysis, Fundamental Analysis, and Ichimoku Dynamics: A Bibliometric Analysis. Risks, 11(8). https://doi.org/10.3390/risks11080142
Almudhaf, F. (2018). Bubbles in US hotel/lodging real estate investment trusts. Journal of Property Investment &Finance. https://doi.org/10.1108/JPIF-03-2017-0025
Ambrose, A. A., Hartini, A., Asuhaimi, A., & Fadhilah. (2021). Cash waqf risk management and perpetuity restriction conundrum. ISRA International Journal of Islamic Finance, 13(2), 162–176. https://doi.org/10.1108/IJIF-12-2019-0187
Asutay, M., Wang, Y., & Avdukic, A. (2022). Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis. Asia-Pacific Financial Markets, 29(2), 327–355. https://doi.org/10.1007/s10690-021-09351-7
Bossman, A., Gubareva, M., & Teplova, T. (2023). Hedge and safe-haven attributes of faith-based stocks vis-à-vis cryptocurrency environmental attention: a multi-scale quantile regression analysis. Applied Economics, 00(00), 1–24. https://doi.org/10.1080/00036846.2023.2208336
Chazi, A., Samet, A., & Azad, A. S. M. S. (2023). Volatility and correlation of Islamic and conventional indices during crises. Global Finance Journal, 55(April 2022), 100800. https://doi.org/10.1016/j.gfj.2022.100800
Che-Ngoc, H., Do-Thi, N., & Nguyen-Trang, T. (2023). Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak. Computational Economics, 62(4), 1781–1799. https://doi.org/10.1007/s10614-022-10319-6
Deng, S., & Sakurai, A. (2014). Short-Term Foreign Exchange Rate Trading Based on the Support/Resistance Level of Ichimoku Kinkohyo. Information Science, Electronics and Electrical Engineering (ISEEE), 1, 337–340. https://doi.org/10.1109/InfoSEEE.2014.6948127
Deng, S., Xiao, C., Zhu, Y., Peng, J., Li, J., & Liu, Z. (2023). High-frequency direction forecasting and simulation trading of the crude oil futures using Ichimoku KinkoHyo and Fuzzy Rough Set. Expert Systems with Applications, 215. https://doi.org/10.1016/j.eswa.2022.119326
Deng, S., Yu, H., Wei, C., Yang, T., & Tatsuro, S. (2021). The profitability of Ichimoku Kinkohyo based trading rules in stock markets and FX markets. International Journal of Finance and Economics, 26(4), 5321–5336. https://doi.org/10.1002/ijfe.2067
Elhoudaiby, I. (2022). The Birth of the Islamic Investor. Islamic Law and Society, 29(3), 280–318. https://doi.org/10.1163/15685195-bja10022
Elliott, A. C., & Hynan, L. S. (2011). A SAS® macro implementation of a multiple comparison post hoc test for a Kruskal-Wallis analysis. Computer Methods and Programs in Biomedicine, 102(1), 75–80. https://doi.org/10.1016/j.cmpb.2010.11.002
Fafuła, A., & Drelczuk, K. (2015). Buying stock market winners on Warsaw stock exchange - Quantitative backtests of a short term trend following strategy. Proceedings of the 2015 Federated Conference on Computer Science and Information Systems, FedCSIS 2015, 5, 1361–1366. https://doi.org/10.15439/2015F338
Ghaemi Asl, M., Rashidi, M. M., Tavakkoli, H. R., & Rezgui, H. (2024). Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio. The Quarterly Review of Economics and Finance, 94, 37–57. https://doi.org/10.1016/j.qref.2023.12.010
Gurrib, I., Elsharief, E., & Kamalov, F. (2020). The effect of energy cryptos on efficient portfolios of key energy listed companies in the S&P composite 1500 energy index. International Journal of Energy Economics and Policy, 10(2), 179–193. https://doi.org/10.32479/ijeep.8676
Gurrib, I., Kamalov, F., & Elshareif, E. (2021). Can the leading us energy stock prices be predicted using the ichimoku cloud? International Journal of Energy Economics and Policy, 11(1), 41–51. https://doi.org/10.32479/ijeep.10260
Hanif, M. (2019). Sharīʿah Screening Process of Capital Markets: An Evaluation of Methodologies Muhammad. Journal of King Abdulaziz University Islamic Economics, 32(1), 23–42. https://doi.org/10.4197/Islec.32-1.2
Hashim, F., Mahadi, N. D., & Amran, A. (2015). Corporate Governance and Sustainability Practices in Islamic Financial Institutions: The Role of Country of Origin. Procedia Economics and Finance, 31(15), 36–43. https://doi.org/10.1016/S2212-5671(15)01129-6
Joharsoyo, Y. M. (2024). Bursa Efek Targetkan Jumlah Investor Syariah Tembus 1 Juta pada 2024. Tempo.Co. https://bisnis.tempo.co/read/1819099/bursa-efek-targetkan-jumlah-investor-syariah-tembus-1-juta-pada-2024
Kamarudin, F., Sufian, F., Loong, F. W., & Anwar, N. A. M. (2017). Assessing the domestic and foreign Islamic banks efficiency: Insights from selected Southeast Asian countries. Future Business Journal, 3(1), 33–46. https://doi.org/10.1016/j.fbj.2017.01.005
Khan, A. Z., & Mehlawat, M. K. (2022). Dynamic portfolio optimization using technical analysis‐based clustering. International Journal of Intelligent Systems, 37(10), 6978–7057. https://doi.org/10.1002/int.22870
Kruskal, W. H., & Wallis, W. A. (1952). Use of Ranks in One-Criterion Variance Analysis. In Source: Journal of the American Statistical Association (Vol. 47, Issue 260).
Lutey, M., & Rayome, D. (2022). Ichimoku Cloud Forecasting Returns in the U.S. Global Business and Finance Review, 27(5), 17–26. https://doi.org/10.17549/gbfr.2022.27.5.17
Lutey, M., Rayome, D., Luttey, M., & Rayome, D. (2020). A Primer on the Ichimoku Cloud Indicator. Journal of Marketing Development and Competitiveness, 14(3), 10–20. https://doi.org/10.33423/jmdc.v14i3.3058
Ma, T., Fraser-Mackenzie, P. A. F. F., Sung, M., Kansara, A. P., & Johnson, J. E. V. V. (2022). Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate. European Journal of Operational Research, 299(1), 330–345. https://doi.org/10.1016/j.ejor.2021.08.050
Metghalchi, M., Durmaz, N., Cloninger, P., & Farahbod, K. (2021). Trading rules and excess returns: evidence from Turkey. International Journal of Islamic and Middle Eastern Finance and Management, 14(4), 713–731. https://doi.org/10.1108/IMEFM-01-2020-0043
Mohd Noor, N. S., Ismail, A. G., & Muhammad, M. H. (2018). Shariah Risk: Its Origin, Definition, and Application in Islamic Finance. SAGE Open, 8(2). https://doi.org/10.1177/2158244018770237
Narayan, P. K., Narayan, S., Bach Phan, D. H., Sivananthan Thuraisamy, K., & Tran, V. T. (2017). Credit quality implied momentum profits for Islamic stocks. Pacific Basin Finance Journal, 42, 11–23. https://doi.org/10.1016/j.pacfin.2015.11.004
Narayan, P. K., Phan, D. H. B., Liu, G., & Ibrahim, M. (2021). Ethical investing and capital structure. Emerging Markets Review, 47(November 2020), 100774. https://doi.org/10.1016/j.ememar.2020.100774
Razak, L. A., & Saupi, M. N. (2017). The concept and application of ḍamān al-milkiyyah (ownership risk): Islamic law of contract perspective. ISRA International Journal of Islamic Finance, 9(2), 148–163. https://doi.org/10.1108/IJIF-06-2017-0002
Smolo, E., Jahangir, R., Nagayev, R., & Aysan, A. F. (2023). Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic. Heliyon, 9(1), e12870. https://doi.org/10.1016/j.heliyon.2023.e12870
Tee, L. T., Kew, S. R., & Low, S. W. (2019). Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? Economic Annals, 64(221), 107–129. https://doi.org/10.2298/EKA1921107T
Waemustafa, W., & Sukri, S. (2016). Theory of gharar and its interpretation of risk and uncertainty from the perspectives of authentic hadith and the holy quran: A qualitative analysis. International Journal of Economic Perspectives, 10(2), 21–33.
Mann-Whitney U test and Kruskal-Wallis test should be used for comparisons of differences in medians, not means: Comment on the article by van der Helm-van Mil et al, 60 Arthritis and Rheumatism 1565 (2009). https://doi.org/10.1002/art.24497
Alhashel, B. S., Almudhaf, F. W., & Hansz, J. A. (2018). Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets. Pacific-Basin Finance Journal. https://www.sciencedirect.com/science/article/pii/S0927538X17303190
Almeida, L., & Vieira, E. (2023). Technical Analysis, Fundamental Analysis, and Ichimoku Dynamics: A Bibliometric Analysis. Risks, 11(8). https://doi.org/10.3390/risks11080142
Almudhaf, F. (2018). Bubbles in US hotel/lodging real estate investment trusts. Journal of Property Investment &Finance. https://doi.org/10.1108/JPIF-03-2017-0025
Ambrose, A. A., Hartini, A., Asuhaimi, A., & Fadhilah. (2021). Cash waqf risk management and perpetuity restriction conundrum. ISRA International Journal of Islamic Finance, 13(2), 162–176. https://doi.org/10.1108/IJIF-12-2019-0187
Asutay, M., Wang, Y., & Avdukic, A. (2022). Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis. Asia-Pacific Financial Markets, 29(2), 327–355. https://doi.org/10.1007/s10690-021-09351-7
Bossman, A., Gubareva, M., & Teplova, T. (2023). Hedge and safe-haven attributes of faith-based stocks vis-à-vis cryptocurrency environmental attention: a multi-scale quantile regression analysis. Applied Economics, 00(00), 1–24. https://doi.org/10.1080/00036846.2023.2208336
Chazi, A., Samet, A., & Azad, A. S. M. S. (2023). Volatility and correlation of Islamic and conventional indices during crises. Global Finance Journal, 55(April 2022), 100800. https://doi.org/10.1016/j.gfj.2022.100800
Che-Ngoc, H., Do-Thi, N., & Nguyen-Trang, T. (2023). Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak. Computational Economics, 62(4), 1781–1799. https://doi.org/10.1007/s10614-022-10319-6
Deng, S., & Sakurai, A. (2014). Short-Term Foreign Exchange Rate Trading Based on the Support/Resistance Level of Ichimoku Kinkohyo. Information Science, Electronics and Electrical Engineering (ISEEE), 1, 337–340. https://doi.org/10.1109/InfoSEEE.2014.6948127
Deng, S., Xiao, C., Zhu, Y., Peng, J., Li, J., & Liu, Z. (2023). High-frequency direction forecasting and simulation trading of the crude oil futures using Ichimoku KinkoHyo and Fuzzy Rough Set. Expert Systems with Applications, 215. https://doi.org/10.1016/j.eswa.2022.119326
Deng, S., Yu, H., Wei, C., Yang, T., & Tatsuro, S. (2021). The profitability of Ichimoku Kinkohyo based trading rules in stock markets and FX markets. International Journal of Finance and Economics, 26(4), 5321–5336. https://doi.org/10.1002/ijfe.2067
Elhoudaiby, I. (2022). The Birth of the Islamic Investor. Islamic Law and Society, 29(3), 280–318. https://doi.org/10.1163/15685195-bja10022
Elliott, A. C., & Hynan, L. S. (2011). A SAS® macro implementation of a multiple comparison post hoc test for a Kruskal-Wallis analysis. Computer Methods and Programs in Biomedicine, 102(1), 75–80. https://doi.org/10.1016/j.cmpb.2010.11.002
Fafuła, A., & Drelczuk, K. (2015). Buying stock market winners on Warsaw stock exchange - Quantitative backtests of a short term trend following strategy. Proceedings of the 2015 Federated Conference on Computer Science and Information Systems, FedCSIS 2015, 5, 1361–1366. https://doi.org/10.15439/2015F338
Ghaemi Asl, M., Rashidi, M. M., Tavakkoli, H. R., & Rezgui, H. (2024). Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio. The Quarterly Review of Economics and Finance, 94, 37–57. https://doi.org/10.1016/j.qref.2023.12.010
Gurrib, I., Elsharief, E., & Kamalov, F. (2020). The effect of energy cryptos on efficient portfolios of key energy listed companies in the S&P composite 1500 energy index. International Journal of Energy Economics and Policy, 10(2), 179–193. https://doi.org/10.32479/ijeep.8676
Gurrib, I., Kamalov, F., & Elshareif, E. (2021). Can the leading us energy stock prices be predicted using the ichimoku cloud? International Journal of Energy Economics and Policy, 11(1), 41–51. https://doi.org/10.32479/ijeep.10260
Hanif, M. (2019). Sharīʿah Screening Process of Capital Markets: An Evaluation of Methodologies Muhammad. Journal of King Abdulaziz University Islamic Economics, 32(1), 23–42. https://doi.org/10.4197/Islec.32-1.2
Hashim, F., Mahadi, N. D., & Amran, A. (2015). Corporate Governance and Sustainability Practices in Islamic Financial Institutions: The Role of Country of Origin. Procedia Economics and Finance, 31(15), 36–43. https://doi.org/10.1016/S2212-5671(15)01129-6
Joharsoyo, Y. M. (2024). Bursa Efek Targetkan Jumlah Investor Syariah Tembus 1 Juta pada 2024. Tempo.Co. https://bisnis.tempo.co/read/1819099/bursa-efek-targetkan-jumlah-investor-syariah-tembus-1-juta-pada-2024
Kamarudin, F., Sufian, F., Loong, F. W., & Anwar, N. A. M. (2017). Assessing the domestic and foreign Islamic banks efficiency: Insights from selected Southeast Asian countries. Future Business Journal, 3(1), 33–46. https://doi.org/10.1016/j.fbj.2017.01.005
Khan, A. Z., & Mehlawat, M. K. (2022). Dynamic portfolio optimization using technical analysis‐based clustering. International Journal of Intelligent Systems, 37(10), 6978–7057. https://doi.org/10.1002/int.22870
Kruskal, W. H., & Wallis, W. A. (1952). Use of Ranks in One-Criterion Variance Analysis. In Source: Journal of the American Statistical Association (Vol. 47, Issue 260).
Lutey, M., & Rayome, D. (2022). Ichimoku Cloud Forecasting Returns in the U.S. Global Business and Finance Review, 27(5), 17–26. https://doi.org/10.17549/gbfr.2022.27.5.17
Lutey, M., Rayome, D., Luttey, M., & Rayome, D. (2020). A Primer on the Ichimoku Cloud Indicator. Journal of Marketing Development and Competitiveness, 14(3), 10–20. https://doi.org/10.33423/jmdc.v14i3.3058
Ma, T., Fraser-Mackenzie, P. A. F. F., Sung, M., Kansara, A. P., & Johnson, J. E. V. V. (2022). Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate. European Journal of Operational Research, 299(1), 330–345. https://doi.org/10.1016/j.ejor.2021.08.050
Metghalchi, M., Durmaz, N., Cloninger, P., & Farahbod, K. (2021). Trading rules and excess returns: evidence from Turkey. International Journal of Islamic and Middle Eastern Finance and Management, 14(4), 713–731. https://doi.org/10.1108/IMEFM-01-2020-0043
Mohd Noor, N. S., Ismail, A. G., & Muhammad, M. H. (2018). Shariah Risk: Its Origin, Definition, and Application in Islamic Finance. SAGE Open, 8(2). https://doi.org/10.1177/2158244018770237
Narayan, P. K., Narayan, S., Bach Phan, D. H., Sivananthan Thuraisamy, K., & Tran, V. T. (2017). Credit quality implied momentum profits for Islamic stocks. Pacific Basin Finance Journal, 42, 11–23. https://doi.org/10.1016/j.pacfin.2015.11.004
Narayan, P. K., Phan, D. H. B., Liu, G., & Ibrahim, M. (2021). Ethical investing and capital structure. Emerging Markets Review, 47(November 2020), 100774. https://doi.org/10.1016/j.ememar.2020.100774
Razak, L. A., & Saupi, M. N. (2017). The concept and application of ḍamān al-milkiyyah (ownership risk): Islamic law of contract perspective. ISRA International Journal of Islamic Finance, 9(2), 148–163. https://doi.org/10.1108/IJIF-06-2017-0002
Smolo, E., Jahangir, R., Nagayev, R., & Aysan, A. F. (2023). Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic. Heliyon, 9(1), e12870. https://doi.org/10.1016/j.heliyon.2023.e12870
Tee, L. T., Kew, S. R., & Low, S. W. (2019). Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? Economic Annals, 64(221), 107–129. https://doi.org/10.2298/EKA1921107T
Waemustafa, W., & Sukri, S. (2016). Theory of gharar and its interpretation of risk and uncertainty from the perspectives of authentic hadith and the holy quran: A qualitative analysis. International Journal of Economic Perspectives, 10(2), 21–33.
Mann-Whitney U test and Kruskal-Wallis test should be used for comparisons of differences in medians, not means: Comment on the article by van der Helm-van Mil et al, 60 Arthritis and Rheumatism 1565 (2009). https://doi.org/10.1002/art.24497