e-ISSN 2518-1181
DOI 10.33146/2518-1181
Online Media ID R40-06293
← Back Published: 30.03.2026

Analysis of Big Trader Positions, Firm Profitability, Price Volatility and Their Impact on Sharia Stock Market Prices (A Study of the Jakarta Islamic Index on the Indonesia Stock Exchange)

Authors

Teguh Wijayanto Universitas Islam Negeri Sayyid Ali Rahmatullah Tulungagung, Indonesia ORCID 0009-0009-3265-9065
Triyonowati Triyonowati Indonesia School of Economic Surabaya (STIESIA), Indonesia ORCID 0000-0002-3688-7171
Ikhsan Budi Riharjo Indonesia School of Economic Surabaya (STIESIA), Indonesia ORCID 0009-0001-2161-5595

DOI:

https://doi.org/10.33146/2518-1181-2026-1(111)-83-93

Abstract

An intriguing anomaly emerged in the Indonesian market between 2021 and 2023. While the broader Indonesia Sharia Stock Index (ISSI) exhibited a general upward trend (bullish), the Jakarta Islamic Index (JII), which tracks the 30 largest and most liquid Sharia stocks, experienced a persistent decline (bearish). This divergence is a novel phenomenon, as both indices had moved in a coherent manner in the preceding five-year period (2015–2020). This anomaly challenges the Efficient Market Hypothesis (EMH), which posits that stock prices reflect all available information and that such sustained divergence should not occur in an efficient market. This study analyzes the influence of big trader positions, firm profitability, and price volatility on the market price of Sharia stocks, focusing on the Jakarta Islamic Index (JII) in the Indonesia Stock Exchange from 2021 to 2023. The anomaly of JII's declining (bearish) trend amid the rising (bullish) trend of the Indonesia Sharia Stock Index (ISSI) forms the research background. The research objective is to empirically test the direct effects of big trader positions on firm profitability, price volatility, and sharia stock prices, as well as the mediating roles of profitability and price volatility in these relationships. A quantitative approach using quarterly panel data from 18 consistently listed JII stocks was employed. Data analysis was conducted using SEM-PLS. Key findings show that big traders’ positions do not significantly affect profitability or move JII prices, even as JII prices declined during net buying. However, big traders significantly reduce volatility, acting as market stabilizers. Profitability strongly and positively influences JII prices, while low volatility is linked to price declines. Profitability does not mediate the impact of big traders, but volatility does: net buying lowers volatility, which subsequently reduces JII prices. The study offers theoretical contributions to market microstructure and signaling theories, as well as practical insights for investors and regulators in Islamic capital markets.

Keywords

big traders, profitability, price volatility, sharia stocks, Jakarta Islamic Index
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