Sains Malaysiana 52(6)(2023): 1865-1877

http://doi.org/10.17576/jsm-2023-5206-21

Pemeringkatan Saham Patuh Syariah Menggunakan Pembuatan Keputusan Berbilang-Kriterium: TOPSIS dan GRA

(Ranking of Shariah-Compliant Stocks using Multi-Criterium Decision Making: TOPSIS and GRA)

FARAH AZALINEY BINTI MOHD AMIN^1,2,* & SAIFUL HAFIZAH BINTI JAAMAN²

¹Pengajian Sains Matematik, Kolej Pengajian Pengkomputeran, Informatik dan Metamatik, Universiti Teknologi MARA (UiTM) Cawangan Negeri Sembilan, Kampus Seremban, 70300 Seremban, Negeri Sembilan, Malaysia

²Jabatan Sains Matematik, Fakulti Sains dan Teknologi, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia

Diserahkan: 25 November 2022/Diterima: 18 Mei 2023

Abstrak

Peningkatan bilangan saham patuh Syariah yang didagangkan di Bursa Malaysia menjadikan proses pemilihan pelaburan semakin penting dan mencabar. Oleh itu, pelabur memerlukan suatu mekanisme bersifat kuantitatif dan bukan hanya berdasarkan penilaian kualitatif atau intuitif semata-mata. Dalam kajian ini, prestasi saham 10 syarikat patuh Syariah yang disenaraikan oleh Suruhanjaya Sekuriti Malaysia (SCM) dianalisis menggunakan nisbah kewangan utama syarikat iaitu pelaburan, keberuntungan, kecairan, keumpilan dan kecekapan. Fokus kajian adalah untuk memeringkatkan prestasi saham dari 2017 sehingga 2021 menggunakan dua kaedah iaitu Teknik Keutamaan Tertib Mengikut Persamaan dengan Penyelesaian Ideal (TOPSIS) dan Analisis Hubungan Kelabu (GRA). Keputusan kajian menunjukkan konsistensi pemeringkatan saham antara kedua-dua kaedah, terutama dalam memilih dua kedudukan teratas iaitu NESTLE dan PETGAS serta tiga saham kedudukan terbawah iaitu MISC, PMETAL dan AXIATA. Keputusan ini menunjukkan bahawa GRA merupakan kaedah alternatif yang setanding dengan TOPSIS dan mampu membantu para pelabur untuk mengenal pasti saham patuh Syariah terbaik.

Kata kunci: GRA; pembuatan keputusan berbilang-kriterium; pemeringkatan; TOPSIS; saham

Abstract

The increasing number of Shariah-compliant stocks traded in Bursa Malaysia makes the selection process for investment more crucial and challenging. Thus, investors need a quantitative mechanism that is not just based on qualitative or intuitive evaluation. In this study, the stock performance of 10 Shariah-compliant companies listed by the Securities Commission of Malaysia (SCM) is investigated according to the company's key financial ratios such as investment, profitability, liquidity, leverage, and efficiency. The focus of this study was to rank the stock’s performance from 2017 until 2021 based on two methods namely Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) and Grey Relational Analysis (GRA). Results of this study show consistency between the two methods, especially in selecting the top two performing stocks which are NESTLE and PETGAS and the bottom three stocks consisting of MISC, PMETAL, and AXIATA. This finding indicates that GRA is an alternative method comparable to TOPSIS and able to assist investors to identify the best Shariah-compliant stocks.

Keywords: GRA; multi-criteria decision making; ranking; TOPSIS; stocks

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*Pengarang untuk surat-menyurat; email: farah525@uitm.edu.my