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 Metametik, 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

Received: 25 November 2022/Accepted: 18 May 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

REFERENCES

Abdel-Basset, M., Mohamed, R., Elhoseny, M., Abouhawash, M., Nam, Y. & Abdelaziz, N.M. 2021. Efficient MCDM model for evaluating the performance of commercial banks: A case study. Computers, Materials and Continua 67(3): 2729-2746.

Akyüz, G., Tosun, Ö. & Aka, S. 2020. Performance evaluation of non-life insurance companies with best-worst method and topsis. International Journal of Management Economics and Business 16(1): 108-125.

Alam, M.M., Akbar, C.S., Shahriar, S.M. & Elahi, M.M. 2017. The Islamic shariah principles for investment in stock market. Qualitative Research in Financial Markets 9(2): 132-146.

Almeida-Filho, A.T. de, de Lima Silva, D.F. & Ferreira, L. 2021. Financial modelling with multiple criteria decision making: A systematic literature review. Journal of the Operational Research Society 72(10): 2161-2179.

Amini, A., Rahnama, G. & Alinezhad, A. 2018. Ranking and managing stock in the stock market using fundamental and technical analyses. Journal of International Economics and Management Studies 3(1): 89-100.

Aouni, B., Doumpos, M., Pérez-Gladish, B. & Steuer, R.E. 2018. On the increasing importance of multiple criteria decision aid methods for portfolio selection. Journal of the Operational Research Society 69(10): 1525-1542.

Aras, G., Tezcan, N. & Kutlu Furtuna, O. 2018. Comprehensive evaluation of the financial performance for intermediary institutions based on multi-criteria decision making method. Journal of Capital Markets Studies 2(1): 37-49.

Basit, A., Niazi, A.A.K., Qazi, T.F. & Imtiaz, S. ukh. 2019. Evaluation and ranking of Pakistani islamic banks: Using CAMELS model with GRA. COMSATS Journal of Islamic Finance 4(2): 54-80.

Bayramoglu, M.F. & Hamzacebi, C. 2016. Stock selection based on fundamental analysis approach by grey relational analysis: A case of Turkey. International Journal of Economics and Finance 8(7): 178.

Beshkooh, M. & Afshari, M.A. 2012. Selection of the optimal portfolio investment in stock market with a hybrid approach of hierarchical analysis (AHP) and grey theory analysis (GRA). Journal of Basic and Applied Scientific Research 2(11): 11218-11225.

Cam, A.V., Cam, H. & Ulutas, S. 2015. The role of topsis method on determining the financial performance ranking of firms: An application in the Borsa Istanbul. International Journal of Economics and Research 6(3): 29-38.

Cuong, D.X., Hien, H.T. & Long, T. 2018. Multi-criteria decision-making model evaluating the performance of Vietnamese commercial banks. International Journal of Financial Research 9(1): 132-141.

Dong, W., Liu, S. & Fang, Z. 2018. On modeling mechanisms and applicable ranges of grey incidence analysis models. Grey Systems: Theory and Application 8(4): 448-461.

Erdemir, Ö.K. & Kırkağaç, M. 2022. A comparative study on performance of insurance companies with grey relational analysis and analytic hierarchy process. Alanya Akademik Bakış 6(3): 2627-2645.

Ersoy, N. 2017. Performance measurement in retail industry by using a multi-criteria decision making methods. Ege Akademik Bakis (Ege Academic Review) 17(4): 539-551.

Fauzi, N.A.M., Ismail, M., Jaaman, S.H. & Kamaruddin, S.N.D.M. 2019. Applicability of TOPSIS Model and Markowitz Model. Journal of Physics: Conference Series 1212(1): 012032.

Fikri, M., Yusoff, W.M.W. & Salleh, A. 2019. Penilaian prestasi kewangan melalui analisis nisbah. Journal of Social Sciences and Humanities 4(1): 95-104.

Gupta, S., Mathew, M., Gupta, S. & Dawar, V. 2021. Benchmarking the private sector banks in India using MCDM approach. Journal of Public Affairs 21(2): 1-15.

Hoe, L.W., Siew, L.W., Fai, L.K., Xin, A.L.J. & Fun, L.P. 2020. An empirical evaluation on the performance of food service industry in Malaysia with TOPSIS model. Journal of Physics: Conference Series 1706(1): 012172.

Hongyi, L., Zhang, C. & Di, Z. 2010. Stock investment value analysis model based on AHP and gray relational degree. Management Science and Engineering 4(4): 1-6.

Huang, K.Y., Jane, C.J. & Chang, C. 2011. An enhanced approach to optimizing the stock portfolio selection based on modified Markowitz MV method. Journal of Convergence Information Technology 6(2): 226-239.

Hwang, C. & Yoon, K. 1981. Multiple Attribute Decision Making Methods and Applications: A State of the Art Survey. New York: Springer-Verlag.

Jemain, A.A. 2004. Penentuan wajaran dalam pembinaan indeks pelbagai kriteria. Matematika 20(1): 77-85.

Kasim, M.M. & Jemain, A.A. 2012. Penglibatan panel penilai dalam mengagregat nilai subjektif asas pangkat bagi menyelesaikan masalah berbilang kriteria. Sains Malaysiana 41(3): 353-360.

Kaya, E.O. 2016. Financial performance assessment of non-life insurance companies traded in Borsa Istanbul via grey relational analysis. International Journal of Economics and Finance 8(4): 277.

Kurniati, S. 2019. Stock returns and financial performance as mediation variables in the influence of good corporate governance on corporate value. Corporate Governance: The International Journal of Business in Society 19(6): 1289-1309.

Lam, W.S., Lam, W.H., Jaaman, S.H. & Liew, K.F. 2021. Performance evaluation of construction companies using integrated Entropy–Fuzzy VIKOR model. Entropy 23(3): 320.

Lam, W.S., Liew, K.F. & Lam, W.H. 2019. Investigation on the performance of construction companies in Malaysia with Entropy-TOPSIS model. IOP Conference Series: Earth and Environmental Science 385(1): 012006.

Liu, S., Sheng, K. & Forrest, J. 2012. On uncertain systems and uncertain models. Kybernetes 41(5/6): 548-558.

Liu, S., Yang, Y., Cao, Y. & Xie, N. 2013. A summary on the research of GRA models. Grey Systems: Theory and Application 3(1): 7-15.

Mahmoudi, A. & Javed, S.A. 2019. Grey multiple criteria decision making methods : A literature review. ICSES Transaction on Neural and Fuzzy Computing 2(2): 1-13.

Mahmoudi, A., Javed, S.A., Liu, S. & Deng, X. 2020. Distinguishing coefficient driven sensitivity analysis of GRA model for intelligent decisions: Application in project management. Technological and Economic Development of Economy 26(3): 621-641.

Musa, G.I., Bahari, Z. & Aziz, A.H.A. 2020. The impact of Islamic capital market on Malaysian real economy. Jurnal Ekonomi Malaysia 54(2): 91-103.

Nguyen, P-H., Tsai, J-F., Nguyen, V-T., Vu, D-D. & Dao, T-K. 2020. A decision support model for financial performance evaluation of listed companies in the Vietnamese retailing industry. The Journal of Asian Finance, Economics and Business 7(12): 1005-1015.

Othman, N. & Mat Nor, F. 2021. Konsep kewangan islam dalam pembangunan ekonomi Malaysia semasa pandemik COVID-19. Jurnal Pengajian Islam 14(I): 176-193.

Peng, A. & Wang, Z. 2011. GRA-based TOPSIS decision-making approach to supplier selection with interval number. IEEE 2011 Chinese Control and Decision Conference (CCDC). hlm. 1742-1747.

Rahim, Z.H.A., Fahami, N.A., Azhar, F.W., Karim, H.A. & Rahim, S.K.N.A. 2020. Application of TOPSIS analysis method in financial performance evaluation: A case study of construction sector in Malaysia. Advances in Business Research International Journal 6(1): 11-19.

Raju, V.V. & Rao, V.K. 2019. Financial performance ranking of nationalized banks through integrated AHM-GRA-DEA method. International Journal of Management 10(3): 15-35.

Raza, M.W. 2021. Does the choice of stock selection criteria affect the performance of Sharīʿah-compliant equity portfolios? ISRA International Journal of Islamic Finance 13(2): 264-280.

Sama, H.R., Kosuri, S.V.K. & Kalvakolanu, S. 2020. Evaluating and ranking the Indian private sector banks - A multi‐criteria decision‐making approach. Journal of Public Affairs 22(2): 1-16.

Sarıçam, C. & Yilmaz, S.M. 2022. An integrated framework for supplier selection and performance evaluation for apparel retail industry. Textile Research Journal 92(17-18): 2947-2965.

Securities Commission Malaysia. 2021. Annual Report 2020. Kuala Lumpur: Securities Commission Malaysia

Shin, L.L.E.E. & Majid, N. 2014. Pemeringkatan keutamaan syarikat insurans dengan pembuatan keputusan multi-kriterium. Journal of Quality Measurement and Analysis 10(2): 33-40.

Siew, L.W., Din, M.A., Hoe, L.W., Xin, A.L.J. & Yi, C.Q. 2020. Performance evaluation of consumer products and services companies in Malaysia with TOPSIS model. Proceedings of Science and Mathematics 1: 12-17.

Škrinjarić, T. 2020. Dynamic portfolio optimization based on grey relational analysis approach. Expert Systems with Applications 147: 1-15.

Škrinjarić, T. & Šego, B. 2018. Using grey incidence analysis approach in portfolio selection. International Journal of Financial Studies 7(1): 1.

Stanujkić, D., Đorđević, B. & Đorđević, M. 2013. Comparative analysis of some prominent MCDM methods: A case of ranking Serbian banks. Serbian Journal of Management 8(2): 213-241.

Sun, Y. & Cai, Y. 2021. A flexible decision-making method for green supplier selection integrating TOPSIS and GRA under the single-valued neutrosophic environment. IEEE Access 9: 83025-83040.

Suvvari, A., RajaSethuDurai, S. & Goyari, P. 2019. Financial performance assessment using grey relational analysis (GRA). Grey Systems: Theory and Application 9(4): 502-516.

Tsolas, I.E. 2019. Utility exchange traded fund performance evaluation. A comparative approach using grey relational analysis and data envelopment analysis modelling. International Journal of Financial Studies 7(4): 67.

Wen, K. & You, M. 2018. The cardinal TOPSIS via grey relational grade. The Second International Conference on Materials Chemistry and Environmental Protection. SCITEPRESS - Science and Technology Publications. hlm. 293-296.

Yuan, X. & Zhang, Q. 2017. The applied research of grey relational analysis based on entropy weight. IEEE International Conference on Grey Systems and Intelligent Services (GSIS). hlm. 111-117.

Zopounidis, C., Galariotis, E., Doumpos, M., Sarri, S. & Andriosopoulos, K. 2015. Multiple criteria decision aiding for finance: An updated bibliographic survey. European Journal of Operational Research 247(2): 339-348.

*Corresponding author; email: farah525@uitm.edu.my