The Impact of the Conversion of Syariah Compliance towards Axis-REIT Stock Return Volatility

The purpose of this study is to analyse the impact of the conversion of Axis-REIT stock to Syariah compliance on its return. Analysis is performed on the speculation risk, return volatility and average return using models specification of AR–GARCH, AR–EGARCH, AR–GARCH–M and AR–EGARCH-M. The result of this study found that there were big changes in the return as a result of the conversion. Positive effect was detected from the result because the speculation risk was not present and indirectly the risk premium from the activity disappeared. The volatility of stock return was lower after the conversion and average return was better even in the presence of the finance crisis in 2008 that affected the world economy.