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As far it goes, risk measurement relies on standard deviation. It calculates how the current event diverse from its usual occurrences. This calculation method provides measurement that emphasizes how far the event happened based on its usual occurrence. Another measurement, however, called Value at Risk, comprise of several iteration to observe how likely the same event occurs that identified provide a better formulae to measure market risk. Thus, this research conducts the measurement of market risk based on Value at Risk with Monte Carlo Simulation. The research result there is no significantly different of market risk between indexes in which are Sharia and Non Sharia in Indonesian Stock Exchange. As also, this research result emphasizes that a decision to invest in Sharia and Non Sharia Capital Market depends on basic philosophy of investment, which is in this case, to conduct a comprehensive life of individual religion. In conclusion, this research predict possibility of market risk based on its daily trading stock market price, and calculate how likely it occurs in a thousand iteration. Based on the result that varies between several events of risk and return, as there is no difference between Sharia and Non Sharia, therefore the investment pattern will solely goes to preference of each individual based on their investment behaviour.   Keywords: Investment, Market Risk, Monte Carlo Simulation, Sharia, Value at risk

Value at Risk as a Measurement of Market Risk in Emerging Sharia Market: A Comparative Study Between Indexes in Indonesian Stock Exchange