Comparative Analysis of Performance Indonesia with the Philippines Banking Stock Using the Sharpe, Treynor, and Jensen Index

Authors

  • Arief Rahman  Master of Management, Faculty of Economics and Social Sciences, Bakrie University, Indonesia

DOI:

https://doi.org/10.32628/IJSRST218298

Keywords:

Banking Stocks, LQ 45, PSEi, Sharpe Index, Treynor Index, Jensen Index, T- Test

Abstract

This study aims to analyze the comparison of the performance of banking stocks on the LQ 45 index in Indonesia and the Philippines PSEi during the 2014-2018 period. This type of research is descriptive with a quantitative approach. The research used is to calculate the return and risk of banking stocks. For further analysis, it measures performance based on the Sharpe, Treynor, and Jensen indexes. Comparative testing was performed using the Independent Sample T-Test. Based on the return calculation, Indonesian banking stocks have a significantly greater return than the Philippines. As for the risk, there is no significant difference, but the risk of Indonesian banking stocks is relatively greater. Performance measurement results based on the index of Sharpe, Treynor, and Jensen is the Indonesian banking stocks relative performance is better than the Philippine banking stocks, although there was no significant difference.

References

  1. Akbar, R. J. (2018, July 9). PT. Viva Media Baru. Retrieved from https://www.viva.co.id/berita/bisnis/1052051-saham-bank-bumn-masih-menarik-dikoleksi-ini-penjelasannya/
  2. Sihombing, P. (2018). Corporate Financial Management. Bogor: IPB Press.
  3. Bodie, Zvi, Alex Kane, & Alan J. Marcus. 2018. Investments, 11th ed. Singapore: Irwin/McGraww-Hill.
  4. Jogiyanto. (2003). Teori Portofolio dan Analisis Investasi. BPFE: Yogyakarta.
  5. Reilly, Frank K., and Keith C. Brown. (2003). Investment Analysis and Portofolio Management, 7th ed. Mason: Thomson South-Western
  6. Jones, Charles P. (2004). Investment. New Jersey: John Wiley and Sons (Asia) Pte Ltd.
  7. Darmadji, T., dan Fakhruddin, H. (2006). Pasar Modal di Indonesia: Pendekatan Tanya Jawab. Jakarta: Salemba Empat.
  8. Haugen, Robert. 1990. Modern Investment Theory 2. International Edition. Prentice Hall, Inc.
  9. Jensen, M. 1968. The Performance of mutual funds in the period 1945-1964. Journal of Finance
  10. Sujarweni, V. Wiratna. 2014. Metode Penelitian: Lengkap, Praktis, dan Mudah Dipahami. Yogyakarta: Pustaka Baru Press
  11. Santoso, Singgih. 2007. Statistik Deskriptif: Konsep dan Aplikasi dengan Microsoft Exel dan SPSS. Yogyakarta: ANDI
  12. Elliot, A. C., and Woodward, W. A., 2007. Statistical Analysis Quick  Reference Guidebook With SPSS Examples. London: Sage Publications.

International Journal of Scientific Research in Science and Technology

Downloads

Published

2021-04-30

Issue

Volume 8, Issue 2, March-April-2021

Section

Research Articles

License

Copyright (c) IJSRST

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

[1]
Arief Rahman "Comparative Analysis of Performance Indonesia with the Philippines Banking Stock Using the Sharpe, Treynor, and Jensen Index " International Journal of Scientific Research in Science and Technology(IJSRST), Online ISSN : 2395-602X, Print ISSN : 2395-6011,Volume 8, Issue 2, pp.553-563, March-April-2021. Available at doi : https://doi.org/10.32628/IJSRST218298