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p-Index From 2021 - 2026
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All Journal Journal of Management
Gema Merdeka Goeyardi
Universitas Narotama Surabaya
Economics, Econometrics & Finance

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Comparative Analysis Of Cryptocurrency And Lq45 Stock Portfolio Performance Using Sharpe, Treynor, And Jensen Methods R Lutfi Zakaria; Suharyanto; Gema Merdeka Goeyardi; Made Kamisutara; Rony Wardhana
Journal of Management Vol. 5 No. 2 (2026): July-December
Publisher : Yayasan Pendidikan Belajar Berdikari

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This study compares the risk-adjusted performance of a cryptocurrency portfolio and an LQ45 stock portfolio on the Indonesia Stock Exchange using the Sharpe, Treynor, and Jensen methods. The sample consists of five major cryptocurrencies (Bitcoin, Ethereum, BNB, Solana, and XRP) and ten LQ45 stocks, observed monthly from January 2021 to June 2026 (66 months), with the Jakarta Composite Index (JCI) as the market benchmark and the Bank Indonesia (BI) Rate as the risk-free rate. Equal-weighted portfolios are formed for each asset class, and differences in performance are tested using the Jobson–Korkie test with Memmel’s correction. The results show that the cryptocurrency portfolio delivers a much higher annualized return (44.1% versus 0.8%) and higher Sharpe, Treynor, and Jensen values than the LQ45 portfolio, but at the cost of extreme volatility and a maximum drawdown of 91%. The difference in Sharpe ratios is not statistically significant over the full sample, though it is significant in 2021–2023. Rankings across the three measures are broadly consistent. Adding a small allocation of cryptocurrency (5–10%) to an LQ45 portfolio improves its Sharpe ratio. The findings suggest that cryptocurrency is better viewed as a small satellite allocation than as a substitute for blue-chip stocks.
Cryptocurrency Investment Risk Analysis Using The Value At Risk (Var) Method Galuh Boga Kuswara; Mega Zhafarina Purwono; Gema Merdeka Goeyardi; Achmad Muchayan; I Gede Arimbawa
Journal of Management Vol. 5 No. 2 (2026): July-December
Publisher : Yayasan Pendidikan Belajar Berdikari

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Cryptocurrencies offer high potential returns but expose investors to extreme price fluctuations, making the measurement of downside risk essential. This study analyzes the investment risk of five major cryptocurrencies (Bitcoin, Ethereum, BNB, Solana, and XRP) and an equally weighted portfolio using the Value at Risk (VaR) method. Daily data from 2 January 2020 to 30 June 2026 are used to estimate one day VaR at the 95% and 99% confidence levels with five approaches: historical simulation, the variance covariance (normal) method, the Cornish Fisher modified VaR, Monte Carlo simulation with Student t innovations, and a GARCH(1,1) model with Student t errors. Expected Shortfall is computed as a complementary measure. The accuracy of each approach is evaluated through out of sample backtesting over 1,642 days using the Kupiec unconditional coverage test and the Christoffersen conditional coverage test. The results show that cryptocurrency returns are strongly non normal, with excess kurtosis for all assets. At the 99% level, the one day VaR ranges from 5.87% to 11.93% under historical simulation, implying a potential daily loss of up to Rp11.928.115 on an investment of Rp100 million in Solana. The normal VaR underestimates extreme losses and is rejected at the 99% level for 3 of six series, whereas the GARCH t model passes all backtests at both confidence levels. The portfolio reduces VaR by about 28% compared with the average individual asset. The findings recommend that crypto investors and platforms use fat tailed, volatility sensitive VaR models rather than the normal approach.
Determinants Of Crypto Asset Adoption As A Personal Financial Management Instrument Among Millennial Workers R. Dewi Pertiwi; Riztrya Novedliani; Gema Merdeka Goeyardi; Sengguruh Nilowardono; Reswanda
Journal of Management Vol. 4 No. 2 (2025): July - December
Publisher : Yayasan Pendidikan Belajar Berdikari

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Millennial workers are at the stage of life in which personal financial management decisions, such as saving, investing, and preparing for retirement, become central, and many of them have begun to include crypto assets in their financial plans. This study examines the determinants of crypto asset adoption as a personal financial management instrument among Indonesian millennial workers. Building on the extended Unified Theory of Acceptance and Use of Technology (UTAUT2), the model includes performance expectancy, effort expectancy, social influence, facilitating conditions, financial literacy, perceived risk, and trust as determinants of behavioral intention, which in turn drives actual use. Data from 368 employed millennials aged 30 to 45 were analyzed with validity and reliability tests, path analysis using regression with robust standard errors, bootstrapped mediation analysis, and a comparison between income groups. Performance expectancy is the strongest determinant of intention (β = 0.283), followed by perceived risk, which has a significant negative effect, social influence, financial literacy, and trust, while effort expectancy and facilitating conditions have no significant effect on intention. The model explains 37.8% of the variance in intention. Intention is the main driver of use (β = 0.387), and facilitating conditions and financial literacy also affect use directly. Most effects on use are transmitted through intention. The findings suggest that millennial workers treat crypto as a financial instrument whose expected benefits, risks, and trustworthiness matter more than its ease of use, and that financial literacy encourages rather than discourages informed adoption.
The Impact Of The Transfer Of Crypto Asset Supervision From Bappebti To Ojk On Investor Confidence Deri Apriadi; Asri Sundari; Arasy Alimudin; Gema Merdeka Goeyardi
Journal of Management Vol. 4 No. 2 (2025): July - December
Publisher : Yayasan Pendidikan Belajar Berdikari

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On 10 January 2025, the regulation and supervision of crypto assets in Indonesia were transferred from the Commodity Futures Trading Regulatory Agency (Bappebti) to the Financial Services Authority (OJK), as mandated by Law Number 4 of 2023 and Government Regulation Number 49 of 2024. The transfer reclassified crypto assets from commodities to digital financial assets and placed them under an integrated financial supervisor. This study examines whether the transfer has affected investor confidence and which perceived attributes of the new regime drive that confidence. A survey was administered to 342 Indonesian crypto investors who had been active both before and after the transfer. Confidence under Bappebti was measured retrospectively and compared with current confidence under OJK using paired tests, and current confidence was regressed on perceived legal certainty, investor protection, supervisory effectiveness, and transparency. The results show that mean confidence rose from 3.27 to 3.68 on a five point scale (p < 0.001, Cohen’s d = 0.42), with 61.7% of respondents reporting higher confidence. All four attributes have significant positive effects, led by investor protection (β = 0.261) and legal certainty (β = 0.243), and together explain 43.2% of the variation in confidence. The increase is considerably larger among investors who are aware of the transfer. The findings indicate that the regulatory transfer can strengthen confidence, but mainly through perceived protection and certainty and only to the extent that investors know about it, which implies that OJK and licensed platforms should invest in communicating the new safeguards.
The Impact Of The Bitcoin Halving On Bitcoin Price Returns And Volatility Granit Agustina; Agung Augustrianto; Sengguruh Nilowardono; Gema Merdeka Goeyardi; I Gede Arimbawa
Journal of Management Vol. 3 No. 2 (2024): July - December
Publisher : Yayasan Pendidikan Belajar Berdikari

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The Bitcoin halving, which cuts the reward for mining a block by half roughly every four years, is widely believed to drive Bitcoin into a bull market. This study examines the impact of the four halvings of 2012, 2016, 2020, and 2024 on Bitcoin returns and volatility using daily data from 2 January 2011 to 30 June 2026. Returns are analyzed with an event study of cumulative abnormal returns, buy and hold returns up to 18 months, and a placebo test based on randomly chosen pseudo halving dates; volatility is analyzed with realized volatility, Brown and Forsythe tests, and a GARCH(1,1) model with halving dummies in the mean and variance equations. The results show no significant abnormal return in the 30 days around the halving, which is consistent with the halving being a fully anticipated event. Over longer horizons, however, the average cumulative abnormal return reaches 66.2% after 180 days and 86.3% after one year, both significant and above the 95th percentile of the placebo distribution. The effect is driven mainly by the earlier halvings and is close to zero for the 2024 halving, suggesting that it is diminishing as the supply reduction shrinks relative to the existing stock and demand factors gain importance. Volatility rises moderately in the 90 days after the halving, but the change is not significant for most individual events. With only four events, the findings should be interpreted with caution and do not justify treating the halving as a reliable trading signal.
Co-Authors Agung Augustrianto Arasy Alimudin Asri Sundari Deri Apriadi Galuh Boga Kuswara Granit Agustina I Gede Arimbawa Kamisutara, Made Mega Zhafarina Purwono Muchayan, Achmad R Lutfi Zakaria R. Dewi Pertiwi Reswanda Riztrya Novedliani Rony Wardhana Sengguruh Nilowardono Suharyanto