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All Journal International Journal of Social Science and Business
Adi Cahya Stefanus
Universitas Kristen Satya Wacana
Social Sciences

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Pengaruh Tingkat Inflasi, Tingkat Suku Bunga BI, dan Nilai Tukar Usd-Idr terhadap Perubahan Harga Saham Sektor Perusahaan Manufaktur di Indonesia Adi Cahya Stefanus; Robiyanto Robiyanto
International Journal of Social Science and Business Vol. 4 No. 2 (2020): May
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i2.22484

Abstract

The objective of this study is to find out how macroeconomic factors such as exchange rate, BI rate and inflation rate can affect the manufacturing  sector stock price index in IDX from 2011 until 2018. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) is used as the analysis method in this research to find the fittest model. The result, only exchange rate that no significant effect to manufacturing sector stock, price index, Inflation and BI rate have significant effect to manufacturing sector stock price index.
Performance Evaluation of Exchange Traded Fund in The Indonesia Stock Exchange Adi Cahya Stefanus; Robiyanto Robiyanto
International Journal of Social Science and Business Vol. 4 No. 4 (2020): November
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i4.29422

Abstract

This study aims to evaluate the performance of the Exchange Traded Fund (ETF) index in the Indonesia Stock Exchange by using the Treynor Ratio, Sharpe Ratio, Sortino Ratio, Jensen Alpha, Information Ratio, and Omega Ratio. This research uses a quantitative descriptive approach, and the data source to be applied in this research is secondary data, where the data to be used is the ETF listed on the IDX. The data collection technique will be carried out with a documentation study. There are 12 ETFs to be evaluated. The data used in this study are the weekly closing price and risk-free investment that is represented by the BI rate from January 2018 to December 2019. The result of this study shows that there are only two of the Exchange Traded Fund that has better performance than risk-free investment if it is calculated by using the Sharpe Ratio, Sortino Ratio, Information Ratio, and Omega Ratio. In contrast, the Treynor Ratio and Jensen Alpha show negative value or worse than risk-free investment.
Co-Authors Robiyanto