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All Journal Jurnal Ilmiah ESAI Moneter : Jurnal Ekonomi dan Keuangan Green Economics: International Journal of Islamic and Economic Education Journal of New Trends in Sciences
Igo Febrianto
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Agriculture, Biological Sciences & Forestry Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance

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Stock Portfolio Performance Analysis in Estate Crop Subsector Using Sharpe Measure, Treynor Measure, and Jensen Measure Artie Arditha Rachman; Igo Febrianto
Jurnal Ilmiah ESAI Vol 6 No 3 (2012)
Publisher : Politeknik Negeri Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25181/esai.v6i3.999

Abstract

Investors form a stock portfolio in order to gain returns from several sources and distribute possible risks. Several methods are required when forming a stock portfolio to measure and evaluate portfolio performance. The current research showed different results of the Sharpe Measure, Treynor Measure, and Jensen Measure when measuring stock portfolio performance in estate crop companies listed in Indonesia Stock Exchange. The data used in this research were stock data of PT Astra Agro Lestari Tbk. (AALI), PT PP London Sumatera Tbk. (LSIP), and PT Bakrie Sumatera Plantation Tbk. (UNSP), data of stock composite index, and Bank of Indonesia rate, taken from January 2006 to January 2012. The Sharpe Measure result showed that best stock combination came from portfolio of AALI and LSIP, while The Treynor Measure and The Jensen Measure result showed that the best stock combination came from AALI and UNSP. The difference was caused by using of different risk variable in the calculation of each measurement. This difference makes investors have chances to decide which method is suitable to investor perception of risk in forming portfolio. Keywords: portfolio, Sharpe, Treynor, Jensen.
Dynamic Correlation Analysis Between IHSG and JII Index as Hedging and Safe Haven (2020-2025) Rahmad Afrenal Alim; Igo Febrianto; Fajrin Satria Dwi Kesumah
Green Economics: International Journal of Islamic and Economic Education Vol. 2 No. 3 (2025): Green Economics: International Journal of Islamic and Economic Education
Publisher : International Forum of Researchers and Lecturers

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.70062/greeneconomics.v2i3.306

Abstract

This study investigates the potential role of the Jakarta Islamic Index (JII) as a hedging instrument and safe haven asset against the Indonesia Composite Index (IHSG) during the period from January 2020 to April 2025, a time characterized by elevated market volatility. The main objective is to determine whether sharia-compliant stocks in Indonesia offer diversification benefits during periods of financial stress. Utilizing daily closing prices converted into log returns, the study employs the Asymmetric Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (A-DCC GARCH) model to capture time-varying correlations between JII and IHSG. Prior to applying the model, standard diagnostic tests were performed to ensure data quality, including tests for stationarity, autocorrelation, and ARCH effects.Empirical results reveal a persistently high correlation between IHSG and JII, with an average of 0.826 and values exceeding 0.95 during periods of market turbulence. These findings indicate that JII does not fulfill the characteristics of a hedge or safe haven asset. A robustness analysis using extended data from 2010 to mid-2025 further supports the conclusion, showing the continued presence of strong comovement between the two indices across different market regimes. This suggests a structural relationship rather than one driven solely by crisis events. The high correlation may be attributed to overlapping index constituents and similar investor responses to market shocks. These results challenge the prevailing notion that Islamic indices inherently offer protection during downturns. As such, investors seeking to mitigate portfolio risk may need to look beyond domestic sharia equities and consider broader asset classes or international diversification. Future research is encouraged to explore cross-market and multi-asset safe haven properties, especially in the context of emerging economies.
Faktor-Faktor yang Mempengaruhi Cash Holdings pada Perusahaan Sektor Energi yang Terdaftar di Bursa Efek Indonesia Tahun 2018-2022 Al Rifqi Arifin; Igo Febrianto
Moneter : Jurnal Ekonomi dan Keuangan Vol. 3 No. 4 (2025): Oktober :Moneter : Jurnal Ekonomi dan Keuangan
Publisher : Asosiasi Riset Ekonomi dan Akuntansi Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61132/moneter.v3i4.1835

Abstract

This study investigates the determinants of cash holdings in energy sector companies listed on the Indonesia Stock Exchange (IDX) during the period 2018–2022. Cash holdings play a crucial role in ensuring company liquidity and financial flexibility, especially in industries that require large investments such as the energy sector. The study employs secondary data obtained from annual financial reports of the sampled companies, accessed through official company websites and the IDX portal. A quantitative research approach is used with multiple linear regression analysis to test the effect of several independent variables on cash holdings. The variables examined include firm size, leverage, growth opportunity, profitability, net working capital, capital expenditure, and cash flow. The findings reveal that firm size and leverage both have a negative and significant effect on cash holdings, indicating that larger firms and those with higher debt levels tend to maintain lower levels of cash. Net working capital and capital expenditure are also found to negatively affect cash holdings, suggesting that higher investments in working capital and assets reduce the need for holding large cash reserves. Conversely, cash flow demonstrates a positive effect, highlighting that firms with stronger cash inflows are likely to hold more cash. Growth opportunity and profitability show no significant effect on cash holdings.
Pengujian Efisiensi Pasar terhadap Pengumuman Quick Count saat Proses Pemilihan Umum Presiden dan Wakil Presiden Indonesia tahun 2024 Tiffany Cheyenne Rachel Adjani; Mahatma Kufepaksi; Igo Febrianto
Journal of New Trends in Sciences Vol. 3 No. 3 (2025): Journal of New Trends in Sciences
Publisher : CV. Aksara Global Akademia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59031/jnts.v3i3.731

Abstract

Capital market is an important indicator of economic growth, which responsive to political events, including general elections. The Indonesia 2024 presidential elections are a significant political event that can impact the market, particularly as there is no incumbent presidential candidate, increasing political uncertainty. One of the key informational event during the election process is the announcement of the quick count. Although not the official result, it can provide an initial overview of the election results and serve as a reference for market participants. This study aims to determine the market reaction, indicated by significant abnormal returns surrounding the quick count announcement. It also aims to determine the difference in average abnormal returns and average trading volume activity. The sample for this study is 45 companies listed in the LQ45 index, which will be examined as a whole and by sector. The data analysis used in this study was t-test for normally distributed data and nonparametric test for non-normally distributed data. The results of this study indicate significant abnormal returns around the quick count announcement. The t-test results indicate a significant difference in average abnormal returns and trading volume activity before and after the quick count announcement.
Co-Authors Al Rifqi Arifin Artie Arditha Rachman Fajrin Satria Dwi Kesumah Mahatma Kufepaksi Rahmad Afrenal Alim Tiffany Cheyenne Rachel Adjani