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Chandra, Vergo
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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The Comparison of the performance of crypto assets, stocks, bonds, and gold in Indonesia during Covid-19 Pandemic Chandra, Vergo; Iryanto, M. Budi Widiyo
Jurnal Ekonomi Perusahaan Vol. 30 No. 1 (2023): March-August 2023
Publisher : Business and Entrepreneurship Department, Kwik Kian Gie School of Business and Information Technology, Jakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46806/jep.v30i1.930

Abstract

This study aims to determine whether crypto assets are suitable as an alternative investment when compared to the performance of the LQ 45 stock index, 10-year Indonesian Government Bonds, and Antam's precious metal in the form of gold. The measurement of the performance of an investment is not only seen from the rate of return but also needs to pay attention to the risks to be borne, then the performance measurement is used using the Sharpe, Treynor, and Jensen measurement methods. The three models base their analysis on past rates of return to determine the compensation for the returns obtained for each measure of risk borne. This study used descriptive analysis with case study methods, while hypothesis testing was carried out by nonparametric statistical tests using Kruskal-Wallis H because there were more than two independent variables. The values of the Sharpe Index and Jensen Index show that Bitcoin investment instruments are the highest-performing instruments while the LQ45 stock index is the lowest. The conclusion of this study shows that there is no significant difference between investment performance using the Sharpe method, while in the Treynor and Jensen methods, there are significant differences.
Co-Authors M. Budi Widiyo Iryanto