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All Journal International Journal of Financial, Accounting, and Management Media Riset Akuntansi Auditing & Informasi Research of Finance and Banking
Triadji, Iwan
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Alternative solution to achieve abnormal returns on the Indonesian Stock Exchange Triadji, Iwan; Busnetty, Ida; Sihombing, Pardomuan
International Journal of Financial, Accounting, and Management Vol. 6 No. 3 (2024): December
Publisher : Goodwood Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35912/ijfam.v6i3.2000

Abstract

Purpose: Investors continuously achieve abnormal returns (ARs) by adopting advanced strategies. Therefore, this study aimed to compare the performance of the IDX Value30 and IDX Growth30 indices, which represent value and growth investment strategies in Indonesia. Method: The comparison in this study was conducted using return- and risk-adjusted variables represented by Information Ratios and Jensen’s alpha. Based on this approach, Mann-Whitney and independent sample t-tests were performed using the SPSS program. Results: Both the IDX Value30 and IDX Growth30 indices show positive abnormal returns. However, a comparison of returns, Information Ratios, and Jensen's alpha showed no significant differences between the IDX Value30 and IDX Growth30. Limitations: The secondary data of IDX Value30 and IDX Growth30 indices were limited to the period from January 30, 2014, to September 30, 2022.   Contribution: IDX Value30 and IDX Growth30 could serve as references for investors and Investment Managers in executing value- and growth-investing strategies to outperform IHSG. Furthermore, Investment Managers could use these indices as benchmarks for issuing index funds or ETFs. Novelty: This study uniquely compares the performance of value and growth investing using the IDX Value30 and IDX Growth30 indices, a comparison that has not been previously conducted.
Growth vs Value: A GARCH-APT Approach to Analyzing IDX Market Indices Sihombing, Pardomuan; Triadji, Iwan
Research of Finance and Banking Vol. 3 No. 1 (2025): April 2025
Publisher : SAN Scientific

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58777/rfb.v3i1.426

Abstract

Value and growth investing strategies are often compared in the investment world. This study analyzes the differences in performance of the IDX Value30 and IDX Growth30 indices as a representation of these strategies in Indonesia during the period from January 30, 2014, to September 30, 2022. Measurements were made using the Treynor Ratio, Information Ratio, and stock selection and market timing evaluations through the GARCH (1,1) model. In addition, the APT model was also used to test the influence of macroeconomic factors, such as inflation, IDR/USD exchange rate, and 5-year Government Bond Yield. The comparison of Treynor and Information Ratio was tested using the Mann-Whitney and independent sample t-test. The results show that both indices have positive performance ratios but are not significantly different. Both do not show stock selection capabilities, but IDX Value30 has market timing capabilities. The IDR/USD exchange rate has a negative effect, and the 5-year Government Bond Yield has a positive effect on IDX Value30, while there are no significant macroeconomic factors on IDX Growth30. This research provides a new contribution through a comprehensive analysis of IDX Value30 and IDX Growth30, which can be used as a reference for investment strategies in the Indonesian capital market.
Alternative solution to achieve abnormal returns on the Indonesian Stock Exchange Triadji, Iwan; Busnetty, Ida; Sihombing, Pardomuan
International Journal of Financial, Accounting, and Management Vol. 6 No. 3 (2024): December
Publisher : Goodwood Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35912/ijfam.v6i3.2000

Abstract

Purpose: Investors continuously achieve abnormal returns (ARs) by adopting advanced strategies. Therefore, this study aimed to compare the performance of the IDX Value30 and IDX Growth30 indices, which represent value and growth investment strategies in Indonesia. Method: The comparison in this study was conducted using return- and risk-adjusted variables represented by Information Ratios and Jensen’s alpha. Based on this approach, Mann-Whitney and independent sample t-tests were performed using the SPSS program. Results: Both the IDX Value30 and IDX Growth30 indices show positive abnormal returns. However, a comparison of returns, Information Ratios, and Jensen's alpha showed no significant differences between the IDX Value30 and IDX Growth30. Limitations: The secondary data of IDX Value30 and IDX Growth30 indices were limited to the period from January 30, 2014, to September 30, 2022.   Contribution: IDX Value30 and IDX Growth30 could serve as references for investors and Investment Managers in executing value- and growth-investing strategies to outperform IHSG. Furthermore, Investment Managers could use these indices as benchmarks for issuing index funds or ETFs. Novelty: This study uniquely compares the performance of value and growth investing using the IDX Value30 and IDX Growth30 indices, a comparison that has not been previously conducted.
PERFORMANCE ANALYSIS OF VALUE AND GROWTH INVESTING IN THE INDONESIA STOCK EXCHANGE Pardomuan; Busnetty, Ida; Triadji, Iwan
Media Riset Akuntansi, Auditing & Informasi Vol. 25 No. 2 (2025): September
Publisher : LEMBAGA PENERBIT FAKULTAS EKONOMI DAN BISNIS UNIVERSITAS TRISAKTI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25105/mraai.v25i2.19539

Abstract

Value dan growth investing sangat sering diperbandingkan. Penelitian ini bertujuan untuk menganalisa secara mendalam perbedaan kinerja dari indeks IDX Value30 dan IDX Growthh30 yang mewakili value dan growth investing di Indonesia. Membandingkan kinerja sharpe ratio dan model APT untuk menentukan pengaruh dari faktor-faktor seperti stock selection, market timing, inflasi, kurs IDR/USD, dan  yield obligasi pemerintah 5 tahun. Perbedaaan rata-rata sharpe ratio diuji menggunakan independence sampe t-test. Model APT dianalisa dengan GARCH(1,1). Data dari IDX Value30 dan IDX Growth30 dalam penelitian ini dibatasi antara 30 Januari 2014 sampai dengan 30 September 2022. Kebaruannya adalah sebuah penelitian komprehensif yang membandingkan kinerja dari value dan growth investing menggunakan sampel IDX Value30 dan IDX Growth30 yang belum pernah dilakukan sebelumnya. Penelitian ini menyimpulkan bahwa sharpe ratio dari IDX value30 dan IDX Growth30 semuanya adalah positif, tetapi tidak berbeda secara signifikan. Baik IDX Value30 dan IDX Growth30 tidak memiliki kemampuan stock selection dan market timing. Kurs IDR/USD memiliki efek negatif yang signifikan dan 5-year Government Bond Yield memiliki efek positif yang signifikan pada IDX value30. Tidak ada faktor-faktor makroekonomi yang memiliki efek yang signifikan terhadap IDX Growth30. Secara umum IDX Value30 lebih unggul dibanding IDX Growth30, namun keduanya dapat digunakan sebagai referensi oleh investor dan Manajer Investasi.
Co-Authors Ida Busnetty Pardomuan Pardomuan Sihombing, Pardomuan