EVALUASI KINERJA SAHAM BERTANGGUNGJAWAB SOSIAL (STUDI PADA SAHAM-SAHAM YANG MASUK PERHITUNGAN INDEKS SRI-KEHATI)
Keywords: Indeks Sharpe, Information Ratio, Jensen Alpha, Rasio Sortino, Rasio Treynor, Sharpe Index, Sortino Ratio, SRI-Kehati, Treyno Ratio
Abstract
Severals studies on the performance of stocks, especially those that examine the constituent of social responsibility in the Indonesia Stock Exchange, in general still focus on the performance assessment of the SRI-Kehati Index, have not specifically reviewed the performance of the constituent stocks of the SRI-Kehati Index. Therefore, this study specifically examines constituent stocks of the SRI-Kehati Index. The study period used is 2009 to 2017. The sample in this study are 13 stocks that consistently enter into the calculation of SRI-Kehati Index during the study period. The stock performance assessment will be performed using Sharpe Index, Jensen Alpha, Treynor Ratio, Sortino Ratio, Information Ratio. Overall, the consistent stocks listed in the SRI-Kehati Index may not necessarily indicate good stock performance. From 13 stocks, some have negative results which can be classified as non-performing stock.
Berbagai penelitian terkait kinerja saham-saham bertanggungjawab sosial di Bursa Efek Indonesia secara umum masih berfokus pada penilaian kinerja Indeks SRI-Kehati, namun belum secara khusus mengkaji kinerja saham-saham pembentuk Indeks SRI-Kehati. Oleh sebab itu penelitian ini secara khusus mengkaji saham-saham pembentuk Indeks SRI-Kehati. Periode penelitian yang digunakan adalah periode tahun 2009 hingga tahun 2017. Sampel dalam penelitian ini adalah 13 saham yang secara konsisten masuk ke dalam perhitungan Indeks SRI-Kehati selama periode penelitian. Penilaian kinerja saham akan dilakukan dengan menggunakan Indeks Sharpe, Jensen Alpha, Rasio Treynor, Rasio Sortino, Information Ratio. Secara keseluruhan, saham-saham yang konsisten terdaftar dalam Indeks SRI-Kehati belum semua menunjukkan kinerja saham yang baik. Dari 13 saham yang diteliti masih ada beberapa saham dengan hasil negatif yang berarti masih mempunyai kinerja saham yang buruk.
Downloads
References
Blatt, S. L. (2004). An In-Depth Look at The Information Ratio. Thesis, Worcester Polytechnic Institute.
Fernita, C., Paramita, E. L., Restuti, M. D., & Nugroho, P. I. (2014). Corporate Social Responsibility (CSR) Disclosure in Banking Industry in Indonesia. Paper presented at the The 2nd IBEA – International Conference on Business, Economics and Accounting, Hong Kong.
Ferruz, L., Gómez-Bezares, F., & Vargas, M. (2010). Portfolio Theory, CAPM and Performance Measures. In C.-F. Lee, A. Lee & J. Lee (Eds.), Handbook of Quantitative Finance and Risk Management (pp. 267-281): Springer US.
Hickman, K. A., Teets, W. R., & Kohls, J. J. (1999). Social Investing and Modern Portofolio Theory. American Business Review, 17(1), 72-78.
Jensen, M. C. (1967). The Performance of Mutual Funds in The Period 1945–1964. Journal of Finance, 23(2), 389-416. doi: http://dx.doi.org/10.2139/ssrn.244153.
Kidd, D. (2011). The Sharpe Ratio and the Information Ratio. Investment Performance Measurement Feature Articles, 1, 1-4.
Nadifa, A. (2016). Analisis Kinerja Reksa Dana Saham dengan Menggunakan Metode Sharpe, Treynor, Jensen dan Information Ratio. Jurnal Universitas Islam Indonesia.
Panait, J., & Slavescu, E. O. (2012). Using Garch-in-Mean Model to Investigate Volatility and Persistence at Different Frequencies for Bucharest Stock Exchange during 1997-2012. Theoretical and Applied Economics, 19(5 (570)), 55-76.
Pangestuti, I. R. D., Wahyudi, S., & Robiyanto, R. (2017). Performance Evaluation of Equity Mutual Funds in Indonesia Period of 2012-2014. Jurnal Keuangan dan Perbankan 21(4), 527-542.
Plantinga, A., & Scholtens, B. (2001). Socially Responsible Investing and Management Style of Mutual Funds in The Euronext Stock Markets Working Paper.
Putra, M. P. S., Atahau, A. D. R., & Robiyanto, R. (2018). Cross–Asset Class Portofolio Between Gold and Stocks in Indonesia. Economic Journal of Emerging Markets, 10(1), 69-81. doi: 10.20885/ejem.vol10.iss1.art8.
Renneboog, L., ter Horst, J., & Zhang, C. (2008). The Price of Ethics and Stakeholder Governance: The Performance of Socially Responsible Mutual Funds. Journal of Corporate Finance, 14(3), 302–322.
Robiyanto, R. (2017). Performance Evaluation and Risk Aversion Rate for Several Stock Indices in Indonesia Stock Exchange. Jurnal Manajemen dan Kewirausahaan, 19(1), 60-64. doi: 10.9744/jmk.19.1.60-64
Robiyanto, R. (2018). Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange. International Research Journal of Business Studies, 10(3), 173-182. doi: https://doi.org/10.21632/irjbs.10.3.173-182.
Robiyanto, R., & Hartanto, A. F. (2018). Contagion Effect dan Integrasi Pasar Modal di Kawasan Asia, Eropa dan Amerika. Jurnal Organisasi dan Manajemen, 14(1), 1-10.
Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017). The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets. Gadjah Mada International Journal of Business, 19(2), 167-192. doi: 10.22146/gamaijb.26260.
Rollinger, T. N., & Hoffman, S. T. (2013). Sortino: A ‘Sharper’Ratio. Chicago, Illinois: Red Rock Capital. Retrieved from http://www.redrockcapital.com/assets/RedRock_Sortino_white_ paper.pdf.
Sanidewi, H., & Paramita, E. L. (2018). The Role of Perceived Green Marketing and Brand Equity on Green Purchasing Decision. Diponegoro International Journal of Business, 1(2), 14-25.
Sortino, F. A., & Price, L. N. (1994). Performance Measurement in a Downside Risk Framework. Journal of Investing, 3(3), 59-64. doi: 10.3905/joi.3.3.59.
Treynor, J. L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43(1), 63-75.
Zulkafli, A. H., Ahmad, Z., & M., E. E. (2017). The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business, 19(1), 59-76. doi: https://doi.org/10.22146/gamaijb.17959.