Peran Cryptocurrency dalam Meningkatkan Kinerja Portofolio Indeks High Dividend dan Indeks SRI-KEHATI

Bagas Ari Nugroho, Robiyanto Robiyanto

Abstract


The purpose of this research is to analyze the role of stable coins and unstable coins in improving the performance of the SRI-KEHATI and High Dividend index portfolios. The type of data used is daily secondary data covering the period from January 2019 to August 2022. The methods employed are Naïve Diversification and the Treynor Index, Jensen Index, Sortino Ratio, Sharpe Index, and Omega Ratio. The research results using the Naïve Diversification method indicate that stable coins fail to improve the performance of the SRI-KEHATI index portfolio, while unstable coins succeed in improving the performance of the SRI-KEHATI index portfolio. On the other hand, both stable coins and unstable coins manage to enhance the performance of the High Dividend index portfolio. In the calculations of the Sharpe Index, Sortino Ratio, Treynor Index, Jensen Index, and Omega Ratio, both stable coins and unstable coins demonstrate positive performance. Based on the Sharpe Index, the SRI-KEHATI–Unstable coin portfolio exhibits the most positive performance. Furthermore, the SRI-KEHATI–Unstable coin portfolio has the highest performance based on the Treynor Index. In the Jensen Index, the best-performing portfolio is the High Dividend–Unstable coin portfolio. According to the Sortino Ratio value, the SRI-KEHATI–Unstable coin portfolio performs the best. In the Omega Ratio, the portfolio with the best performance is the SRI-KEHATI–Unstable coin portfolio.

DOI: https://doi.org/10.26905/afr.v6i1.9407


Keywords


Cryptocurrency; Portfolio; Naïve Diversification; Sectoral Index

Full Text:

PDF

References


Afrizal & Marliyah. (2021). Analisis Terhadap Cryptocurrency (Perspektif Mata Uang, Hukum, Ekonomi Dan Syariah). Jurnal Ekonomi Manajemen Dan Bisnis, 22(2). https://journal.unimal.ac.id/emabis/article/view/689

Anggita, & Robiyanto. (2022). Dynamic portfolio formulation using bitcoin and LQ45 stocks. Jurnal Ekonomi Dan Bisnis, 25(1), 113–136. https://doi.org/https://doi.org/10.24914/jeb.v25i1.4790

Anggraeni, & Mispiyanti. (2020). Analisis Pemben-tukan Portofolio Optimal Saham dengan Menggunakan Model Indeks Tunggal (Studi Kasus pada Perusahaan Terdaftar ii Indeks Sri-Kehati Periode 2016-2018). Jurnal Ilmiah Mahasiswa Manajemen, Bisnis Dan Akuntansi (JIMMBA), 2(1), 47–54. https://doi.org/https://doi.org/10.32639/jimmba.v2i1.442

Arbar, F. (2021). Negara Ini Setujui Bitcoin Dipakai untuk Alat Pembayaran. CNBC Indonesia. https://www.cnbcindonesia.com/tech/20210609194945-37-251882/negara-ini-setujui-bitcoin-dipakai-untuk-alat-pembayaran

Bowa, J., & Robiyanto. (2023). Peranan Emas Dan Crypto Hedge Fund Dalam Meningkatkan Kinerja Indeks Portofolio Indeks Saham LQ45, JII, High Dividend, Dan Sri-Kehati. MAGISMA: Jurnal Ilmiah Ekonomi Dan Bisnis, 11(2), 142–153. https://doi.org/https://doi.org/10.35829/magisma.v11i2.328

Chandra Dwi. (2022). Mengenal Lebih Dekat Stable Coin yang Kini Tak Lagi Stabil - Halaman 2. https://www.cnbcindonesia.com/market/20220624141710-17-350056/mengenal-lebih-dekat-stable-coin-yang-kini-tak-lagi-stabil/2

Charita, L. F., Dorkas, A., Atahau, R., Martono, S., & No, J. D. (2021). Efek Keputusan Pendanaan Terhadap Nilai Perusahaan : GCG Sebagai Variabel Moderasi. AFRE Accounting and Financial Review, 4(2), 255–261.

Chohan, U. W. (2019). Are Stable Coins Stable? https://doi.org/http://dx.doi.org/10.2139/ssrn.3326823

Dabwor, D. T., Iorember, P. T., & Yusuf Danjuma, S. (2022). Stock market returns, globalization and economic growth in Nigeria: Evidence from volatility and cointegrating analyses. Journal of Public Affairs, 22(2), 1–9. https://doi.org/10.1002/pa.2393

Devi, Y. V., & Putra, S. I. (2020). Reaksi Pasar Ter-hadap Pengumuman Dividen Perusahaan yang Termasuk Dalam IDX High Dividend 20 Periode 2019. Jurnal Penelitian Teori Dan Terapan Akuntansi (PETA), 5(2), 79–95. https://doi.org/https://doi.org/10.51289/peta.v5i2.446

Dewi & Oriana. (2014). Indeks SRI-KEHATI dan Reaksi harga Saham Emiten Terhadap Pengu-muman Indeks SRI-KEHATI (Studi Kasus pada Indeks SRI-KEHATI). https://journal.unpar.ac.id/index.php/Sosial/article/view/1225

Fahrani, V. H., & Bachtiar, A. (2022). Pengaruh Cryptocurrency, Nilai Tukar Valuta Asing dan Real Asset Terhadap IHSG. Conference on Economic and Business Innovation (CEBI), 2(1), 1520-1530. https://doi.org/10.31328/cebi.v2i1.32

Firdaus, A., Anah, S., & Nadira, F. (2018). Analisis Pembentukan Portofolio Optimal Menggunakan Model Indeks Tunggal (Studi Kasus: Saham LQ 45 Yang Terdaftar Di BEI Tahun 2012-2016). Jurnal Ekonomi, 23(2), 203-225. https://doi.org/10.24912/je.v23i2.369

Hambali, H., & Hambali, R. (2020). Risiko dan Tingkat Keuntungan Investasi Cryptocurrency. Jurnal Manajemen dan Bisnis: Performa, 17(1), 72-84. https://doi.org/10.29313/performa.v17i1.7236

Handika, R., Soepriyanto, G., & Havidz, S. A. H. (2019). Are cryptocurrencies contagious to Asian financial markets? Research in Interna-tional Business and Finance, 50, 416–429. https://doi.org/https://doi.org/10.1016/j.ribaf.2019.06.007

Haryanto, S. (2011). Karakteristik perusahaan dan risiko bisnis terhadap harga saham pada industri otomotif di bursa efek indonesia. Jurnal Ekonomi Modernisasi, 7(2), 162–170.

Haryanto, S. (2014). Identifikasi Ekspektasi Investor Melalui Kebijakan Struktur Modal, Profitabilitas, Ukuran Perusahaan Dan Gcpi. Jurnal Dinamika Manajemen, 5(2), 183–199. https://doi.org/10.15294/jdm.v5i2.3660

Ichsani, & Pamungkas. (2022). Analisis Per-bandingan Kinerja Aset Kripto, IHSG dan Emas sebagai Alternatif Investasi Periode 2017-2021. JIIP-Jurnal Ilmiah Ilmu Pendidikan, 5(6), 2025–2034. https://doi.org/https://doi.org/10.54371/jiip.v5i6.674

Ikrima, S. P., & Surya Darmawan. (2023). Analisis Volatily Spillover Bitcoin Terhadap Ethere-um, Tether, dan Emas Dunia Menggunakan Metode EGARCH. Jurnal Manajemen dan Per-bankan (JUMPA), 10(2), 47–60. https://doi.org/10.55963/jumpa.v10i2.555

Ilham, R. N., Sinta, I., Sinurat, M. (2022). The Effect Of Technical Analysis On Cryptocurrency Investment Returns With The 5 (Five) High-est Market Capitalizations In Indonesia. Jurnal Ekonomi, 11(02), 1022–1035.

Intan Sari, W. (2019). Analisis Pengaruh Inflasi, Suku Bunga SBI, Nilai Tukar Terhadap Re-turn LQ 45 dan Dampaknya Terhadap In-deks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI). Jurnal SEKURITAS (Saham, Ekonomi, Keuangan Dan Investasi), 3(1), 65-76. http://dx.doi.org/10.32493/skt.v3i1.3263

Kurniawati, Y., Yunisaningrum, I. R., & Kristanto, A. B. (2019). Risiko Spesifik Perusahaan: Pentingkah Agresivitas Pajak Bagi Investor? AFRE (Accounting and Financial Review), 2(1), 24–31. https://doi.org/10.26905/afr.v2i1.3073

Lakaba, A., & Robiyanto. (2018). Evaluasi Kinerja Saham Bertanggung Jawab Sosial (Studi Pa-da Saham-Saham Yang Masuk Perhitungan Indeks SRI-KEHATI). Jurnal Organisasi Dan Manajemen, 14(2), 95–107. https://doi.org/https://doi.org/10.33830/jom.v14i2.155.2018

Lestari, D. P. F., & Nuzula, N. F. (2018). Dampak britain exit (Brexit) terhadap abnormal return dan trading volume activity pada indeks LQ-45. Jurnal Administrasi Bisnis (JAB), 55(3), 14–23

Lumbantobing, C., & Sadalia, I. (2021). Analisis Perbandingan Kinerja Cryptocurrency Bitcoin, Saham, dan Emas sebagai Alternatif Investasi. Studi Ilmu Manajemen Dan Organ-isasi, 2(1), 33–45. https://doi.org/10.35912/simo.v2i1.393

Munawar, A. H. (2019). Firm Age Memoderasi ROE dan DER Terhadap Kebijakan Dividen Berdasarkan Indeks IDX High Dividend 20. Jurnal Akuntansi, 14(1), 22-31. https://doi.org/10.37058/jak.v14i1.960

Nurhadi. (2022). Mengenal Stablecoin: Pengertian, Keunggulan dan Kelemahan Kripto Stabil. https://www.suara.com/bisnis/2022/05/25/183541/mengenal-stablecoin-pengertian-keunggulan-dan-kelemahan-kripto-stabil?page=1

Pamilangan, & Robiyanto. (2019). Perumusan Por-tofolio Dinamis Cryptocurrency Dengan Sa-ham-Saham LQ45. Jurnal Ilmu Sosial dan Hu-maniora, 8(2), 283–292. https://doi.org/https://doi.org/10.23887/jish-undiksha.v8i2.23065

Pertumbuhan SID. (2022). Retrieved September 14, 2022, from www.ksei.co.id

Pranata, R. R. M., & Dewi, I. V. (2022). Analisis Risk-Adjusted Return Sebagai Sarana Eval-uasi Aset Kripto (Studi Pada Bloomberg Galaxy Crypto Index Tahun 2018-2021). Jurnal Manajemen Bisnis Dan Kewirausahaan, 6(3), 335–340. https://doi.org/https://doi.org/10.24912/jmbk.v6i3.17259

Primajati, G., & Zuli Amrullah, A. (2019). Analisis Portofolio Investasi Dengan Metode Multi Objektif. Jurnal Varian, 3(1), 6-12. https://doi.org/10.30812/varian.v3i1.476

PT Bursa Efek Indonesia. (2022). Retrieved Sep-tember 14, 2022, from https://www.idx.co.id/produk/indeks/

Putra & Robiyanto. (2021). Korelai Dinamis Perge-rakan Cryptocurrency dan Indeks Harga Sa-ham Sektoral di Bursa Efek Indonesia. Man-agement and Accounting Expose, 4(1), 35-44. http://jurnal.usahid.ac.id/index.php/accounting/article/view/275/337

Saputra, E., Hutagalung, J. E., & Utami, D. K. (2022). Kajian Potensi Dan Resiko Keberadaaan Mata Uang Kripto Terhadap Perilaku Investor di Indonesia. Ekonomi, Keu-angan, Investasi Dan Syariah (EKUITAS), 4(1), 242–249. https://doi.org/10.47065/ekuitas.v4i1.2128

Sari, W. I. (2019). Analisis Pengaruh Inflasi, Suku Bunga SBI, Nilai Tukar Terhadap Return LQ 45 dan Dampaknya Terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI). Jurnal SEKURITAS (Saham, Ekonomi, Keuangan Dan Investasi), 3(1), 65. https://doi.org/10.32493/skt.v3i1.3263

Setiawan, Y. C., Atahau, A. D. R., & Robiyanto, R. (2018). Cognitive Dissonance Bias, Overconfidence Bias dan Herding Bias dalam Pengambilan Keputusan Investasi Saham. AFRE (Accounting and Financial Review), 1(1), 17–25. https://doi.org/10.26905/afr.v1i1.1745

Sihombing, Nawir, & Mulyantini. (2020). Crypto-currency, Nilai Tukar dan Real Asset Ter-hadap Harga Saham Pada Perbankan Indo-nesia Yang Terdaftar Di Bursa Efek Indone-sia. (EKOBIS) Jurnal Ekonomi Dan Bisnis, 7(2), 171–196. https://doi.org/https://doi.org/10.35590/jeb.v7i2.2102

Su, C. W., Yuan, X., Umar, M., & Chang, T. (2023). Is presidential popularity a threat or encouragement for investors? Economic Research-Ekonomska Istrazivanja , 36(2). https://doi.org/10.1080/1331677X.2022.2129409

Tiwari, A. K., Raheem, I. D., & Kang, S. H. (2019). Time-varying dynamic conditional correla-tion between stock and cryptocurrency mar-kets using the copula-ADCC-EGARCH model. Physica A: Statistical Mechanics and Its Applications, 535, 1–9. https://doi.org/https://doi.org/10.1016/j.physa.2019.122295

Wibowo, M. A., & Yuliana, I. (2020). Pengaruh Profitabilitas Terhadap Nilai Perusahaan Dengan Intellectual Capital Sebagai Vari-abel Moderasi. Inovator, 9(2), 75. https://doi.org/10.32832/inovator.v9i2.3424




DOI: https://doi.org/10.26905/afr.v6i1.9407

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

AFRE (Accounting and Financial Review)

Postgraduate - University of Merdeka Malang

Postgraduate  Building, Terusan Dieng Street 62-64
Malang City, East Java, Indonesia, 65146.

View My Stats      Web Analytics

Other Link

Follow Us

Site Home Journal
Unmer Malang
Postgraduate
LPPM
Library
Repository 
 Email
[email protected]
 Phone
(0341) 567617
 Fax(0341) 567617

AFRE (Accounting and Financial Review)  Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.